S. philsong
philsong
/ minimumViableDLOB.ts
Created
March 27, 2024 11:36
— forked from wphan/minimumViableDLOB.ts
Load Drift V2 DLOB with Typescript SDK
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| import { Connection, Keypair, PublicKey } from '@solana/web3.js'; | |
| import { | |
| BASE_PRECISION, | |
| BulkAccountLoader, | |
| configs, | |
| convertToNumber, | |
| DLOBSubscriber, | |
| DriftClient, | |
| getMarketsAndOraclesForSubscription, | |
| MarketType, |
philsong
/ STA4505-BasicDataView.ipynb
Created
September 7, 2021 10:58
— forked from sebjai/STA4505-BasicDataView.ipynb
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philsong
/ STA4505-FPCA.ipynb
Created
September 7, 2021 10:58
— forked from sebjai/STA4505-FPCA.ipynb
STA4505-FPCA
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philsong
/ STA2536-MixtureModel.ipynb
Created
September 7, 2021 10:58
— forked from sebjai/STA2536-MixtureModel.ipynb
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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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