DeepMM (Deep dive Market Making) module is a Python package for backtesting, analysing and optimizing trading strategies. It includes a number of pre-implemented strategies, but it is also possible to create new strategies, as well as to combine them.
We tried out a variety of different strategies and market making around the midprice:
- Avellaneda-Stoikov Market Making Model. This model allowed us to adjust for inventory and volatility in a much more profitable way. Refer
src/strategy/market_making.py
For detailed user guides and advanced guides, please refer to our documentation:
- User guides:
Details
We also provide the experiment on colab