Summary of Programme:

· Collect data:
Aggregate live market orders, order book data, asset positions, and trade history.
· Calculate technical features:
Calculate price indicators (momentum, moving averages, volatility), order book indicators (imbalance, depth ratio), market status, and position ratio.
· Make price prediction and confidence level assessment
Generate trading signals via a weighted multi-factor model (momentum, MA crossover, order imbalance, and depth ratio). Confidence levels are dynamically adjusted for market activity and volatility.
· Make market-making order decisions:
Post orders at the best bid/ask price, quantity adjusted by volatility and position ratio.
· Make directional order decisions:
Execute aggressive orders when signal confidence was high, with quantity adjusted by confidence level and volatility, and pricing just outside the bid/ask to ensure fills.
· Merge orders:
Combine market-making and directional orders, use a more aggressive price, while ensuring that position limits are met.

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