dysim/avellaneda-stoikov-implementation

An implementation of Avellaneda-Stoikov market making model after reading the seminal paper

Implementation of Avellaneda-Stoikov market making model

My implementation of the seminal work by Avellaneda-Stoikov (2008)

Several References that helped me along the way

1. Hummingbot technical deep dive
2. Hummingbot guide
3. fedecaccia's implementation

Instructions

pip install -r requirements.txt
python avellaneda_stoikov_model.py

Results

Symmetric Strategy

Inventory Strategy

Some notes

Some of the paper assumptions are:

1. Volatility is constant
2. Order book statistical nature is constant

Depending on the markets, for example crypto, the assumptions might not hold. Hummingbot seems to have made some extensions to these assumptions and more, might be worth checking out