market-maker-rs
Unverified ML strategy on Multi by joaquinbejar. BotFinder score 18 out of 100.
A Rust library implementing quantitative market making strategies, starting with the Avellaneda-Stoikov model. This library provides the mathematical foundations and domain models
Source: github
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market-maker-rs
Market Making Library A comprehensive Rust library implementing quantitative market making strategies based on the Avellaneda-Stoikov model and extensions. This library provides production-ready components for building automated market making systems for financial markets. Overview Market making is the practice of simultaneously providing buy (bid) and sell (ask) quotes in a financial market. The market maker profits from the bid-ask spread while providing liquidity to the market. Key Challenges Addressed - Inventory Risk: Dynamic quote skewing based on position - Adverse Selection: Order flow toxicity detection with VPIN - Optimal Pricing: Stochastic control theory for spread optimization - Risk Management: Circuit breakers, drawdown limits, and position controls - Multi-Asset: Correlation-aware portfolio risk management - Options Market Making: Greeks-aware quoting with delta hedging Features Strategy Models - Avellaneda-Stoikov: Classic optimal market making with reservation price - GLFT Extension: Guéant-Lehalle-Fernandez-Tapia with terminal penalties - Grid Trading: Multi-level
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