Full examples of algorithmic trading for Bitcoin using order book imbalances computed with a deeper level.
Newly optimized in June 2021. Please see the notebook about the results using the previous parameters.
https://github.com/nkaz001/sample-market-maker
https://github.com/nkaz001/sample-trading-bot
https://ieor.columbia.edu/files/seasdepts/industrial-engineering-operations-research/pdf-files/Borden_D_FESeminar_Sp10.pdf (page 5)
https://www.reddit.com/r/algotrading/comments/6q8dp6/market_making_theory_and_application_readings/
https://www.reddit.com/r/algotrading/comments/k4x9ft/we_all_know_moving_average_crossovers_are_crap/gec6xji
https://www.reddit.com/r/algotrading/comments/ivi8sc/brief_guide_on_researching_strategies_and/
https://miltonfmr.com/how-to-develop-test-and-optimize-a-trading-strategy-complete-guide/
https://www.reddit.com/r/quant/comments/kmdnty/open_source_hft_market_maker_bot_for_crypto (Lehalle)
https://www.reddit.com/r/algotrading/comments/ljrexf/forward_testing_bitcoin_strategy_based_on/
https://towardsdatascience.com/price-impact-of-order-book-imbalance-in-cryptocurrency-markets-bf39695246f6
https://github.com/hello2all/gamma-ray
https://blog.bitmex.com/how-to-market-make-bitcoin-derivatives-lesson-2/
https://github.com/BitMEX/sample-market-maker
https://www.tardis.dev
https://www.kaiko.com
http://db-ec.jpx.co.jp/category/C440/
https://www.hkex.com.hk/eng/ods/historicalData.aspx
https://datamine.cmegroup.com/#/datasets/cme.mbo
https://www.algoseek.com
https://www.dxfeed.com
http://www.tickdatamarket.com