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javifalces committed Feb 10, 2024
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7 changes: 5 additions & 2 deletions README.md
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Expand Up @@ -118,6 +118,9 @@ the [AlgorithmConnectorConfiguration](java/trading_algorithms/src/main/java/com/
and are in charge of translate market messages into the format our framework can understand and send orders to the
market.

These engines possess the capability to archive data in a database, a feature that can be leveraged for the purpose of
backtesting or analytical examination.

* MarketDataProvider : receive depth and trades . listen(TypeMessage.depth, TypeMessage.trade, TypeMessage.command)
* TradingEngineConnector: send request and listen to execution reports listen(TypeMessage.execution_report,
TypeMessage.info)
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### Backtest

![Backtest Architecture](fig/BacktestArquitecture.JPG?raw=true "Backtest")
![Backtest Architecture](fig/BacktestArquitecture.jpg?raw=true "Backtest")

### Live trading

![Live Architecture](fig/LiveArquitecture.JPG?raw=true "Live trading")
![Live Architecture](fig/LiveArquitecture.jpg?raw=true "Live trading")

## Environment settings

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6 changes: 4 additions & 2 deletions docs/alpha_as.md
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Expand Up @@ -25,9 +25,11 @@ advantages:
5. Potential for Improved Performance: The combination of the Avellaneda Stoikov model with RL has the potential to
outperform traditional market making strategies, as demonstrated in academic research.
6. Flexibility: The RL can be trained with different types of algorithms (like DQN, PPO, etc.), providing flexibility in
choosing the most suitable one for the specific market conditions and trading objectives.
choosing the most suitable one for the specific market conditions and trading objectives.<br>

[Notebook](../python/notebooks/AlphaAvellanedaStoikov.ipynb)

### Avellaneda Stoikov implementation

* [Java](../java/trading_algorithms/src/main/java/com/lambda/investing/algorithmic_trading/market_making/avellaneda_stoikov/AvellanedaStoikov.java)
* [Python](../python/trading_algorithms/market_making/avellaneda_stoikov.py)
* [Python](../python/trading_algorithms/market_making/avellaneda_stoikov.py)

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