Implementation of Avellaneda and Stoikov's High-Frequency Trading Model in a Limit Order Book Context

Getting Started

These instructions will get you a copy of the project up and running on your local machine for development and testing purposes.

Prerequisites

Before you begin, ensure you have met the following requirements:

• You have installed the latest version of CMake.
• You have installed the boost library (minimum required version is 1.76.0)
• You have the gnuplot program installed (with qt terminal support)
• You have a <Windows/Linux/Mac> machine. State which OS is supported/which is not.

Installing and Running

To install and run the project, follow these steps:

1. Clone the repository:

   git clone <repo_link>
   

2. Navigate to the project directory:

   cd <project_directory>
   

3. Install the required Python dependencies:

   pip install -r requirements.txt
   

4. Build and run the project using the provided Makefile:

   make
   

This will configure and build the project, run the MarketMaker executable, and then run plot.py to generate the plot.

License

This project is licensed under the MIT License. See the LICENSE file for details.