fedecaccia avellaneda-stoikov: Avellaneda-Stoikov HFT market making algorithm implementation
The max_order_age parameter allows you to set a specific duration when resetting your order’s age. It refreshes your orders and automatically creates an order based on the spread and movement of the market. An amount in seconds, which is the duration for the placed limit orders. The market-maker can post competitive bid and ask prices […]