devmenon23 / Limit-Order-BookLinks
A high-performance, robust, C++ based Limit Order Book and matching engine designed for real-world high-frequency trading. Utilizes a Markov chain/Pareto process to simulate order flow and benchmark the system.
☆40Updated 4 months ago
Alternatives and similar repositories for Limit-Order-Book
Users that are interested in Limit-Order-Book are comparing it to the libraries listed below
Sorting:
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆286Updated last week
- An asynchronous low-latency trading system☆62Updated last year
- Personal Project that implements a variety of HFT strategies in C++☆75Updated 4 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆75Updated 5 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆92Updated 2 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆144Updated 2 years ago
- ☆123Updated 8 years ago
- ☆140Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆64Updated 4 years ago
- Deep learning approach for market price prediction, in JAX☆56Updated last year
- ☆67Updated last year
- Ultra low latency L2/L3 orderbook in modern C++20 achieving single digit nanosecond performance☆192Updated 2 months ago
- A collection of homeworks of market microstructure models.☆277Updated 7 years ago
- ☆55Updated 4 years ago
- Order Imbalance Strategy in High Frequency Trading☆141Updated 7 years ago
- Baruch MFE 2019 Spring☆43Updated 5 years ago
- To classify trades into buyer- and seller-initiated.☆155Updated 3 years ago
- ☆39Updated 4 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆237Updated 2 years ago
- algo trading backtesting on BitMEX☆81Updated 2 years ago
- Fast, Multi threaded and Efficient Trade Matching Engine☆27Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- ☆49Updated 6 years ago
- real high-frequency-trading system based on c++☆117Updated 6 years ago
- High-frequency statistical arbitrage☆244Updated 2 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 12 years ago
- ☆51Updated last year
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 5 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆253Updated 3 years ago
- Package to build risk model for factor pricing model☆28Updated last year