% Simple market making strategy pseudocode - Roberto Maria Caloi - 2022 
    % For educational purposes only.
    

    OnStart ():
		S.Gamma = 0.01;  %Initialize risk aversion parameter
        S.margin = 1;    %Initialize margin
        S.Q = 1;         %Initialize size/amount of a single Quote
		S.q = S.getPortfolioPosition();  %Initialize portfolio position
		S.CF = 0;        %Initialize portfolio Cash Flow

	OnPriceUpdate (newFairPrice): % Pricing model (!)

        if checkfilters() == false % Security checks failed (!)
            callStopStrategy();    % Stop trading
        end

        S.p = newFairPrice;						     %Update Current Fair Price: 
		S.PL = S.CF + S.q *S.p;                      %Update Profit And Loss (P&L, mark to model)
        S.r_bid = S.p -S.Gamma *S.q - 0.5*Gamma * S.Q - S.margin; %Compute Quote bid price
        S.r_ask = S.p -S.Gamma *S.q + 0.5*Gamma * S.Q + S.margin; %Compute Quote ask price

        S.quote(S.Q,S.r_bid); %Send new Bid Quote, replace the previous one if already sent
        S.quote(S.Q,S.r_ask); %Send new Ask Quote, replace the previous one if already sent

    OnTradeBuy (): %Assume All or Nothing at original price
        S.CF = S.CF - S.r_bid * S.Q;
        S.q = S.q + S.Q;
        callOnPriceUpdate(S.p);
        
    OnTradeSell (): %Assume All or Nothing at original price
        S.CF = S.CF + S.r_ask * S.Q;
        S.q = S.q - S.Q;
        callOnPriceUpdate(S.p);

    OnStop ():
        ... Close position at market prices or simply stop and withdraw existing quotes...