Alternatives and similar repositories for High-Frequency-Data-and-Limit-Order-Book:

Users that are interested in High-Frequency-Data-and-Limit-Order-Book are comparing it to the libraries listed below

• im1235 / EIE
  Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data
  ☆36Updated 4 years ago
• jshellen / statarb
  ☆31Updated 3 years ago
• xhshenxin / Micro_Price
  ☆49Updated 4 years ago
• bylethquant / simple-data-stack
  A Practical Guide to a Simple Data Stack.
  ☆40Updated 7 months ago
• dolmatovas / HFT
  Repo for HFT project in CMF
  ☆28Updated 2 years ago
• wcskkk375 / CryptoBacktest
  a cpp framework for crypto currentcy tick data backtesting
  ☆16Updated 3 years ago
• DYSIM / Avellaneda-Stoikov-Implementation
  An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
  ☆30Updated 3 years ago
• shaileshkakkar / MicroPriceIndicator
  This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…
  ☆69Updated 6 years ago
• armoreal / hft
  High Frequency Trading Strategies
  ☆43Updated 7 years ago
• gjimzhou / MTH9815-Trading-System
  A project of building and running a trading system according to service oriented architecture standard.
  ☆14Updated 7 years ago
• grayvalley / microprice-calibration
  Calibrates microprice model to BitMEX quote data
  ☆56Updated 3 years ago
• FranklinMa810 / Market-Microstructure
  ☆21Updated 5 years ago
• JurajZelman / airl-market-making
  The official repository for the paper Adversarial Inverse Reinforcement Learning for Market Making (2024) published and presented at the …
  ☆17Updated 4 months ago
• mselser95 / optimal-market-making
  Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"
  ☆27Updated 4 years ago
• pe049395 / Market-Making
  Repository for market making ideas
  ☆40Updated 11 months ago
• comeh / LOB_AlgoTrading
  Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…
  ☆21Updated 5 years ago
• factorpricingmodel / factor-pricing-model-risk-model
  Package to build risk model for factor pricing model
  ☆24Updated 8 months ago
• YINDAIYING / Deep-Robust-Statistical-Arbitrage
  This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…
  ☆61Updated last year
• mindful-math / LOB-Modeling
  Collection of Models related to market making
  ☆16Updated 4 years ago
• theopenstreet / VPIN_HFT
  ☆112Updated 7 years ago
• PontusHultkrantz / price-discovery
  Mid price estimation in LOB using Markov model
  ☆12Updated 2 years ago
• pfei-sa / binance-LOB
  Build your own historical Limit Order Book dataset
  ☆39Updated 3 years ago
• kpuchalskixiv / Impact-of-market-microstructure-on-stock-price
  ☆16Updated 3 years ago
• useric / MTH9879-Market-Microstructure-Models
  Baruch MFE 2019 Spring
  ☆39Updated 4 years ago
• rspadim / hft-avellaneda
  High-frequency trading in a limit order book
  ☆58Updated 6 years ago
• jeremymck / High-Frequency-Data---Limit-Order-Books
  Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.
  ☆44Updated 5 years ago
• egorrazzhivin / HFT-Market-Making
  Market making strategies and scientific papers
  ☆13Updated last year
• lamres / orderbook_modeling
  Example of order book modeling.
  ☆56Updated 5 years ago
• koteyevlev / MarketMakingMLAlgo
  This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log
  ☆27Updated 3 years ago
• lkrenn / Market-Making-With-Crypto
  Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs
  ☆32Updated 3 years ago