├── .gitignore ├── .gitmodules ├── .idea ├── .gitignore ├── inspectionProfiles │ └── profiles_settings.xml ├── microprice-calibration.iml ├── misc.xml ├── modules.xml └── vcs.xml ├── README.md ├── alpha ├── .idea │ ├── alpha.iml │ ├── inspectionProfiles │ │ └── profiles_settings.xml │ ├── misc.xml │ ├── modules.xml │ └── workspace.xml ├── appsettings.json ├── fitting.py ├── solution.xlsx └── solver.py ├── calib.config.json ├── calibrate.py ├── create_quote_store.py ├── create_trade_store.py ├── graphs ├── ETHUSD_calibrated.pdf ├── ETHUSD_calibrated.png ├── ETHUSD_lamda_m.pdf ├── ETHUSD_lamda_m.png ├── ETHUSD_lamda_p.pdf ├── ETHUSD_lamda_p.png ├── ETHUSD_purchases_hist.pdf ├── ETHUSD_purchases_hist.png ├── ETHUSD_sales_hist.pdf └── ETHUSD_sales_hist.png ├── solution.xlsx ├── store.quote.config.json └── store.trade.config.json /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/.gitignore -------------------------------------------------------------------------------- /.gitmodules: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/.gitmodules -------------------------------------------------------------------------------- /.idea/.gitignore: -------------------------------------------------------------------------------- 1 | # Default ignored files 2 | /workspace.xml 3 | -------------------------------------------------------------------------------- /.idea/inspectionProfiles/profiles_settings.xml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/.idea/inspectionProfiles/profiles_settings.xml -------------------------------------------------------------------------------- /.idea/microprice-calibration.iml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/.idea/microprice-calibration.iml -------------------------------------------------------------------------------- /.idea/misc.xml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/.idea/misc.xml -------------------------------------------------------------------------------- /.idea/modules.xml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/.idea/modules.xml -------------------------------------------------------------------------------- /.idea/vcs.xml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/.idea/vcs.xml -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/README.md -------------------------------------------------------------------------------- /alpha/.idea/alpha.iml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/alpha/.idea/alpha.iml -------------------------------------------------------------------------------- /alpha/.idea/inspectionProfiles/profiles_settings.xml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/alpha/.idea/inspectionProfiles/profiles_settings.xml -------------------------------------------------------------------------------- /alpha/.idea/misc.xml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/alpha/.idea/misc.xml -------------------------------------------------------------------------------- /alpha/.idea/modules.xml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/alpha/.idea/modules.xml -------------------------------------------------------------------------------- /alpha/.idea/workspace.xml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/alpha/.idea/workspace.xml -------------------------------------------------------------------------------- /alpha/appsettings.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/alpha/appsettings.json -------------------------------------------------------------------------------- /alpha/fitting.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/alpha/fitting.py -------------------------------------------------------------------------------- /alpha/solution.xlsx: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/alpha/solution.xlsx -------------------------------------------------------------------------------- /alpha/solver.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/alpha/solver.py -------------------------------------------------------------------------------- /calib.config.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/calib.config.json -------------------------------------------------------------------------------- /calibrate.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/calibrate.py -------------------------------------------------------------------------------- /create_quote_store.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/create_quote_store.py -------------------------------------------------------------------------------- /create_trade_store.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/create_trade_store.py -------------------------------------------------------------------------------- /graphs/ETHUSD_calibrated.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/graphs/ETHUSD_calibrated.pdf -------------------------------------------------------------------------------- /graphs/ETHUSD_calibrated.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/graphs/ETHUSD_calibrated.png -------------------------------------------------------------------------------- /graphs/ETHUSD_lamda_m.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/graphs/ETHUSD_lamda_m.pdf -------------------------------------------------------------------------------- /graphs/ETHUSD_lamda_m.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/graphs/ETHUSD_lamda_m.png -------------------------------------------------------------------------------- /graphs/ETHUSD_lamda_p.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/graphs/ETHUSD_lamda_p.pdf -------------------------------------------------------------------------------- /graphs/ETHUSD_lamda_p.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/graphs/ETHUSD_lamda_p.png -------------------------------------------------------------------------------- /graphs/ETHUSD_purchases_hist.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/graphs/ETHUSD_purchases_hist.pdf -------------------------------------------------------------------------------- /graphs/ETHUSD_purchases_hist.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/graphs/ETHUSD_purchases_hist.png -------------------------------------------------------------------------------- /graphs/ETHUSD_sales_hist.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/graphs/ETHUSD_sales_hist.pdf -------------------------------------------------------------------------------- /graphs/ETHUSD_sales_hist.png: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/graphs/ETHUSD_sales_hist.png -------------------------------------------------------------------------------- /solution.xlsx: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/solution.xlsx -------------------------------------------------------------------------------- /store.quote.config.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/store.quote.config.json -------------------------------------------------------------------------------- /store.trade.config.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/grayvalley/microprice-calibration/HEAD/store.trade.config.json --------------------------------------------------------------------------------