Skip to content

HFT Profitability Exploratory Analysis with BTC and SPY

License

Notifications You must be signed in to change notification settings

dylanlt/WQU-32-HFT

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 

History

3 Commits
 
 
 
 
 
 
 
 

Repository files navigation

HFT Profitability - Exploratory Analysis

There are two folders: BTC for Bitcoin analysis across multiple exchanges SPY for the S&P 500 ETF on the NASDAQ exchange

The process was reconstruction of the order book from trade data, followed by simulations.

The BTC order book was reconstructed from millisecond-resolution tick data from Kaiko.

The SPY order book data was reconstructed from nanosecond-resolution ITCH data from NASDAQ. It is copied into this repo for convenience. The original ITCH file is several gigabytes in size.

About

HFT Profitability Exploratory Analysis with BTC and SPY

Topics

Resources

License

Stars

Watchers

Forks

Releases

No releases published

Packages

No packages published