Zhongwei wzwqoo
sebjai
/ short_term_alpha.ipynb
Last active
February 18, 2026 04:53
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)
Loading
Sorry, something went wrong. Reload?
Sorry, we cannot display this file.
Sorry, this file is invalid so it cannot be displayed.
This file contains hidden or bidirectional Unicode text that may be interpreted or compiled differently than what appears below. To review, open the file in an editor that reveals hidden Unicode characters.
Learn more about bidirectional Unicode characters
| /***************************************************************************** | |
| * QuantCup 1: Price-Time Matching Engine | |
| * | |
| * Submitted by: voyager | |
| * | |
| * Design Overview: | |
| * In this implementation, the limit order book is represented using | |
| * a flat linear array (pricePoints), indexed by the numeric price value. | |
| * Each entry in this array corresponds to a specific price point and holds | |
| * an instance of struct pricePoint. This data structure maintains a list |