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References

Models

  • Avellaneda, M. and Stoikov, S. (2008). High-frequency trading in a limit order book. Quantitative Finance, 8(3), 217-224. (S1; the λ(δ) = A·e^(−κδ) intensity assumption tested as H3.)
  • Guéant, O., Lehalle, C.-A. and Fernandez-Tapia, J. (2013). Dealing with the inventory risk: a solution to the market making problem. Mathematics and Financial Economics, 7(4), 477-507. (S2; the closed-form asymptotics quoted in THEORY.md §4.)
  • Guéant, O. (2016). The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making. Chapman & Hall/CRC. (Chapter 2 is the source for the ergodic approximation the code uses.)

The derivations, the unit conventions, and the exact table-building formulas are in THEORY.md; every formula there maps to a named function in src/mmlab/tables.py.

Data

  • Binance Vision public archives (https://data.binance.vision): USDT-M futures bookTicker and trades daily files. Verification, gaps, and formats: DATA.md.
  • Tardis.dev free first-of-month samples: 25-level incremental L2, used only for the depth validation in RESULTS.md §6.
  • Binance USDT-M fee schedule and matching rules: sources and era-verification are cited in DATA.md (FIFO price-time matching; 0.02% maker fee for the studied era).