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Avellaneda-Stoikov HFT market making algorithm implementation

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Avellaneda-Stoikov HFT model implementation

Avellaneda-Stoikov HFT market making algorithm implementation

Quickstart

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

Results

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.

Simulation Results

Figure 2 shows the distribution of PnL over 1000 simulations.

Pnl Histogram

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Avellaneda-Stoikov HFT market making algorithm implementation

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