Alternatives and similar repositories for microprice-calibration

Users that are interested in microprice-calibration are comparing it to the libraries listed below

• DYSIM / Avellaneda-Stoikov-Implementation
  An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
  ☆33Updated 4 years ago
• shaileshkakkar / MicroPriceIndicator
  This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…
  ☆72Updated 7 years ago
• xhshenxin / Micro_Price
  ☆53Updated 4 years ago
• jshellen / statarb
  ☆37Updated 4 years ago
• theopenstreet / VPIN_HFT
  ☆121Updated 7 years ago
• armoreal / hft
  High Frequency Trading Strategies
  ☆48Updated 8 years ago
• dolmatovas / HFT
  Repo for HFT project in CMF
  ☆28Updated 2 years ago
• berkeaslan92 / AvellanedaStoikov
  AS model performance versus trivial delta for market-makers
  ☆21Updated 3 years ago
• koteyevlev / MarketMakingMLAlgo
  This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log
  ☆31Updated 4 years ago
• im1235 / EIE
  Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data
  ☆36Updated 4 years ago
• lkrenn / Market-Making-With-Crypto
  Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs
  ☆34Updated 4 years ago
• orderbooktools / crobat
  Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.
  ☆54Updated 4 years ago
• yuxiangalvin / DeepLOB-Model-Implementation-Project
  This repo contains some codes and outputs of my implementation of DeepLOB model.
  ☆90Updated 4 years ago
• nkaz001 / market-making-backtest
  algo trading backtesting on BitMEX
  ☆81Updated 2 years ago
• hanxixuana / flowrisk
  A Python Implementation of Measures for Order Flow Risk, e.g. VPIN
  ☆97Updated 4 years ago
• jshellen / CTA-strategies
  Backtest result archive for Momentum Trading Strategies
  ☆64Updated 6 years ago
• YINDAIYING / Deep-Robust-Statistical-Arbitrage
  This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…
  ☆70Updated last year
• mmssss / hft-market-making
  Implementation of HFT backtesting simulator and Stoikov strategy
  ☆138Updated 2 years ago
• thekioskman / mean_reversion_strategies
  Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.
  ☆68Updated 3 years ago
• lamres / orderbook_modeling
  Example of order book modeling.
  ☆57Updated 6 years ago
• pe049395 / Market-Making
  Repository for market making ideas
  ☆42Updated last year
• im1235 / ISAC
  Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning
  ☆146Updated 5 years ago
• lcsrodriguez / optimalHFT
  HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)
  ☆36Updated last year
• mselser95 / optimal-market-making
  Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"
  ☆28Updated 4 years ago
• kousik97 / Order-Execution-Strategy
  Literature survey of order execution strategies implemented in python
  ☆43Updated 5 years ago
• shaileshkakkar / OrderImbalance
  Order Imbalance Strategy in High Frequency Trading
  ☆140Updated 7 years ago
• jifengthu / awesome_hft_factors
  ☆28Updated 3 years ago
• vishnugovind10 / MarketMaking
  Market Making in Python
  ☆19Updated last year
• hudson-and-thames / meta-labeling
  Code base for the meta-labeling papers published with the Journal of Financial Data Science
  ☆92Updated 2 years ago
• keanekwa / Optiver-Ready-Trader-Go
  Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…
  ☆89Updated 2 years ago