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https://github.com/grinisrit/noa-atra

Analytics for Trading with NOA
https://github.com/grinisrit/noa-atra

algorithmic-trading cryptocurrency

Last synced: 25 days ago
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Analytics for Trading with NOA

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# Analytics for Trading using NOA



In this repository we present a few examples for trading analytics that leverage 

the nonlinear optimisation platform [NOA](https://github.com/grinisrit/noa) 

and its experimental `kotlin-jvm` frontend 

within the [KMath](https://github.com/mipt-npm/kmath) library. 



## Installation 



To use [kmath-noa](https://github.com/mipt-npm/kmath/tree/feature/noa/kmath-noa), 

you will need first to build & publish the module locally.



For data storage, you have to install 

[MongoDB](https://docs.mongodb.com/manual/tutorial/install-mongodb-on-ubuntu/).

You can edit the configurations in the [conf.yaml](conf.yaml) file.



## High Frequency Trading in Cryptocurrency Markets



In this study, we explore the impact of High Frequency Trading 

on execution costs and liquidity for several 

Cryptocurrency exchanges.



You will find the data collection utilities 

within [crypto-hft-data](crypto-hft-analytics). To run the app you need to simply

execute:

```

./gradlew -Dorg.gradle.java.home=/path/to/local/jdk -q :crypto-hft-data:run --args=/path/to/conf.yaml

```

You can configure it in [conf.yaml](conf.yaml) to get the LOB data feed from the following 

exchanges and liquidity aggregators:



* [Coinbase](https://docs.pro.coinbase.com/#websocket-feed)

* [Kraken](https://docs.kraken.com/websockets/#message-book)

* [Bitstamp](https://www.bitstamp.net/websocket/v2) 

* [Binance](https://github.com/binance/binance-spot-api-docs/blob/master/web-socket-streams.md)

* [Deribit](https://docs.deribit.com/?python#subscriptions)

* [Finery Markets](https://faq.finerymarkets.com/api-specifications)



for any of the traded instruments available on the platforms.



Once you've collected a bit of data you can run the analysis with

the models we provide in [crypto-hft-analytics](crypto-hft-analytics). 



The module [crypto-hft-visual](crypto-hft-visual) 

provides the visualisation apps.



## Acknowledgements



The following research has been carried out using our platform:

* R. Grinis, A. Kislitsyn, I. Drozdov and K. Shulga *Are Cryptocurrency Markets 

Running Behind the Fed? A Significant Shift in Crypto Markets Microstructure* 

(October 20, 2021). Available at 

[SSRN](http://ssrn.com/abstract=3951812)



We kindly acknowledge support from

[Finery Markets](https://finerymarkets.com/), 

[GrinisRIT ltd.](https://www.grinisrit.com/) and

[JetBrains Research](https://research.jetbrains.org/).



## License



NOA-ATRA is licensed under the terms and conditions of the GNU General

Public License (GPL) version 3 or - at your option - any later

version. The GPL can be read [online](https://www.gnu.org/licenses/gpl-3.0.en.html), 

or see the full [LICENSE](LICENSE)



Please note that NOA-ATRA license does NOT feature a

template exception to the GNU General Public License. This means that

you must publish any source code which uses any of the NOA-ATRA library functionality 

if you want to redistribute your program to third parties. If

this is unacceptable to you, please [contact us]([email protected]) 

for a commercial license.



For support or consultancy services 

contact [GrinisRIT](https://www.grinisrit.com).



(c) 2022 GrinisRIT ltd.