Code for the paper 'A Distributed Method for Cooperative Transaction Cost Mitigation'

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Setup

To reproduce the results in the paper,

1. Clone the repository.
2. If you don't have uv installed, install it. This can be done by running make uv in the root of the repository.
3. Run make setup to setup the project virtual environment.
4. To process the data in the manner required for the backtests, run uv run python scripts/proc_strat_data.py.
5. To run the backtests, run uv run python scripts/run_sim.py.
6. To generate the plots and tables, run uv run python scripts/generate_plots_tables.py.

Notes

The raw data is version controlled in the data directory. The processed data is saved to the data/processed directory. The backtest results are saved to the out directory. The plots and tables are saved to the plots and tables directories respectively.