#Import necessary libraries:
#==============================
import numpy as np
import pandas as pd
from sklearn.ensemble import RandomForestRegressor
from sklearn.model_selection import train_test_split
from sklearn.metrics import mean_absolute_error
Load and preprocess the data:
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# load the data
data = pd.read_csv("market_data.csv")
# remove missing values
data = data.dropna()
# create the target variable (y)
y = data['mid_price']
# create the features (X)
X = data.drop(['mid_price'], axis=1)
#Split the data into training and testing sets:
#===============================================
X_train, X_test, y_train, y_test = train_test_split(X, y, test_size=0.3, random_state=42)
Train the machine learning model:
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# initialize the model
model = RandomForestRegressor(n_estimators=100, random_state=42)
# fit the model to the training data
model.fit(X_train, y_train)
Evaluate the model's performance:
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# make predictions on the test set
y_pred = model.predict(X_test)
# calculate the mean absolute error
mae = mean_absolute_error(y_test, y_pred)
print("Mean Absolute Error: ", mae)
#Use the model to make market making decisions:
#======================================================
# function to make a market making decision
def market_making_decision(data):
# make a prediction using the model
prediction = model.predict(data)
# decide to buy or sell based on the prediction
if prediction > data['mid_price']:
decision = "Sell"
else:
decision = "Buy"
return decision
#Integrate the algorithm with an execution platform:
#=====================================================
# example of how to use the algorithm in a live trading environment
while True:
# get the latest market data
data = get_market_data()
# make a market making decision
decision = market_making_decision(data)
# execute the decision
execute_trade(decision)
# wait for the next market update
time.sleep(60)
"""""
Note: This is a simplified example and may not be suitable
for live trading. Additional considerations such as risk
management, slippage, and position sizing should be taken
into account when implementing a market making algorithm.
""""
Market Making algo example
- Post author:DKR
- Post published:14/01/2023
- Post category:code base
- Post comments:0 Comments
Tags: market making