非平衡订单流高频交易模型
☆114Nov 6, 2018Updated 7 years ago
Alternatives and similar repositories for Order_Imbalance_HFT
Users that are interested in Order_Imbalance_HFT are comparing it to the libraries listed below
Sorting:
- 用SVM构建高频交易策略☆13Oct 21, 2019Updated 6 years ago
- Computer Engineering Senior Project. Machine Learning High Frequency Stock Trading Algorithm on an FPGA☆16Dec 4, 2019Updated 6 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Jun 22, 2016Updated 9 years ago
- 基于聚宽平台，探索分钟级的高频交易☆35Jun 18, 2020Updated 5 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Apr 2, 2018Updated 7 years ago
- Convert json descriptions of quant algorithms to verilog HDL.☆13Jul 3, 2020Updated 5 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆178Sep 28, 2019Updated 6 years ago
- High Frequency Trading Strategy☆12Dec 20, 2018Updated 7 years ago
- In the high-frequency era of trading, orders of stocks can be executed under a millsecond. The information about the thousands of orders …☆10Mar 30, 2016Updated 9 years ago
- Channel break out strategy for High Frequency Trading.☆15Jun 26, 2018Updated 7 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆73May 9, 2016Updated 9 years ago
- High Frequency Trading Strategies☆50Aug 14, 2017Updated 8 years ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10May 11, 2020Updated 5 years ago
- Order Imbalance Strategy in High Frequency Trading☆141Jun 4, 2018Updated 7 years ago
- Research project on applying deep reinforcement learning to perform financial market predictions. A competitive market maker.☆13Dec 8, 2022Updated 3 years ago
- source : http://coin.wne.uw.edu.pl/pwojcik/hfd_en.html☆38Jul 12, 2018Updated 7 years ago
- ☆11Nov 6, 2018Updated 7 years ago
- tick价差套利（参考vnpy网友资料、vnpy论坛资料、windquant）： 1、按被动腿时间戳对齐 2、profile函数展示（需要py3） 3、平稳性检验 4、对冲手数计算 5、2sigma开仓，3sigma止损(或者赌价差扩散？)6、连续止损后cool down一…☆14Nov 2, 2019Updated 6 years ago
- for 18HS MFOEC198 Introduction to systematic risk premia strategies traded at hedge funds (L+E)☆13Sep 17, 2020Updated 5 years ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆15Apr 24, 2020Updated 5 years ago
- ☆42May 27, 2021Updated 4 years ago
- Apply different deep learning models to limit order book.☆11Mar 6, 2018Updated 8 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆27Aug 29, 2020Updated 5 years ago
- High Frequency Trading bot for 2019 Traders at MIT, HFT Case. I placed 4th in the HFT competition (2nd overall) out of 120.☆19Oct 27, 2019Updated 6 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆169Aug 21, 2017Updated 8 years ago
- Neural Network for HFT-trading [experimental]☆88Mar 5, 2021Updated 5 years ago
- 两家交易所做比特币的高频对冲☆19Dec 5, 2019Updated 6 years ago
- Repo for HFT project in CMF☆28Jan 4, 2023Updated 3 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆115May 20, 2024Updated last year
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆93Oct 30, 2017Updated 8 years ago
- High Frequency Trading☆110Jun 10, 2018Updated 7 years ago
- Personal Project that implements a variety of HFT strategies in C++☆76Apr 29, 2021Updated 4 years ago
- Vpin caculation and backtesting☆14Aug 16, 2019Updated 6 years ago
- Example Order Book Imbalance Algorithm☆840Jul 25, 2023Updated 2 years ago
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆109Oct 16, 2015Updated 10 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆103Feb 27, 2019Updated 7 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆152May 9, 2020Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆39Nov 21, 2019Updated 6 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆38Jan 3, 2021Updated 5 years ago