ReFlow provides a comprehensive liquidity analytics framework for optimal execution and market making. It implements semi Lagrangian APIs for HJB equations to solve optimal liquidation in algorithmic trading. It utilizes Almgren-Chriss framework to refine pricing for options with illiquid underlying assets and improve hedging strategies for options with physical delivery. For block trades, the library is able to compute the risk-liquidity premium which incorporates the effect of large positions in pricing.
ReFlow is distributed under Apache-2.0 license.