Modeling high-frequency limit order book dynamics with support vector machines
☆743Jan 29, 2016Updated 10 years ago
Alternatives and similar repositories for orderbook-dynamics
Users that are interested in orderbook-dynamics are comparing it to the libraries listed below
Sorting:
- Matching Engine for Limit Order Book☆408Feb 4, 2026Updated last month
- Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Ti…☆2,225Aug 27, 2022Updated 3 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆38Jun 20, 2021Updated 4 years ago
- Various implementations of limit order books (matching engines)☆118Feb 6, 2018Updated 8 years ago
- Python implementation of fast limit-order book.☆320Oct 26, 2017Updated 8 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆73May 9, 2016Updated 9 years ago
- Fully functioning fast Limit Order Book written in Python☆198Jan 1, 2023Updated 3 years ago
- This project uses reinforcement learning on stock market and agent tries to learn trading. The goal is to check if the agent can learn to…☆1,490Jan 22, 2018Updated 8 years ago
- Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C☆1,321Nov 13, 2024Updated last year
- A study of the Glosten and Milgrom model for market making☆14Nov 4, 2015Updated 10 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
- 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
- An environment to high-frequency trading agents under reinforcement learning☆288Aug 29, 2017Updated 8 years ago
- Replication of A Stochastic Model for Order Book Dynamics by Cont, Stoikov, and Talreja, 2010☆22Dec 28, 2018Updated 7 years ago
- Akka Actor based trading system for Moscow Stock Exchange (http://moex.com/en/)☆89Feb 28, 2016Updated 10 years ago
- R package intended for visualisation, analysis and reconstruction of limit order book data☆159Feb 12, 2026Updated 3 weeks ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆152May 9, 2020Updated 5 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆115May 20, 2024Updated last year
- Market Making via Reinforcement Learning☆342Nov 4, 2019Updated 6 years ago
- High Frequency Trading☆110Jun 10, 2018Updated 7 years ago
- source : http://coin.wne.uw.edu.pl/pwojcik/hfd_en.html☆38Jul 12, 2018Updated 7 years ago
- Scala library for parsing TAQ NYSE OpenBook Ultra☆32Jan 16, 2015Updated 11 years ago
- ☆143Dec 8, 2022Updated 3 years ago
- Akka Cluster for Value-at-Risk calculation☆14May 2, 2014Updated 11 years ago
- Fast C++ adaptation of the QuantCup (http://www.quantcup.org/) limit order book.☆201Jan 22, 2014Updated 12 years ago
- HFT, A high-frequency trading simulation package in R☆90Apr 16, 2018Updated 7 years ago
- Market time series database☆31Jan 14, 2015Updated 11 years ago
- a new simulator for statistical arbitrage☆15Sep 12, 2015Updated 10 years ago
- Limit Order Book Implemented in Python☆98Jan 3, 2018Updated 8 years ago
- A high-frequency trading model using Interactive Brokers API with pairs and mean-reversion in Python☆2,887May 29, 2025Updated 9 months ago
- HFTrader is fully automated high frequency trading system☆96Dec 12, 2012Updated 13 years ago
- This entry contains two topics The first item is entirely based on the following paper: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB6…☆34Feb 14, 2014Updated 12 years ago
- high-frequency trading☆60Nov 10, 2012Updated 13 years ago
- Example of order book modeling.☆57Jun 18, 2019Updated 6 years ago
- Order Book Analytics Database☆12Mar 31, 2020Updated 5 years ago
- Proof of concept Cointegration-Based spread trading strategy applied to the Foreign Exchange market☆37Apr 16, 2016Updated 9 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆169Aug 21, 2017Updated 8 years ago
- This project is to simulate the effects of high frequency trading on a stock. This is the code for the order book as well as 'traders' wh…☆27May 30, 2013Updated 12 years ago
- Algorithmic trading with deep learning experiments☆1,457Aug 7, 2018Updated 7 years ago