Simulating HFT strategies with L/M order arrival and cancellation rate parametrs calibrated to Market

Published: 11/12/2017
Simulating HFT strategies with L/M order arrival and cancellation rate parametrs calibrated to Market
Source: WWW.NUCLEARPHYNANCE.COM

Dear Friends, Would someone be interested in the programs for real time construction of the limit order book in electronic format from Nasdaq ITCH or other protocols. Once the limit order book has been properly modelled, we can calibrate stochastic Limit and market order arrival/cancellation rates intelligently to the particular exchange market at some time stage and then run different market maki

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