- Instrument: ETH
- Algorithm: Avellaneda & Stoikov (2008)
- Practical Modifications:
- Remove terminal state (market active 24/7)
- Add dynamic inventory control
- Redesign API queries for better reaction time.
- Performance: live trading results: drawdown due to large absurd moves of the market
- Future Improvements:
- Introduce microstructural trend indicators: VPIN
- Stablize system. BitMEX API is unstable and unreliable/
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