StateOfTheArt-quant / awesome-high-frequency-trading
☆96Updated 2 years ago
Related projects ⓘ
Alternatives and complementary repositories for awesome-high-frequency-trading
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆111Updated 5 months ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆58Updated 4 years ago
- High-frequency statistical arbitrage☆145Updated last year
- A collection of homeworks of market microstructure models.☆205Updated 6 years ago
- This is my github repository where I post trading strategies, tutorials and research on quantitative finance with R, C++ and Python. Some…☆113Updated 3 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆56Updated last year
- Implementation of HFT backtesting simulator and Stoikov strategy☆96Updated last year
- Personal Project that implements a variety of HFT strategies in C++☆63Updated 3 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆46Updated last year
- ☆38Updated 5 years ago
- ☆102Updated 6 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆209Updated 5 months ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆165Updated last year
- Python implementation of pricing analytics and Monte Carlo simulations for stochastic volatility models including log-normal SV model, He…☆140Updated 3 weeks ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆86Updated 6 months ago
- Time Series Prediction of Volume in LOB☆53Updated 6 months ago
- CS7641 Team project☆84Updated 4 years ago
- Python modules and jupyter notebook examples for the paper Detect and Repair Arbitrage in Price Data of Traded Options.☆111Updated 10 months ago
- Calibrates microprice model to BitMEX quote data☆54Updated 3 years ago
- ☆46Updated 3 years ago
- The book <Advanced Algorithmic Trading> and its source code☆55Updated 6 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆78Updated 3 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆68Updated 6 years ago
- An asynchronous low-latency trading system☆33Updated 7 months ago
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆67Updated 6 years ago
- algo trading backtesting on BitMEX☆75Updated 11 months ago
- ☆133Updated last year
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 6 years ago
- Fast, Multi threaded and Efficient Trade Matching Engine☆24Updated 3 years ago