mmssss / hft-market-making

Implementation of HFT backtesting simulator and Stoikov strategy

High Frequency Market Making: Optimal Quoting

Stoikov Strategy

• Implementation of the strategy: strategies/stoikov/stoikov.py
• Notebook with backtesting experiments: strategies/stoikov/stoikov_test.ipynb

Exploratory Data Analysis

• Binance Perpetual Futures BTCUSDT data: eda/eda-btc.ipynb
• Binance Perpetual Futures ETHUSDT data: eda/eda-eth.ipynb
• Comparison of BTCUSDT and ETHUSDT data: eda/btc-eth-comparison.ipynb

Exchange simulator

• My simulator is in directory simulator
• Simulator that is used throughout the project is in submodule simulator_external (a fork of https://github.com/dolmatovas/HFT).