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Subscribe by EmailHFT Systems Architect & Consultant | 20+ years architecting high-frequency trading systems. Author of "Trading Systems Performance Unleashed" (Packt, 2024). Creator of VisualHFT.
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Thank you for this post. I’m constantly finding ways to improve my market making and have been learning about Stoikov’s market making model lately. I’m more of a hobbyist developer but have been researching mean reversion strategies in market making with Bollinger bands and the order size exponentially increases the further the mid deviates from the mean.