https://github.com/nkaz001/algotrading-example
algorithmic trading backtest and optimization examples using order book imbalances. (bitcoin, cryptocurrency, bitmex, binance futures, market making)
https://github.com/nkaz001/algotrading-example
algo-trading algo-trading-strategies algorithm-trading algorithmic-trading-backtests algotrading algotrading-resources binance-bot binance-futures binance-trading-bot bitcoin-trading bitcoin-trading-bot bitmex-bot cryptocurrency-trading cryptocurrency-trading-strategies orderbook orderbook-imbalance trading trading-algorithms trading-bot trading-strategies
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algorithmic trading backtest and optimization examples using order book imbalances. (bitcoin, cryptocurrency, bitmex, binance futures, market making)
- Host: GitHub
- URL: https://github.com/nkaz001/algotrading-example
- Owner: nkaz001
- Created: 2021-03-17T16:55:49.000Z (over 4 years ago)
- Default Branch: master
- Last Pushed: 2023-12-04T14:51:41.000Z (almost 2 years ago)
- Last Synced: 2025-03-30T15:11:30.635Z (7 months ago)
- Topics: algo-trading, algo-trading-strategies, algorithm-trading, algorithmic-trading-backtests, algotrading, algotrading-resources, binance-bot, binance-futures, binance-trading-bot, bitcoin-trading, bitcoin-trading-bot, bitmex-bot, cryptocurrency-trading, cryptocurrency-trading-strategies, orderbook, orderbook-imbalance, trading, trading-algorithms, trading-bot, trading-strategies
- Language: Jupyter Notebook
- Homepage:
- Size: 26.4 MB
- Stars: 294
- Watchers: 15
- Forks: 97
- Open Issues: 0
-
Metadata Files:
- Readme: README.md
Awesome Lists containing this project
README
# Project moved to https://github.com/nkaz001/hftbacktest
# Algorithmic trading backtests
Full examples of algorithmic trading for Bitcoin using order book imbalances computed with a deeper level inspired by some articles(reference link as follows).
This example covers from the backtest to the trading bot implementation based on different kinds of order book imbalance strategies for BitMEX and Binance Futures.
You can see all previous optimized parameters in the notebook and commit history.
## btcusdt-standardization-market-making-backtest
## btcusdt-standardization-simple-backtest
## btcusdt-strategy-portfolio
## References
### Gist
https://ieor.columbia.edu/files/seasdepts/industrial-engineering-operations-research/pdf-files/Borden_D_FESeminar_Sp10.pdf (page 5)
https://www.reddit.com/r/algotrading/comments/6q8dp6/market_making_theory_and_application_readings/
https://www.reddit.com/r/algotrading/comments/k4x9ft/we_all_know_moving_average_crossovers_are_crap/gec6xji
https://www.reddit.com/r/algotrading/comments/ivi8sc/brief_guide_on_researching_strategies_and/
### Etc
https://www.reddit.com/r/algotrading/comments/p8e5wl/any_orderbook_traders/
https://miltonfmr.com/how-to-develop-test-and-optimize-a-trading-strategy-complete-guide/
https://www.reddit.com/r/quant/comments/kmdnty/open_source_hft_market_maker_bot_for_crypto (Lehalle)
https://www.reddit.com/r/algotrading/comments/ljrexf/forward_testing_bitcoin_strategy_based_on/
https://towardsdatascience.com/price-impact-of-order-book-imbalance-in-cryptocurrency-markets-bf39695246f6
https://github.com/hello2all/gamma-ray
### BitMEX
https://blog.bitmex.com/how-to-market-make-bitcoin-derivatives-lesson-2/
https://github.com/BitMEX/sample-market-maker
## Data
### Crypto
https://www.tardis.dev
https://www.kaiko.com
### Futures Exchanges
http://db-ec.jpx.co.jp/category/C440/
https://www.hkex.com.hk/eng/ods/historicalData.aspx
https://datamine.cmegroup.com/#/datasets/cme.mbo
### Vendors
https://www.algoseek.com
https://www.dxfeed.com
http://www.tickdatamarket.com