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I have another question regarding costs and dynamic optimisation: The formulas in the book calculate the cost penalty per contract as the sum of spread costs and commission. Why are rolling costs not considered here? I would assume if we had to choose between two identical instruments differing...

A little bit late to the party, but this thread and Rob's books are really amazing. I am currently implementing some aspects of the book before I stumbled on here. Admittedly, the whole topic of dynamic optimisation is quite involved. It took me about 1 week to implement and debug it. There are...