OpTrade

OpTrade is a framework designed for high-frequency forecasting of alpha term structures in American options markets. The framework leverages state-of-the-art deep learning architectures specialized for time series forecasting. This project has two objectives: $(\textbf{I})$ discovering alpha term structures to analyze market microstructure dynamics across various options contracts via forecasting, and $(\textbf{II})$ translating these insights into actionable trading signals. Currently, the project is focused on completing objective $(\textbf{I})$, with objective $(\textbf{II})$ planned for implementation upon successful completion of the microstructure analysis framework.

Table of Contents

1. DATA.md
2. Installation
3. Contact

For more details on the project, see the DATA.md file.

Installation

Dependencies

• Python $\geq$ 3.11
• Additional dependencies listed in requirements.txt

Using conda (recommended)

# Create and activate conda environment
conda create -n venv python=3.11
conda activate venv

# Install requirements
cd <project_root_directory> # Go to project root directory
pip install -r requirements.txt
pip install -e .

Using pip

# Create and activate virtual environment
python -m venv venv
source venv/bin/activate  # On Windows: venv\Scripts\activate

# Install requirements
cd <project_root_directory> # Go to project root directory
pip install -r requirements.txt
pip install -e .

Contact

For queries, please contact: xmootoo at gmail dot com.