quantpylib.standards orderbook and trades
Preview:
While we are working on the momentum series, I am going to kick off a new mini series in parallel to talk some of the new features in quantpylib. One of that is the orderbook and trades model. For instance, with the orderbook, we can now compute instantaneous volatility estimates with the l2-book stream using the gateway executor. Furthermore, passing this orderbook into a trade-model, and streaming trade data, we can estimate parameters such as trading intensities for the poisson processing modelling trade arrivals.
These parameters are direct inputs into the principal equations for determining optimal bid-ask spreads, such as in the Avellaneda and Stoikov papers.
Even though I am fairly (I mean, very) new to market making, my feel from this, also beginner post, is that you guys loved it when I went through my thought process of drafting up a funding arbitrage bot:
So we will discuss the AnS paper, and I will talk about my thoughts on it, as a monkey, and some of my implementations in practice.
Cheers~
Github repo for annual subscribers:
