MicroPriceIndicator | repository serves to share the replicated results

by shaileshkakkar Jupyter Notebook Version: Current License: No License

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kandi X-RAY | MicroPriceIndicator Summary

MicroPriceIndicator is a Jupyter Notebook library. MicroPriceIndicator has no bugs, it has no vulnerabilities and it has low support. You can download it from GitHub.

This repository serves to replicate the results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in the paper for US equities BAC and CVX, I am using the data for the Crypto pair TRXBTC. The data was pulled by me from Binance by subscribing to three different streams - Market Trades, Partial Depth and OrderbookSnapshot. Then these were combined to form the order-book and analysis done on the same. It is interesting to note that the micro price adjustment of the mid price in orderbook shares the same dynamics with orderImbalance and Spread metrics in Crypto space as has been shown by Sasha Stoikov in Equity space. A practical utilization of the approach is to use this enhanced model for fair-price calculation and then to quote around it when making markets.

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MicroPriceIndicator has a low active ecosystem.

It has 43 star(s) with 21 fork(s). There are 7 watchers for this library.

It had no major release in the last 6 months.

MicroPriceIndicator has no issues reported. There are no pull requests.

It has a neutral sentiment in the developer community.

The latest version of MicroPriceIndicator is current.

Quality

MicroPriceIndicator has no bugs reported.

Security

MicroPriceIndicator has no vulnerabilities reported, and its dependent libraries have no vulnerabilities reported.

License

MicroPriceIndicator does not have a standard license declared.

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Without a license, all rights are reserved, and you cannot use the library in your applications.

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MicroPriceIndicator releases are not available. You will need to build from source code and install.

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MicroPriceIndicator Key Features

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MicroPriceIndicator Examples and Code Snippets

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You can download it from GitHub.

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