/market_maker

Primary LanguagePython

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/