Name: Liu Wei
Email: u3555658@connect.hku.hku
This repository is for Task2 and Task3.
-
For the orderbook question, I use the depth difference data from binance, for constructing the orderbook, i use the priorityQueue,in this case, it can remove the best bid/ask in O(1)time.
- please run the code:
python ./Task2/orderbook.py
-
For the problem: "Find the AWS instance that has the lowest latency with the server where the exchange’s matching engine resides",
- I use the Dijkstra Algorithm, all the servers in AWS would in the graph structure.
- the weight in each edge would be the response time for the adjancent node.
- To get the reponse time, we should use the
ping
method to get the time - please run the code :
python ./Task2/dijkstra.py
-
Question1.py
is the implementation of calculating the funding rate -
Question2.py
is the implementation of the implied funding rate -
Question3.ipynb
is the data exploratory and trade idea.