fourth-descender / HFT-Model
Implementation of Avellaneda and Stoikov's High-Frequency Trading Model in a Limit Order Book Context
☆20Updated 2 months ago
Alternatives and similar repositories for HFT-Model:
Users that are interested in HFT-Model are comparing it to the libraries listed below
- Market making strategy example☆25Updated 4 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- Repository for market making ideas☆40Updated 11 months ago
- C++ tools and utilities for algorithmic trading.☆11Updated 3 weeks ago
- Quantitative Trading Library☆28Updated 9 years ago
- Deep learning approach for market price prediction, in JAX☆38Updated 11 months ago
- A simple trading bot written in Rust based on counter-trading large deviations in the futures order book delta volume.☆72Updated 2 years ago
- Application of VPIN in cyrptocurrency market.☆21Updated 6 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆71Updated 7 years ago
- Lightweight algo trading framework☆32Updated 2 years ago
- DistributedATS is a FIX Protocol based multi matching engine exchange(CLOB) that integrates QuickFIX and LiquiBook over DDS☆79Updated this week
- Fast, Multi threaded and Efficient Trade Matching Engine☆25Updated 3 years ago
- a cpp framework for crypto currentcy tick data backtesting☆16Updated 3 years ago
- Market Maker Strategy Bot.☆9Updated 6 years ago
- ☆33Updated 4 years ago
- Limit Order book and matching engine in Rust.☆47Updated 3 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆71Updated last year
- ☆39Updated 3 years ago
- Tool to identify option arbitrage opportunities across different expiries.☆16Updated 5 months ago
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆21Updated 3 years ago
- A market making algorithm based on the Avellaneda Stoikov paper on Deribit derivatives exchange. A gradient boosted model is used for vol…☆14Updated 2 months ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆32Updated 3 years ago
- High Frequency Trading Strategies☆44Updated 7 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆114Updated last year
- Optimal high-frequency market making strategy☆20Updated 5 months ago
- This quant framework applies algorithm trading in Crypto market. The trading pairs focus on spots, perpetuals, futures, and options in De…☆50Updated 4 years ago
- A Practical Guide to a Simple Data Stack.☆40Updated 7 months ago
- high-frequency grid trading strategy backtesting for binance futures☆23Updated 2 years ago
- Personal Project that implements a variety of HFT strategies in C++☆72Updated 3 years ago