I’ll show you how to calculate the ‘order flow imbalance’ and build a high-frequency trading signal with the results. We’ll see if it is a profitable strategy and how it might be useful as a market indicator.| Dean Markwick
Last time I showed you how to set up a producer/consumer model to build a database of BTCUSD trades using the CoinbasePro WebSocket feed. Now I’ll show you how you can connect to the same database to pull out the data, use some specific timeseries database queries and hopefully show where this type of database is useful by improving some of my old calculations. You should read one of my older blog posts on high frequency finance (here) as I’m going to repeat some of the calculations using...| Dean Markwick
Crypto is making finance democratic. My PhD was originally going to be on the limit order book and modeling events that can change its state. However, I just couldn’t get the data. Now, anyone can access different exchanges limit orders books with simple API calls. My Julia package CoinbasePro.jl does exactly that and you can get full market data without even having to sign up.| Dean Markwick
How to get started installing and using kdb+| code.kx.com