This is awesome. I tried doing something like this but had to put it on hold due to college classes/exams. Have you had any success with this strategy?
I gave it some cash but in the end, with my risk configuration, it wasn't 'exciting' enough because orders don't really get taken very frequently. I think You'd have to deploy much more cash than I did (> $1000) and trade at least a couple dozen securities to really make it 'fun'.
A major improvement to the software that I didn't get around to was a script to identify which securities offer the best market making opportunities (e.g., maybe by generating a custom YAML file).
Did you try using it on the temperature markets? Those seem to get the most consistent trading volume.
Also, LMK if you want some of the data, I collected I can share this via an S3 bucket. It's from the chicago max temp market. I ended up scrapping my strategy (not market making), but don't want the data to go to waste.
Hey, not OP but I am interested in whatever data you have, I mess around with the temperature markets. Have gotten started with NYC, but am about to start with Chicago. E-mail in profile.
A major improvement to the software that I didn't get around to was a script to identify which securities offer the best market making opportunities (e.g., maybe by generating a custom YAML file).