Surbeivol / PythonMatchingEngineLinks
High performance trading Matching Engine / Market Simulator using Level 3 Market Data for realistic simulation of High Frequency Trading Strategies
☆114Updated last year
Alternatives and similar repositories for PythonMatchingEngine
Users that are interested in PythonMatchingEngine are comparing it to the libraries listed below
Sorting:
- algo trading backtesting on BitMEX☆81Updated last year
- ☆141Updated 2 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆105Updated 6 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆173Updated 5 years ago
- Limit Order Book data analysis and modeling using LSTM network☆138Updated 6 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆143Updated 5 years ago
- ☆117Updated 7 years ago
- Order Imbalance Strategy in High Frequency Trading☆138Updated 7 years ago
- Limit Order Book Implemented in Python☆99Updated 7 years ago
- Volume-Synchronized Probability of Informed Trading☆114Updated 11 years ago
- Deep learning modelling of orderbooks☆97Updated 4 years ago
- High-frequency trading in a limit order book☆60Updated 6 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆53Updated 4 years ago
- Deep Q-Learning for Market Making☆127Updated 7 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆92Updated last year
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆217Updated 2 years ago
- High-frequency statistical arbitrage☆216Updated 2 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆150Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- Example of order book modeling.☆58Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- To classify trades into buyer- and seller-initiated.☆149Updated 2 years ago
- Visualization Tool for Deribit Options☆82Updated 5 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆95Updated 4 years ago
- OrderBook Simulator with Limit and Iceberg functionality☆76Updated 6 years ago
- A fast L2/L3 orderbook data structure, in C, for Python☆284Updated 10 months ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆253Updated last month
- ☆52Updated 4 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆79Updated 7 years ago