Interbank FX, anyone?

Discussion in 'Forex' started by robthequant, Oct 30, 2019.

  1. Ok, I think you may be right on this one :)
     
    #21     Oct 31, 2019
  2. Sig

    Sig

    #22     Oct 31, 2019
    robthequant likes this.
  3. TommyR

    TommyR

    i do have ebs but i dont use it for market making. if you call them (cme) up they will be very happy to sort out what you need. out of interest how did you train a market maker without access to the order book? did you train it playing itself like an adversarial bot. good luck
     
    #23     Oct 31, 2019
  4. Lol

     
    #24     Oct 31, 2019
  5. Hi Tommy, good question. I wrote my own LOB simulator engine that takes full depth order book data that I collected on BTC futures. It executes a trade only when the level is breached (current bid < limit order bid). It doesn't simulate order queuing but I validated this execution against real account behavior, it estimates it pretty well - simulated equity curve is pretty close to the real account equity curve. I am doing training using neuroevolution.
     
    #25     Oct 31, 2019
  6. You have ebs from CME? Can you tell me the software platform you're using?
     
    #26     Oct 31, 2019