ctc-executioner
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mjuchli
Master Thesis: Limit order placement with Reinforcement Learning
Hi - very cool repo, I have an issue in that inside the orderbook.py I am trying to pull my info from a orderbook csv file with pre-existing historical data,...
Once the academic part is finished, I'll do a code refactoring. I think the separation between the RL environment and components are okay. However, at least the following needs to...
Instead of decreasing the inventory only after the step at which a partial fill was done, the environment decreases the inventory for each subsequent step. For example here: the inventory...
Was a quote cancelled and replaced at a different price level, or cancelled without replacement?
Previously name classes with the name `Action` actually indicate an `Execution`. Therefore a renaming of all the related files and classes should be done. Preferably, a class called `ExecutionSet` should...
Instead of `(p_0 - vwap_t)` compare against `p_0 - (max([p_0; p_t]) + min([p_0; p_t])) / 2` (normalized between -1 and 1). Therefore we have a stable reward for any kind...
Use given implementation from https://github.com/danielktaylor/PyLimitBook and fix breaking changes from other components, including match engine.