scalabli/sashay

Sashay is an automatic installer for useful tools.

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mdibo/Avellaneda-Stoikov

Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov

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ragoragino/avellaneda-stoikov

Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008): 217-224.

⭐ 93 | 🍴 30

shaileshkakkar/MicroPriceIndicator

This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in the paper for US equities BAC and CVX, I am using the data for the Crypto pair ETHBTC. The data was pulled by me from Binance by subscribing to three different streams - Market Trades, Partial Depth and Orderbook Snapshot. Then these were combined to form the order-book and analysis done on the same.

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