Project moved to https://github.com/nkaz001/hftbacktest
Full examples of algorithmic trading for Bitcoin using order book imbalances computed with a deeper level inspired by some articles(reference link as follows).
This example covers from the backtest to the trading bot implementation based on different kinds of order book imbalance strategies for BitMEX and Binance Futures.
You can see all previous optimized parameters in the notebook and commit history.
https://ieor.columbia.edu/files/seasdepts/industrial-engineering-operations-research/pdf-files/Borden_D_FESeminar_Sp10.pdf (page 5)
https://www.reddit.com/r/algotrading/comments/6q8dp6/market_making_theory_and_application_readings/
https://www.reddit.com/r/algotrading/comments/k4x9ft/we_all_know_moving_average_crossovers_are_crap/gec6xji
https://www.reddit.com/r/algotrading/comments/ivi8sc/brief_guide_on_researching_strategies_and/
https://www.reddit.com/r/algotrading/comments/p8e5wl/any_orderbook_traders/
https://miltonfmr.com/how-to-develop-test-and-optimize-a-trading-strategy-complete-guide/
https://www.reddit.com/r/quant/comments/kmdnty/open_source_hft_market_maker_bot_for_crypto (Lehalle)
https://www.reddit.com/r/algotrading/comments/ljrexf/forward_testing_bitcoin_strategy_based_on/
https://towardsdatascience.com/price-impact-of-order-book-imbalance-in-cryptocurrency-markets-bf39695246f6
https://github.com/hello2all/gamma-ray
https://blog.bitmex.com/how-to-market-make-bitcoin-derivatives-lesson-2/
https://github.com/BitMEX/sample-market-maker
https://www.tardis.dev
https://www.kaiko.com
http://db-ec.jpx.co.jp/category/C440/
https://www.hkex.com.hk/eng/ods/historicalData.aspx
https://datamine.cmegroup.com/#/datasets/cme.mbo
https://www.algoseek.com
https://www.dxfeed.com
http://www.tickdatamarket.com