Long inventory, but nothing scheduled. Hold or trim?
Asked at Jane Street, DRW
You make markets in a liquid futures contract. Flow has left you long 300 lots. The tape is calm, there is no scheduled news for the rest of the session, and your limit is 600 lots. A junior asks: "Should we always flatten inventory as fast as possible?"
When is holding flow-driven inventory acceptable, and how do you manage it here?
Your answer
This one is open-ended. Work it through, then check your reasoning against the full solution.