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
  ☆36Updated 4 years ago
• xhshenxin / Micro_Price
  ☆52Updated 4 years ago
• dolmatovas / HFT
  Repo for HFT project in CMF
  ☆30Updated 2 years ago
• grayvalley / microprice-calibration
  Calibrates microprice model to BitMEX quote data
  ☆58Updated 4 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…
  ☆71Updated 7 years ago
• DYSIM / Avellaneda-Stoikov-Implementation
  An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
  ☆31Updated 4 years ago
• factorpricingmodel / factor-pricing-model-risk-model
  Package to build risk model for factor pricing model
  ☆28Updated last year
• lamres / orderbook_modeling
  Example of order book modeling.
  ☆58Updated 6 years ago
• bylethquant / simple-data-stack
  A Practical Guide to a Simple Data Stack.
  ☆40Updated 11 months ago
• PontusHultkrantz / price-discovery
  Mid price estimation in LOB using Markov model
  ☆13Updated 3 years ago
• wcskkk375 / CryptoBacktest
  a cpp framework for crypto currentcy tick data backtesting
  ☆17Updated 4 years ago
• theopenstreet / VPIN_HFT
  ☆117Updated 7 years ago
• armoreal / hft
  High Frequency Trading Strategies
  ☆49Updated 8 years ago
• FranklinMa810 / Market-Microstructure
  ☆24Updated 5 years ago
• pe049395 / Market-Making
  Repository for market making ideas
  ☆44Updated last year
• mindful-math / LOB-Modeling
  Collection of Models related to market making
  ☆18Updated 4 years ago
• gjimzhou / MTH9815-Trading-System
  A project of building and running a trading system according to service oriented architecture standard.
  ☆17Updated 7 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.
  ☆50Updated 5 years 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…
  ☆68Updated last year
• koteyevlev / MarketMakingMLAlgo
  This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log
  ☆30Updated 4 years ago
• berkeaslan92 / AvellanedaStoikov
  AS model performance versus trivial delta for market-makers
  ☆20Updated 3 years ago
• keanekwa / Optiver-Ready-Trader-Go
  Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…
  ☆86Updated 2 years ago
• kpuchalskixiv / Impact-of-market-microstructure-on-stock-price
  ☆17Updated 3 years ago
• mselser95 / optimal-market-making
  Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"
  ☆30Updated 4 years ago
• CodingNoob234 / deribit-marketmaker-rest
  A market making algorithm based on the Avellaneda Stoikov paper on Deribit derivatives exchange. A gradient boosted model is used for vol…
  ☆21Updated 7 months ago
• June911 / micro-price
  replication of micro-price on crytocurrency data
  ☆10Updated 3 years ago
• pfei-sa / binance-LOB
  Build your own historical Limit Order Book dataset
  ☆44Updated 4 years ago
• kousik97 / Order-Execution-Strategy
  Literature survey of order execution strategies implemented in python
  ☆44Updated 5 years ago
• jshellen / CTA-strategies
  Backtest result archive for Momentum Trading Strategies
  ☆63Updated 6 years ago