Avellaneda-Stoikov HFT market making algorithm implementation
Set up python environment:
python3 -m virtualenv venv
#source venv/bin/activate #linux
venv\Scripts\activate.bat # windows
Install dependencies:
pip install -r requirements.txt
Check model parameters in main.py and then execute the code:
python main.py
Figure 1 show results of a simulation using the following parameters:
- gamma: 0.1
- sigma: 2
- T: 1
- k: 1.5
- M: 0.5
The first chart shows price, indiference price and bid, ask quotes evolution. The second chart shows the profit and loss evolution. The last chart shows the inventory evolution.
Figure 2 shows the distribution of PnL over 1000 simulations.
