Research and Implementation of Market Making in the crypto markets: The flow of this projects:
- Python Code researching the best order book factors that best estimate the mid price
- Get order book data
- Order Flow
- Avellaneda Strategy (Modified for crypto)
- Build a simulator with a Poisson distribution to simulate hits and lifts % as a function of a distance to mid price
- Python Code backtesting the best strategy determined from above
- C++ code that connects to crypto exchanges and makes a market
- Python dashboard that observes the performance of the strategy live, as well as historical performance based on the log files produced above -Complete