Hello everyone,I need guidance to build up a basic model from scratch.In brief, my goal is to build up a model that I could use to assess the capacity of some funds in different markets. For example, I am looking to assess the capacity of a fund manager with an AUM of 250M involved only in the futures market of WTI.Right now, my plan is as follow: get the historical daily volumes of the commodity, the size of multiple funds, in brief, get the raw data corresponding to what I am looking for. Then, I would like to set up a Lagrangian where the Utility would be a basic quadratic utility along with 3 constraints. I would put a constraint on the % of the AUM of the firm as a percentage of the total flow, Absolute CFTC limits, and margin requirements.If you can give me your insights it would be appreciateThank you,P-S: I have access to Bloomberg to get data.

One guy says at the beginning of the year this is going to be an up year. So he spends two weeks building up long positions, and rolls into front month six times. Another guy says I think 50.25% chance the price will tick up two cents in the next three minutes, and hits the offer 100 times a day.

QuoteOriginally posted by: farmerOne guy says at the beginning of the year this is going to be an up year. So he spends two weeks building up long positions, and rolls into front month six times. Another guy says I think 50.25% chance the price will tick up two cents in the next three minutes, and hits the offer 100 times a day.It's a good example. Even worse, the fund manager may say, we can take $X billion because we will simply switch tothe 'slow' strategy with the new money. Say Rentech.