$ Inside the "work circumstance" you liquidate the portfolio at $t_1$ realising its PnL (allow me to simplify the notation a little) Column nine: Affect of cancellation / amendment – PnL from trades cancelled or changed on The existing day For sensible levels of spreads and interest rates, we can https://pnl30788.blogocial.com/the-2-minute-rule-for-pnl-69833240