YuriWerewolf
YuriWerewolf
/ Liquidation_Permanent_Price_Impact.ipynb
Created
May 11, 2023 05:01
— forked from sebjai/Liquidation_Permanent_Price_Impact.ipynb
Optimal Execution with linear and non-linear impact. Chapter 6 of Algorithmic and High-Frequency Trading (c) Cartea, Jaimungal, & Penalva, 2015 Cambridge University Press
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YuriWerewolf
/ short_term_alpha.ipynb
Created
April 5, 2023 21:05
— forked from sebjai/short_term_alpha.ipynb
Market Making in Short-Term Alpha (Chapter 10.4.2 of Algorithmic and High-Frequency Trading by Cartea, Jaimungal, Penalva, published by Cambridge University Press)
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YuriWerewolf
/ download_bars.py
Created
January 18, 2023 11:30
— forked from wrighter/download_bars.py
A command line utility to download historical data from Interactive Brokers
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| #!/usr/bin/env python | |
| import os | |
| import sys | |
| import argparse | |
| import logging | |
| from datetime import datetime, timedelta | |
| from typing import List, Optional | |
| from collections import defaultdict |