3.15 Robot "MMM"

MMM stands for Minimal Market Maker, it's pronounced "em em em" or "em three".

MMM was added to BSE purely as a minimal illustrative example of how a robot trader can be written in BSE that engages in buying and selling, trading "on its own account" rather than executing exogenously supplied customer-orders (which is what all the earlier robot-traders in BSE are configured to do). MMM is initialised with sum of cash in its bank-balance, and is intended to use its cash to buy an item of the BSE tradable asset when it considers the current best ask price to be "cheap" relative to a simple moving average (SMA) of recent transaction prices; and to sell the item it is currently holding when the current best bid price is "high" relative to a SMA of recent transaction prices. In both cases the SMA is calculated by having MMM read back through the tape of transactions published as part of the BSE public LOB. It's nothing more than that, but it works OK, and it offers lots of possibilities for experimentation with improvements. In principle this skeleton framework could be extended up to a true liquidity-making market-maker that quotes two prices, a bid and and offer, for the asset; as it stands, it could as easily be referred to as a proprietary (or "prop") trader.