A market making algorithm based on the Avellaneda Stoikov paper on Deribit derivatives exchange. A gradient boosted model is used for volatility and directional estimates to adjust the spread and skew the quotes.
☆22Feb 2, 2025Updated last year
Alternatives and similar repositories for deribit-marketmaker-rest
Users that are interested in deribit-marketmaker-rest are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Crypto-Options Volatility Surface Calibration and Arbitrage☆17Dec 26, 2022Updated 3 years ago
- Derivation of analytical expressions of optimal quotes for market making in options.☆25Jun 24, 2022Updated 4 years ago
- Phd repo☆18Jul 14, 2022Updated 4 years ago
- ☆69Apr 10, 2021Updated 5 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆37Nov 3, 2021Updated 4 years ago
- Bare Metal GPUs on DigitalOcean Gradient AI • AdPurpose-built for serious AI teams training foundational models, running large-scale inference, and pushing the boundaries of what's possible.
- ☆11Dec 5, 2024Updated last year
- ☆11Aug 27, 2024Updated 2 years ago
- Deribit bot to run options strategy orders with different triggers and targets. You can set strategy cost to execute orders, this can be …☆37Feb 13, 2025Updated last year
- An Option Market Maker for Deribit API☆12Apr 27, 2021Updated 5 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆13Nov 10, 2024Updated last year
- Script for trade arbitrage opportunities between European-style options and Perpetual futures, with notifications in telegram☆11Jun 10, 2023Updated 3 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- This is the code repository for 7FNCE025W High Frequency Trading.☆12Apr 12, 2023Updated 3 years ago
- This project is to download and analyze cryptocurrency option data available on Deribit via a public API. Data are collected on an Ubuntu…☆11Sep 17, 2021Updated 5 years ago
- 1-Click AI Models by DigitalOcean Gradient • AdDeploy popular AI models on DigitalOcean Gradient GPU virtual machines with just a single click. Zero configuration with optimized deployments.
- AS model performance versus trivial delta for market-makers☆21Jan 13, 2022Updated 4 years ago
- Kalman Filter, Smoother, and EM Algorithm for Python☆13Sep 4, 2023Updated 3 years ago
- A proof-of-concept algorithmic trading framework optimised in high-frequency and arbitrage trading☆12May 25, 2025Updated last year
- replication of micro-price on crytocurrency data☆10Feb 27, 2022Updated 4 years ago
- A handy tool to quickly analyze the orderbook depth for all Deribit listed options.☆20Jan 13, 2023Updated 3 years ago
- Collection of Models related to market making☆17Jan 25, 2021Updated 5 years ago
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆78Jun 3, 2018Updated 8 years ago
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆77Jun 22, 2022Updated 4 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆153Dec 28, 2019Updated 6 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Calibrates microprice model to BitMEX quote data☆65Jul 1, 2021Updated 5 years ago
- Market making strategies and scientific papers☆15Aug 20, 2023Updated 3 years ago
- ☆31Aug 7, 2022Updated 4 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆155May 6, 2023Updated 3 years ago
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Mar 20, 2023Updated 3 years ago
- A research project to study the gamma exposure of market-makers in Bitcoin option markets.☆18Sep 12, 2020Updated 6 years ago
- Tool to identify option arbitrage opportunities across different expiries.☆19Nov 6, 2024Updated last year
- 这是一个包含Zakamouline和WW两种期权对冲策略的项目☆19Apr 15, 2022Updated 4 years ago
- This repository provides a Python Notebook and resources for calibrating the parameters of the Heston model using observed Call Option pr…☆12Sep 17, 2024Updated 2 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- High-frequency statistical arbitrage☆289Jul 30, 2023Updated 3 years ago
- C++ tools and utilities for algorithmic trading.☆22Oct 16, 2026Updated 2 weeks ago
- ☆32Dec 4, 2020Updated 5 years ago
- ☆21Apr 1, 2023Updated 3 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Apr 8, 2020Updated 6 years ago
- Intraday Time Series Momentum trading strategy on 5-min bitcoin data☆14Jan 14, 2025Updated last year
- Dynamic delta hedging (DDH) is a trading strategy that involves hedging a non-linear position with linear instruments. Linear instruments…☆16Nov 24, 2023Updated 2 years ago