grayvalley / microprice-calibrationLinks
Calibrates microprice model to BitMEX quote data
☆56Updated 3 years ago
Alternatives and similar repositories for microprice-calibration
Users that are interested in microprice-calibration are comparing it to the libraries listed below
Sorting:
- ☆50Updated 4 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…☆69Updated 7 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 4 years ago
- ☆33Updated 3 years ago
- High Frequency Trading Strategies☆45Updated 7 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆29Updated 3 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆51Updated 3 years ago
- ☆114Updated 7 years ago
- ☆26Updated 2 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆123Updated 2 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆33Updated 3 years ago
- algo trading backtesting on BitMEX☆78Updated last year
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- AS model performance versus trivial delta for market-makers☆19Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆59Updated 6 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- a cpp framework for crypto currentcy tick data backtesting☆17Updated 4 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 4 years ago
- ☆24Updated 5 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆65Updated 2 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆92Updated 4 years ago
- ☆25Updated 2 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆14Updated last year
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆47Updated last year
- A model simulation shows how pairs trading could be used for two S&P500 traded stocks. It proofs that the strategy is successful on real…☆25Updated 4 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆15Updated 7 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆81Updated 2 years ago