Avellaneda-Stoikov HFT market making algorithm implementation
☆727Jul 6, 2023Updated 3 years ago
Alternatives and similar repositories for avellaneda-stoikov
Users that are interested in avellaneda-stoikov are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- High Frequency Market Making☆645Sep 24, 2023Updated 2 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆155May 9, 2020Updated 6 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆153May 6, 2023Updated 3 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆153Dec 28, 2019Updated 6 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆306Updated this week
- End-to-end encrypted cloud storage - Proton Drive • AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C☆1,385Nov 13, 2024Updated last year
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Jun 15, 2021Updated 5 years ago
- High frequency trading bot for crypto currencies☆433Feb 7, 2022Updated 4 years ago
- Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Ti…☆2,332Aug 27, 2022Updated 4 years ago
- Free, open source, a high frequency trading and market making backtesting and trading bot, which accounts for limit orders, queue positio…☆4,591Dec 23, 2025Updated 8 months ago
- Repository for market making ideas☆44Apr 26, 2024Updated 2 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆256Jun 29, 2023Updated 3 years ago
- ☆476Jan 10, 2021Updated 5 years ago
- A collection of homeworks of market microstructure models.☆294May 4, 2018Updated 8 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- High Frequency Trading Strategies☆48Aug 14, 2017Updated 9 years ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆94Oct 30, 2017Updated 8 years ago
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆77Jun 3, 2018Updated 8 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆38Nov 3, 2021Updated 4 years ago
- Example Order Book Imbalance Algorithm☆869Jul 25, 2023Updated 3 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆186Sep 28, 2019Updated 6 years ago
- ☆40Aug 2, 2021Updated 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.☆277Apr 12, 2022Updated 4 years ago
- Repo for HFT project in CMF☆30Jan 4, 2023Updated 3 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- High Frequency Jump Prediction Project☆37Jun 1, 2020Updated 6 years ago
- This repository contains three ways to obtain arbitrage which are Dual Listing, Options and Statistical Arbitrage. These are projects in …☆1,101Aug 13, 2023Updated 3 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆124May 20, 2024Updated 2 years ago
- Market Making via Reinforcement Learning☆347Nov 4, 2019Updated 6 years ago
- AS model performance versus trivial delta for market-makers☆21Jan 13, 2022Updated 4 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆42Jan 3, 2021Updated 5 years ago
- Ultra low latency L2/L3 orderbook in modern C++20 achieving single digit nanosecond performance☆211Mar 1, 2026Updated 6 months ago
- High-frequency statistical arbitrage☆279Jul 30, 2023Updated 3 years ago
- Collection of Models related to market making☆18Jan 25, 2021Updated 5 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- High frequency trading (HFT) framework built for futures using machine learning and deep learning techniques☆609Sep 20, 2022Updated 3 years ago
- High Frequency Trading☆110Jun 10, 2018Updated 8 years ago
- ☆132Dec 12, 2017Updated 8 years ago
- Optimal high-frequency market making strategy☆30Nov 24, 2024Updated last year
- algorithmic trading backtest and optimization examples using order book imbalances. (bitcoin, cryptocurrency, bitmex, binance futures, ma…☆323Dec 4, 2023Updated 2 years ago
- Deep Reinforcement Learning toolkit: record and replay cryptocurrency limit order book data & train a DDQN agent☆966Jan 12, 2022Updated 4 years ago
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆111Oct 16, 2015Updated 10 years ago