Personal Project that implements a variety of HFT strategies in C++
This is still very much a work in progress. I hope to continue development into the future, adding more strategies, perhaps a dashboard of some kind, and importantly, the ability to trade via the FIX protocol.
Exchange: FTX.us
OS: Ubuntu Linux
Dependencies (Thus Far):
- Boost
- Poco
- Fix8
Resources Used:
- High-frequency trading in a limit order book (Marco Avellaneda & Sasha Stoikov)
- Optimal High-Frequency Market Making (Takahiro Fushimi, Christian Gonz ́alez Rojas, & Molly Herman)
- https://www.reddit.com/r/highfreqtrading
- https://www.reddit.com/r/algotrading
- https://docs.ftx.us
- https://fix8.org
Example of Pseudo-Market-Making (BCH/USD)... without actually trading... and if there was 0 latency... and takers for all my orders:
- This is using realtime data from FTX using a websocket, and conducting realtime analysis to determine profitable trades.
