seanahmad
seanahmad
/ TargetPercent_MarketSpeed.ipynb
Created
December 9, 2021 00:41
— 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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seanahmad
/ Liquidation_Permanent_Price_Impact.ipynb
Created
December 9, 2021 00:38
— 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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seanahmad
/ get_pepperstone_data.py
Created
April 28, 2020 20:32
— forked from bolshoibooze/get_pepperstone_data.py
Download Forex tick data from pepperstone <https://pepperstone.com/en/client-resources/historical-tick-data>
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| import urllib2 | |
| """ | |
| #Usage: | |
| in a python shell | |
| >> import get_pepperstone_data | |
| >> get_pepperstone_data.run() | |
| # Notes: | |
| 1: Selection of pairs is highly opinionated |
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