Market maker on BitMEX

Instrument: ETH
Algorithm: Avellaneda & Stoikov (2008)
Practical Modifications:
1. Remove terminal state (market active 24/7)
2. Add dynamic inventory control
3. Redesign API queries for better reaction time.
Performance: live trading results: drawdown due to large absurd moves of the market
Future Improvements:
1. Introduce microstructural trend indicators: VPIN
2. Stablize system. BitMEX API is unstable and unreliable/

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