ZhangMian-CentraleSupelec / High-Frequency-Data-and-Limit-Order-Book

Related projects ⓘ

Alternatives and complementary repositories for High-Frequency-Data-and-Limit-Order-Book

• im1235 / EIE
  Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data
  ☆33Updated 3 years ago
• wcskkk375 / CryptoBacktest
  a cpp framework for crypto currentcy tick data backtesting
  ☆16Updated 3 years ago
• jshellen / statarb
  ☆26Updated 3 years ago
• bylethquant / simple-data-stack
  A Practical Guide to a Simple Data Stack.
  ☆35Updated 2 months ago
• dolmatovas / HFT
  Repo for HFT project in CMF
  ☆26Updated last year
• DYSIM / Avellaneda-Stoikov-Implementation
  An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
  ☆28Updated 3 years ago
• xhshenxin / Micro_Price
  ☆46Updated 3 years ago
• pe049395 / Market-Making
  Repository for market making ideas
  ☆37Updated 6 months ago
• mindful-math / LOB-Modeling
  Collection of Models related to market making
  ☆14Updated 3 years ago
• FranklinMa810 / Market-Microstructure
  ☆18Updated 4 years ago
• grayvalley / microprice-calibration
  Calibrates microprice model to BitMEX quote data
  ☆54Updated 3 years ago
• lkrenn / Market-Making-With-Crypto
  Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs
  ☆28Updated 3 years ago
• egorrazzhivin / HFT-Market-Making
  Market making strategies and scientific papers
  ☆12Updated last year
• factorpricingmodel / factor-pricing-model-risk-model
  Package to build risk model for factor pricing model
  ☆24Updated 3 months ago
• berkeaslan92 / AvellanedaStoikov
  AS model performance versus trivial delta for market-makers
  ☆17Updated 2 years ago
• armoreal / hft
  High Frequency Trading Strategies
  ☆41Updated 7 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
• bobcolner / pandas-polygon
  ☆16Updated 3 years ago
• cfzvzv / alpha_avellaneda_stoikov
  Phd repo
  ☆16Updated 2 years ago
• vishnugovind10 / MarketMaking
  Market Making in Python
  ☆12Updated 6 months ago
• nkaz001 / data-tardis
  Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.
  ☆19Updated 3 years ago
• lamres / orderbook_modeling
  Example of order book modeling.
  ☆57Updated 5 years ago
• layoups / microstructure-and-liquidity
  ☆20Updated 2 years ago
• hulatown / vpin
  Application of VPIN in cyrptocurrency market.
  ☆20Updated 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 …
  ☆10Updated this week
• automatedalgo / apex
  Algorithmic trading strategies research and execution platform
  ☆19Updated 5 months ago
• MerlinR / Hexital
  Hexital - Incremental Technical Analysis Library
  ☆14Updated this week
• graceyangfan / nautilus_tutorial
  Examples of nautilus script
  ☆21Updated 3 months ago
• picklenchips / MARKET-MAKING-RL
  Using reinforcement learning to make markets in the high frequency trading setting.
  ☆10Updated 5 months ago
• andrewlfc7 / BFX-BSI
  Orderflow trading bot based on BSI
  ☆16Updated 3 months ago