optimalHFT
Unverified Market-making strategy on Multi by lcsrodriguez. BotFinder score 18 out of 100.
HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)
Source: github
BotFinder analysis pending.
optimalHFT
Optimal HF trading (HFT & Stochastic Control) Workflows: Overview This project aims at studying a research article involving high-frequency trading & stochastic control applications. One also attempts to reproduce the numerical results shown in this paper. - Original paper: Optimal high frequency trading with limit and market orders, Fabien GUILBAUD, Huyên PHAM (2011) - Link: arxiv (1106.5040) (PDF) (HTML via ar5iv) - Keywords: Market making, limit order book, inventory risk, point process, stochastic control Data description This article's using Level 1 (L1) data from SOGCGEN.PA (intraday data) for only one day: April 18, 2011 between 9:30 and 16:30 in Paris local time (CET, UTC+2). To reproduce the method introduced in this article, one applies it to L1 (tick data) sample dataset available on TickHistory's website. Dataset description: - GOOG: trades and quotes data - MSFT: trades and quotes data Data from: - https://tickhistory.com/ - https://firstratedata.com/tick-data Getting started 1. Install required modules: 2. Launch a Jupyter instance License Check LICENSE fil
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