hanxixuana / flowriskLinks
A Python Implementation of Measures for Order Flow Risk, e.g. VPIN
☆92Updated 4 years ago
Alternatives and similar repositories for flowrisk
Users that are interested in flowrisk are comparing it to the libraries listed below
Sorting:
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- ☆114Updated 7 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆91Updated 11 months ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- ☆50Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆57Updated 4 years ago
- Example of order book modeling.☆57Updated 6 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…☆70Updated 7 years ago
- algo trading backtesting on BitMEX☆78Updated last year
- Backtest result archive for Momentum Trading Strategies☆60Updated 6 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- Estimation of the lead-lag parameter from non-synchronous data.☆127Updated 3 months ago
- High Frequency Trading Strategies☆46Updated 7 years ago
- High Frequency Trading☆109Updated 7 years ago
- Deep learning modelling of orderbooks☆95Updated 4 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆75Updated 7 years ago
- ☆33Updated 3 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- Examples of nautilus script☆37Updated 6 months ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Updated 5 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆103Updated 6 years ago
- Limit Order Book Implemented in Python☆96Updated 7 years ago
- In this repository, an event-driven backtester is implemented based on QuantStart articles. The backtester is programmed in Python featur…☆64Updated 4 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 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
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆77Updated 6 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Order Imbalance Strategy in High Frequency Trading☆135Updated 7 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆34Updated 3 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago