Final Changes Published 11/10/2022 10:42

In this laboratory we will use information from the Cryptocurrency Order Book of various international exchanges, with the primary objective of visualizing and modeling the microstructure of the market through the behavior of the Order Book and its characteristics such as; Matching Engine, Levels, Ask-Bid Volumes, etc.

Install all the dependencies stated in the requirements.txt file, just run the following command in terminal:

    pip install -r requirements.txt

Or you can manually install one by one using the name and version in the file.

From different criptocurrencies exchanges data is downloaded and its microstructure is analyzed by the construction of OB metrics and OHLC. With this information the Roll Effective Spread model is estimated.

GNU General Public License v3.0

Permissions of this strong copyleft license are conditioned on making available complete source code of licensed works and modifications, which include larger works using a licensed work, under the same license. Copyright and license notices must be preserved. Contributors, please reference this project in your Bibliography if it was of any help to you, thank you.

• MARQUEZ DELGADO, ESTEBAN

For more information about this project or related inquiries please send an e-mail to:

• ESTEBAN [email protected]