Where market making meets market microstructure

Рет қаралды 18,902

Sasha Stoikov

Жыл бұрын

A talk at the International Association of Quantitative Finance (IAQF) seminar on 2/14/23

Пікірлер: 44

@sstoikov 5 ай бұрын

Some code to get started with the microprice is available here: github.com/sstoikov/microprice

@pmuthuvivek7 Жыл бұрын

Easily the best content out on KZfaq with respect to Market Making. Please do post more content. Thanks

@sstoikov 5 ай бұрын

good to hear! any asset classes or topics that you find most interesting within market making?

@pmuthuvivek7 5 ай бұрын

Nothing in particular. But please do post videos related to market making whenever ypu find time. Thanks

@AchillesFleece Ай бұрын

@@sstoikovcan you talk about how to efficiently do market making for projects that are discovering price? New projects that are getting listed? Market making on DEX pools without order books

@aayushmahajan3749 5 күн бұрын

Hi sir , have been market making in Crypto since 2 years now , and this lecture is really insightful , people often rely on funny chart patterns but it is the order book where the real signals are created. Any more papers or content on Market Making as a subject would be great

@vehctor8893 4 ай бұрын

This is wonderful!

@user-kg1zy7nv8y Жыл бұрын

Awesome speech! The part that compares the mid-price to VAMP is impressive

@sstoikov 5 ай бұрын

cool and thanks for the feedback. VAMP seems particularly useful for crypto market making

@bck4107 Жыл бұрын

🔥🔥🔥

@cardosofede Жыл бұрын

Hummingbot + Sasha Stoikov = 🙌🚀

@sstoikov Жыл бұрын

Haha, maybe you could call the next version the Stoikov algorithm

@cardosofede Жыл бұрын

@@sstoikov haha let’s add it 🚀

@bgvianyc 4 ай бұрын

If John Malkovich was an expert on market making…

@luisleao5323 Жыл бұрын

gold content

@mathgeeks3598 7 ай бұрын

So great, how can I get the py file or example code shown in the slides?

@lorenzourera4223 5 ай бұрын

+1 This would be nice

@sstoikov 5 ай бұрын

github.com/sstoikov/microprice

@sstoikov 5 ай бұрын

@@lorenzourera4223 github.com/sstoikov/microprice

@PplsChampion 6 ай бұрын

VAMP seems very similar to what another MM on youtube called Global Average Symmetric Price (GASP) but the other guy did not reveal the details [claimed was trying to patent the idea]

@sstoikov 5 ай бұрын

good luck patenting a trading idea ;)

@bavandeep4683 2 ай бұрын

Do you think tracking the VPIN would be helpful as a warning signal before massive price drops?

@sstoikov 2 ай бұрын

VPIN has multiple definitions here: www.quantresearch.org/VPIN.pdf which one did you have in mind?

@bavandeep4683 2 ай бұрын

@@sstoikov I think I meant the high frequency estimate one given on page number 4, apparently it was able to predict the 2010 flash crash an hour before it happened, forgive me if I'm missing something obvious here I'm fairly new to market making literature

@Ibleesx Жыл бұрын

Hey did you know that they didn't even implement the Avel Stoi paper equations correctly

@dehbialaouibechir5919 Жыл бұрын

What makes you say this ? If that’s the case, do you know if it’s corrected now ?

@sstoikov Жыл бұрын

When you implement papers in code, you often have to make some engineering adjustments

@Ibleesx Жыл бұрын

@@sstoikovTaking out a factor of sigma from the expression seems too big of an engineering adjustment. This is directly from their source code: _reservation_price = price - (q * self.gamma * vol * time_left_fraction) here vol should be vol^2

@sstoikov Жыл бұрын

@@Ibleesx yes I saw that, but since the model assumes constant volatility, I don't view that as a big problem. You could even absorb the whole gamma*vol*time into a single parameter

@Ibleesx Жыл бұрын

@@sstoikov Right your model assumes constant volatility, but in humming bot it looks like people are using volatility calculated from a small trailing window, a la "InstantVolatilityIndicator". Although, you are right that it probably doesn't matter that much, since IMO it SHOULD be a constant (or at least more stationary than a short trailing window), so the trader can then adjust gamma to fit their risk preferences.

@snay6869 5 ай бұрын

your research paper is fucking litttt

@sstoikov 5 ай бұрын

thanks! which one? I have a few more here: papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=1121907

@snay6869 5 ай бұрын

@@sstoikov lol i am going to read all of them now, do you actively market make?

@snay6869 5 ай бұрын

@@sstoikov I’m an order flow discretionary trader actually, still in my young days. Wanted to learn things from you, be it from your papers. Is there anywhere we could chat?

@sstoikov 5 ай бұрын

@@snay6869 sure look me up on LinkedIn

@snay6869 5 ай бұрын

@@sstoikov sent!

@mmm-cake 3 ай бұрын

I thought I was dumb before I watched this. Can confirm am incredibly dumber than previously perceived… 😞 how do idiots like me make money in the markets…..

@sakjdh 8 ай бұрын

Any ICT traders here?

@discordraburg9988 6 ай бұрын

does ict claim he makes markets, with his enigma? i dont get it

@sakjdh 6 ай бұрын

@@discordraburg9988 no, but he gives a practical understanding on how non market makers can engage into market knowing what market makers are most likely to do. You get it now?

@ArchimedeanEye 5 ай бұрын

ICT traders have some good insights but you got to be a real dummy to believe MJH created the algo