execution-algorithms

TWAP excecution Algorithm

Research framework for optimal high-frequency market making with Avellaneda-Stoikov quoting, WRDS TAQ replay backtesting, queue-aware fills, volatility-adaptive spreads, and robust execution/P&L analysis.

Hands-on quantitative trading lab: implement classic papers in Python with Jupyter notebooks and complete documentation

TWAP vs VWAP execution cost analysis on historical volume profiles

Causal regime-aware optimal execution research with reproducible simulations, walk-forward prediction scoring, and a paper-only Alpaca market-data bridge with fail-closed risk controls.

Reproducible benchmark for intraday order execution on real crypto LOB. Classical vs deep RL vs LLM. Result: no method beats a simple classical schedule (BTC + ETH).

Execution research platform: Maslov LOB simulator, HMM/KMeans regime detection, VWAP/POV scheduling, and a paired-significance harness with shuffled-label negative controls. Finds no measurable benefit from regime conditioning on this data.

Mini BestEx: equity tick/minute ingestion -> partitioned Postgres -> TWAP/VWAP execution simulation -> Transaction Cost Analysis dashboard.

Cash-and-carry basis trading on Binance coin-margined futures: opportunity scanner, TWAP execution and 2021 historical replay. Built with Nayt Technologies.

Upgraded the intraday quant pipeline to institutional standards by implementing Almgren-Chriss slippage, Platt-calibrated ML ensembles, pre-market NLP, TWAP execution chunking, and automated real-time risk controls.