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Tuesday, February 07, 2023 3:38:36 PM
" This strategy implements a market making strategy described in the classic paper High-frequency Trading in a Limit Order Book written by Marco Avellaneda and Sasha Stoikov. It allows users to directly adjust the risk_factor (gamma) parameter described in the paper. It also features an order book liquidity estimator calculating the trading intensity parameters (alpha and kappa) automatically. Additionally, the strategy implements an order size adjustment algorithm and its order_amount_shape_factor (eta) parameter as described in Optimal High-Frequency Market Making. The strategy is implemented to be used either in fixed timeframes or to be ran indefinitely."
Simple
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