Avellaneda-Stoikov HFT model implementation

Avellaneda-Stoikov HFT market making algorithm implementation

Quickstart

Set up python environment:

python3 -m virtualenv venv
#source venv/bin/activate #linux
venv\Scripts\activate.bat # windows

Install dependencies:

pip install -r requirements.txt

Check model parameters in main.py and then execute the code:

python main.py

Results

Figure 1 show results of a simulation using the following parameters:

• gamma: 0.1
• sigma: 2
• T: 1
• k: 1.5
• M: 0.5

The first chart shows price, indiference price and bid, ask quotes evolution. The second chart shows the profit and loss evolution. The last chart shows the inventory evolution.

Figure 2 shows the distribution of PnL over 1000 simulations.