- #1
pquigley
- 1
- 0
Hello All,
I'm working on a problem which uses the largest remainder method
https://en.wikipedia.org/wiki/Largest_remainder_method
I need to allocate a trade quantity among 2 or more strategies.
e.g.
Trade Qty = 99
Strategy A ratio = 0.61
Strategy B ratio = 0.09
Strategy C ratio = 0.23
Strategy D ratio = 0.07
The trade quantity is always a whole number.
I've used 99 in this example but it can be any whole number > 0
The number of strategies is always > 1
In this example 4 but it can be any number
Apply the ratio to the trade quantity and rounding down to the nearest whole number would give me:
Strategy A qty = 60
Strategy B qty = 8
Strategy C qty = 22
Strategy D qty = 6
The total number of shares allocated = 96 with 3 remaining unallocated.
My remainder quantity is 3
My question is:
When the trade quantity is always a whole number and the strategy allocations always add up to 1
Is the maximum remainder quantity always equal to the number of strategies - 1
In this case 4-1 = 3 ?
I'm working on a problem which uses the largest remainder method
https://en.wikipedia.org/wiki/Largest_remainder_method
I need to allocate a trade quantity among 2 or more strategies.
e.g.
Trade Qty = 99
Strategy A ratio = 0.61
Strategy B ratio = 0.09
Strategy C ratio = 0.23
Strategy D ratio = 0.07
The trade quantity is always a whole number.
I've used 99 in this example but it can be any whole number > 0
The number of strategies is always > 1
In this example 4 but it can be any number
Apply the ratio to the trade quantity and rounding down to the nearest whole number would give me:
Strategy A qty = 60
Strategy B qty = 8
Strategy C qty = 22
Strategy D qty = 6
The total number of shares allocated = 96 with 3 remaining unallocated.
My remainder quantity is 3
My question is:
When the trade quantity is always a whole number and the strategy allocations always add up to 1
Is the maximum remainder quantity always equal to the number of strategies - 1
In this case 4-1 = 3 ?