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Subscribe by EmailAriel Silahian is a senior technology executive in institutional electronic trading, with 30+ years across the buy and sell side (New York, Miami, London, Hong Kong). He is the author of "C++ High Performance for Financial Systems" (Packt) and the creator of VisualHFT, the open-source microstructure analytics stack. He writes on exchange architecture, market microstructure, and execution quality, and advises a select number of trading firms on infrastructure decisions that move P&L. Book a strategy call at hftAdvisory.com
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.