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philsong / minimumViableDLOB.ts
Created March 27, 2024 11:36 — forked from wphan/minimumViableDLOB.ts
Load Drift V2 DLOB with Typescript SDK
import { Connection, Keypair, PublicKey } from '@solana/web3.js';
import {
BASE_PRECISION,
BulkAccountLoader,
configs,
convertToNumber,
DLOBSubscriber,
DriftClient,
getMarketsAndOraclesForSubscription,
MarketType,
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@philsong
philsong / STA4505-FPCA.ipynb
Created September 7, 2021 10:58 — forked from sebjai/STA4505-FPCA.ipynb
STA4505-FPCA
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philsong / PriceLimitSim.ipynb
Created September 7, 2021 10:58 — forked from sebjai/PriceLimitSim.ipynb
Algo Trading Book Price Limiter (Chapter 7.2 of of Algorithmic and High-Frequency Trading by Cartea, Jaimungal, Penalva, published by Cambridge University Press)
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philsong / short_term_alpha.ipynb
Created September 7, 2021 10:58 — 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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philsong / STA2536-exponential-MixtureModel.ipynb
Created September 7, 2021 10:57 — forked from sebjai/STA2536-exponential-MixtureModel.ipynb
Estimation exponential mixture models
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philsong / OrderFlow.ipynb
Created September 7, 2021 10:57 — forked from sebjai/OrderFlow.ipynb
Optimal trading with order-flow and short-term alpha
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philsong / Execution_Limit_MarketOrder.ipynb
Created September 7, 2021 10:57 — forked from sebjai/Execution_Limit_MarketOrder.ipynb
Implementation of optimal execution using limit and market orders from Chap 8.5 of Algorithmic and High-Frequency Trading by Cartea, Jaimungal, & Penalva (2015) Cambridge University Press
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philsong / TargetPercent_MarketSpeed.ipynb
Created September 7, 2021 10:57 — forked from sebjai/TargetPercent_MarketSpeed.ipynb
Optimal execution with a percentage of volume target (Chap 9.2 of Algorithmic and High-Frequency Trading (c) Cartea, Jaimungal, & Penalva 2015 Cambridge University Press)
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