Bitmex_HFT

The goal of this project is to explore the market microstructure of Bitcoin traded on BitMEX.

1. Dependencies

First, dependencies must be installed to run any of the code.

Pip install:

Pandas
Arctic
Websocket
Json

2. Data

Next, the data is collected and stored in a Arctic Tick Database by running main.py. This includes two libraries, one for trades and another for quotes.

3. Analysis

The Orderbook is recreated and visualized in the Visualizations jupyter notebook which is what was used for Part 1 of the article.

4. References

• Limit Order Book Visualizations by Phil Stubbings

• Visualizing Bitcoin Order Book by Ricky Han