☆42Aug 29, 2022Updated 4 years ago
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. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆42Jan 3, 2021Updated 5 years ago
- ☆11Sep 6, 2023Updated 3 years ago
- ☆25Dec 18, 2015Updated 10 years ago
- Calibrates microprice model to BitMEX quote data☆64Jul 1, 2021Updated 5 years ago
- This was a university group project supported by the HSBC Artificial Intelligence team. It involved applying machine learning algorithms …☆16Nov 13, 2023Updated 2 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- ☆24Jan 26, 2020Updated 6 years ago
- a cpp framework for crypto currentcy tick data backtesting☆18Jun 4, 2021Updated 5 years ago
- MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series☆19Sep 5, 2025Updated last year
- Baruch MFE 2019 Spring☆47May 29, 2020Updated 6 years ago
- Using reinforcement learning to make markets in the high frequency trading setting.☆30May 30, 2026Updated 4 months ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆14Feb 4, 2023Updated 3 years ago
- Pytorch implementation of TransLOB from Transformer for limit order books☆31May 25, 2023Updated 3 years ago
- Baruch MFE MTH9894☆13Jun 4, 2017Updated 9 years ago
- ☆132Dec 12, 2017Updated 8 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆12Dec 31, 2018Updated 7 years ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆24May 8, 2024Updated 2 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆19Dec 11, 2019Updated 6 years ago
- Modern machine learning and statistical toolbox for financial researchers and practitioners☆13Jul 14, 2023Updated 3 years ago
- Limit Order Book Convolutional Neural Network trading bot☆14Jul 24, 2022Updated 4 years ago
- A machine learning pipeline that ingest and process a 20-year historical stock price dataset and try to predict future prices using Light…☆17Nov 20, 2020Updated 5 years ago
- A collection of homeworks of market microstructure models.☆301Sep 26, 2026Updated 3 weeks ago
- Baruch course - Market Microstructure☆14Feb 2, 2016Updated 10 years ago
- Submission for Optiver's 2023 ReadyTraderGo.☆26Mar 26, 2023Updated 3 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- Code for optimal execution☆12Oct 29, 2020Updated 5 years ago
- ☆15Feb 7, 2021Updated 5 years ago
- orderbooks contain so much more organic informations than moving averages...☆19Oct 1, 2026Updated 2 weeks ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆160Dec 11, 2022Updated 3 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆71Mar 19, 2023Updated 3 years ago
- Examples of nautilus script☆39Oct 6, 2025Updated last year
- ☆11Dec 18, 2015Updated 10 years ago
- ☆38Aug 2, 2021Updated 5 years ago
- High frequency trading (HFT) framework built for futures using machine learning and deep learning techniques☆612Sep 20, 2022Updated 4 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Pytorch implementation of BIN-TABL from Data Normalization for Bilinear Structures in HF Financial Time-series☆14Aug 12, 2024Updated 2 years ago
- A Rust library implementing quantitative market making strategies, starting with the Avellaneda-Stoikov model. This library provides the …☆109Oct 10, 2026Updated last week
- Pairs trading strategy that includes a research pipeline for identifying and selecting pairs. Tests all possible pairs in a universe for …☆36Oct 9, 2026Updated last week
- This repo contains lecture notes and projects for Spring 2017 MTH9894 Systematic Trading course☆17May 26, 2017Updated 9 years ago
- Order Imbalance Strategy in High Frequency Trading☆147Jun 4, 2018Updated 8 years ago
- The official repository for the paper Adversarial Inverse Reinforcement Learning for Market Making (2024) published and presented at the …☆40Dec 14, 2025Updated 10 months ago
- 基于机器学习的多因子研究框架☆14Jun 22, 2020Updated 6 years ago