MY PROJECTS

L2 Order Book + TWAP Execution Engine

Built a limit order book engine in C++ with historical L2 replay and an adaptive TWAP execution.

The execution switches between IOC, passive, and skip decisions based on spread, imbalance, volatility, and a real time markout prediction model.

Backtested across 7 day replay data with completion tracking, cost decomposition, diagnostics, and Streamlit analysis dashboards.

C++
Python
NumPy
Pandas
Streamlit
LIVE DASHBOARD
Source

Option Pricing and Risk Analysis

COMING SOON

Python
Source