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Module avellaneda_stoikov_bilateral_hawkes_order_flow_imbalance

engine::strategies

Module avellaneda_stoikov_bilateral_hawkes_order_flow_imbalance 

Source

Structsยง

AvellanedaStoikovBilateralHawkesOrderFlowImbalanceParameters
Parameters for the bilateral Hawkes with order flow imbalance FDM strategy.
AvellanedaStoikovBilateralHawkesOrderFlowImbalanceStrategy
Avellaneda-Stoikov strategy driven by precomputed FDM bilateral-Hawkes-with-OFI spreads.