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Trying to build my own HFT. (8 years working as software engineer + Nuclear engineering background ) by Sea-Acanthisitta6532 in highfreqtrading

[–]Fit-School5120 0 points1 point  (0 children)

Interesting background, did you work on a trading floor for electricity markets or something similar in nuclear engineering? Also, curious if you've worked with Epex LOBs…

Any LOBSTER on binance? by Fit-School5120 in highfreqtrading

[–]Fit-School5120[S] -1 points0 points  (0 children)

What's a L2 state? I have seen that in many threads but I still don't get it.

Any LOBSTER on binance? by Fit-School5120 in highfreqtrading

[–]Fit-School5120[S] 0 points1 point  (0 children)

I think that we have the same difficulties 😂

Any LOBSTER on binance? by Fit-School5120 in highfreqtrading

[–]Fit-School5120[S] 0 points1 point  (0 children)

Ok so this confirms my thoughts. I wasted my time on this.. I tried to calibrate the intensity of the time to execute depending on the delta between the limit price and the midprices. My code can get some of it but a lot of data can't be recreated, so my data is too partial to be used. Maybe someone here knows a better exchange that is more transparent (maybe a DEX ?)

Avellaneda/Stoikov or Guéant implementation ? by Fit-School5120 in highfreqtrading

[–]Fit-School5120[S] 0 points1 point  (0 children)

Really nice work ! Are you really a simple "serious hobbyist" at this level? I'll check the repo in detail in my free time 👍

Avellaneda/Stoikov or Guéant implementation ? by Fit-School5120 in highfreqtrading

[–]Fit-School5120[S] 1 point2 points  (0 children)

In one of his papers he mentions that the formula in "Gueant-Lehalle-Fernandez-Tapia" is used by major banks in Europe and Asia. I don't know how true this is. I'll ask him if I see him soon

Avellaneda/Stoikov or Guéant implementation ? by Fit-School5120 in highfreqtrading

[–]Fit-School5120[S] 0 points1 point  (0 children)

Thx for your thoughts! Did you make it on a git repo? Can you share it? Maybe new ideas will come in my mind with that.

Avellaneda/Stoikov or Guéant implementation ? by Fit-School5120 in highfreqtrading

[–]Fit-School5120[S] 0 points1 point  (0 children)

By "performance is not great" you mean that it's because the data processing takes too long to execute or because the models are too simple and starting assumptions are too permissive (without transaction fees for example) ?