Hft Market Making
Implementation of HFT backtesting simulator and Stoikov strategy
Install / Use
npx skills add mmssss/hft-market-makingInstalls into whichever agent you are using.
README
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).
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