Data

Tools

Indexes

Applications

Experiments

Open Source Science

https://github.com/lcsrodriguez/optimalhft

HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)

https://github.com/lcsrodriguez/optimalhft

Science Score: 10.0%

This score indicates how likely this project is to be science-related based on various indicators:

  • ○
    CITATION.cff file
  • ○
    codemeta.json file
  • ○
    .zenodo.json file
  • ○
    DOI references
  • ✓
    Academic publication links
    Links to: arxiv.org
  • ○
    Committers with academic emails
  • ○
    Institutional organization owner
  • ○
    JOSS paper metadata
  • ○
    Scientific vocabulary similarity
    Low similarity (10.7%) to scientific vocabulary

Keywords

calibration cox-point-process hft high-frequency-trading l1-data market-making optimization parameters-estimation poisson-process stochastic-control
Last synced: 4 months ago · JSON representation

Repository

HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)

Basic Info
  • Host: GitHub
  • Owner: lcsrodriguez
  • License: gpl-3.0
  • Language: Jupyter Notebook
  • Default Branch: main
  • Homepage:
  • Size: 559 KB
Statistics
  • Stars: 13
  • Watchers: 1
  • Forks: 5
  • Open Issues: 0
  • Releases: 0
Topics
calibration cox-point-process hft high-frequency-trading l1-data market-making optimization parameters-estimation poisson-process stochastic-control
Created almost 3 years ago · Last pushed almost 2 years ago
Metadata Files
Readme License

README.md

Optimal HF trading (HFT & Stochastic Control)

  

Workflows:

Overview

This project aims at studying a research article involving high-frequency trading & stochastic control applications. One also attempts to reproduce the numerical results shown in this paper.

  • Original paper: Optimal high frequency trading with limit and market orders, Fabien GUILBAUD, Huyên PHAM (2011)
  • Keywords: Market making, limit order book, inventory risk, point process, stochastic control

Data description

This article's using Level 1 (L1) data from SOGCGEN.PA (intraday data) for only one day: April 18, 2011 between 9:30 and 16:30 in Paris local time (CET, UTC+2).

To reproduce the method introduced in this article, one applies it to L1 (tick data) sample dataset available on TickHistory's website.

Dataset description: - GOOG: trades and quotes data - MSFT: trades and quotes data

. ├── tickhistory_sample │   ├── GOOG_Quote_2022_01_03.txt │   ├── GOOG_Trade_2022_01_03.txt │   ├── MSFT_Quote_2022_01_03.txt │   ├── MSFT_Trade_2022_01_03.txt │   ├── file_format_details.txt │   └── tick_history_ticker_coverage.txt └── tickhistory_sample.zip

Data from: - https://tickhistory.com/ - https://firstratedata.com/tick-data

Getting started

  1. Install required modules: pip3 install -r requirements.txt

  2. Launch a Jupyter instance jupyter-notebook .

License

Check LICENSE file

  • Adrien NAVARRO - Lucas RODRIGUEZ
  • Academic works (March - May 2023)

Owner

  • Name: Lucas RODRIGUEZ
  • Login: lcsrodriguez
  • Kind: user
  • Location: Paris, France
  • Company: Paris-Saclay Univ., ENSIIE Paris & @unibo

Engineering student in CS, Applied Mathematics & Quantitative finance. C++ developer

GitHub Events

Total
  • Watch event: 8
Last Year
  • Watch event: 8

Committers

Last synced: about 2 years ago

All Time
  • Total Commits: 19
  • Total Committers: 1
  • Avg Commits per committer: 19.0
  • Development Distribution Score (DDS): 0.0
Past Year
  • Commits: 19
  • Committers: 1
  • Avg Commits per committer: 19.0
  • Development Distribution Score (DDS): 0.0
Top Committers
Name Email Commits
lcsrodriguez l****8@o****m 19

Issues and Pull Requests

Last synced: about 2 years ago

All Time
  • Total issues: 0
  • Total pull requests: 0
  • Average time to close issues: N/A
  • Average time to close pull requests: N/A
  • Total issue authors: 0
  • Total pull request authors: 0
  • Average comments per issue: 0
  • Average comments per pull request: 0
  • Merged pull requests: 0
  • Bot issues: 0
  • Bot pull requests: 0
Past Year
  • Issues: 0
  • Pull requests: 0
  • Average time to close issues: N/A
  • Average time to close pull requests: N/A
  • Issue authors: 0
  • Pull request authors: 0
  • Average comments per issue: 0
  • Average comments per pull request: 0
  • Merged pull requests: 0
  • Bot issues: 0
  • Bot pull requests: 0
View more stats
Top Authors
Issue Authors
Pull Request Authors
Top Labels
Issue Labels
Pull Request Labels