10000 GitHub - mmssss/hft-market-making: Implementation of HFT backtesting simulator and Stoikov strategy

More Web Proxy on the site http://driver.im/

mmssss / hft-market-making Public

Notifications You must be signed in to change notification settings
Fork 36
Star 123

Implementation of HFT backtesting simulator and Stoikov strategy

123 stars 36 forks Branches Tags Activity

Notifications

Name		Name	Last commit message	Last commit date
Latest commit History 22 Commits
eda		eda
simulator		simulator
simulator_external @ 6a0f9a2		simulator_external @ 6a0f9a2
strategies/stoikov		strategies/stoikov
.gitignore		.gitignore
.gitmodules		.gitmodules
README.md		README.md
requirements.txt		requirements.txt

Repository files navigation

High Frequency Market Making: Optimal Quoting

Stoikov Strategy

Implementation of the strategy: strategies/stoikov/stoikov.py
Notebook with backtesting experiments: strategies/stoikov/stoikov_test.ipynb

Exploratory Data Analysis

Binance Perpetual Futures BTCUSDT data: eda/eda-btc.ipynb
Binance Perpetual Futures ETHUSDT data: eda/eda-eth.ipynb
Comparison of BTCUSDT and ETHUSDT data: eda/btc-eth-comparison.ipynb

Exchange simulator

My simulator is in directory simulator
Simulator that is used throughout the project is in submodule simulator_external (a fork of https://github.com/dolmatovas/HFT).

0