README.md

CamCapital

Personal Project that implements a variety of HFT strategies in C++

This is still very much a work in progress. I hope to continue development into the future, adding more strategies, perhaps a dashboard of some kind, and importantly, the ability to trade via the FIX protocol.

Exchange: FTX.us

OS: Ubuntu Linux

Dependencies (Thus Far):

• Boost
• Poco
• Fix8

Resources Used:

• High-frequency trading in a limit order book (Marco Avellaneda & Sasha Stoikov)
  • (https://people.orie.cornell.edu/sfs33/LimitOrderBook.pdf)
• Optimal High-Frequency Market Making (Takahiro Fushimi, Christian Gonz ́alez Rojas, & Molly Herman)
  • (http://stanford.edu/class/msande448/2018/Final/Reports/gr5.pdf)
• https://www.reddit.com/r/highfreqtrading
• https://www.reddit.com/r/algotrading
• https://docs.ftx.us
• https://fix8.org

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Example of Pseudo-Market-Making (BCH/USD)... without actually trading... and if there was 0 latency... and takers for all my orders:

• This is using realtime data from FTX using a websocket, and conducting realtime analysis to determine profitable trades.