- paper I wrote for a class at NYU designing a platform to sell equity swaps quanto'd into BTC
- some examples of microstructure models using GDAX (now Coinbase Pro) tick data
- Glosten Milgrom model for using informed flow to imply fair value distribution
GlostenBig.ipynb - probability of informed trading estimtion
PINBig.ipynb
- Bitcoin/Ethereum derivatives exchange https://www.deribit.com/
- futures trading and simple market making algo
strategy.py - fitting volatility surfaces and pricing/scenario analysis for a portfolio
vol.ipynb - alas Deribit has since banned US-domiciled users
- crypto cash exchange, now known as Coinbase Pro https://pro.coinbase.com/
- uses a websocket connection for live order/trade updates
book.pyandblobprotocol.py - small attempt at finding triangular arbitrages (though the 20-30bps fees on the site make it uneconomical)
arber.py - older code base and the site's API changed a few years ago