databento / dbn
Databento Binary Encoding (DBN) - Fast message encoding and storage format for market data
☆99Updated this week
Alternatives and similar repositories for dbn:
Users that are interested in dbn are comparing it to the libraries listed below
- The official Rust client library for Databento☆47Updated this week
- The official Python client library for Databento☆157Updated this week
- A vertically scalable stream processing framework focusing on low latency, helping you scale and consume financial data feeds.☆57Updated last year
- The official C++ client library for Databento☆36Updated this week
- A fast in-memory limit order book (LOB).☆146Updated 2 years ago
- The idiomatic rust implementation of the QuantLib C++ quantitative finance library☆153Updated 3 years ago
- NOTE: Barter-Data migrated to Barter monorepo: https://www.github.com/barter-rs/barter-rs☆102Updated 7 months ago
- A lightweight and high-performance order-book designed to process level 2 and trades data. Available in Rust and Python☆161Updated 3 months ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆223Updated 8 months ago
- Backtesting engine written in Rust☆68Updated this week
- A fast limit order book implementation in Python, inspired by voyager's winning 2011 QuantCup entry. (Also see kmanley/gorderbook, the Go…☆72Updated 4 years ago
- Implementation of a orderbook data structure for LOB research capabilities.☆141Updated 11 months ago
- ☆109Updated 3 years ago
- An implementation of the Interactive Brokers API for Rust☆101Updated this week
- Videos, slides, and code made available by speakers of the 2021's AlgoTrading Summit☆101Updated 3 years ago
- A vectorized implementation of py_vollib, that supports numpy arrays and pandas Series and DataFrames.☆126Updated 2 months ago
- ☆34Updated 4 months ago
- Rust Market Simulation Library with a Python API☆19Updated 10 months ago
- Python client for tardis.dev - historical tick-level cryptocurrency market data replay API.☆120Updated 2 months ago
- A fixed income library for pricing bonds and bond futures, and derivatives such as interest rate swaps (IRS), cross-currency swaps (XCS) …☆184Updated this week
- A collection of homeworks of market microstructure models.☆221Updated 6 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆75Updated 6 years ago
- Nasdaq Order Book Reconstructor☆236Updated 3 years ago
- ☆49Updated 10 months ago
- toolbox of fast mm-related funcs☆162Updated 2 weeks ago
- csp is a high performance reactive stream processing library, written in C++ and Python☆250Updated this week
- ☆113Updated 2 years ago
- A python library for computing technical analysis indicators on streaming data.☆86Updated last month
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆86Updated 4 years ago
- An asynchronous low-latency trading system☆37Updated 10 months ago