hanxixuana / flowrisk
A Python Implementation of Measures for Order Flow Risk, e.g. VPIN
☆86Updated 4 years ago
Alternatives and similar repositories for flowrisk:
Users that are interested in flowrisk are comparing it to the libraries listed below
- Volume-Synchronized Probability of Informed Trading☆110Updated 11 years ago
- ☆111Updated 7 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- ☆49Updated 3 years ago
- Example of order book modeling.☆56Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 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…☆68Updated 6 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆101Updated 6 years ago
- Backtest result archive for Momentum Trading Strategies☆50Updated 6 years ago
- algo trading backtesting on BitMEX☆76Updated last year
- Deep learning modelling of orderbooks☆95Updated 4 years ago
- Limit Order Book Implemented in Python☆93Updated 7 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆85Updated 7 months ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆79Updated 2 years ago
- Time Series Prediction of Volume in LOB☆56Updated 11 months ago
- High-frequency trading in a limit order book☆58Updated 5 years ago
- ☆30Updated 3 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- Probability of Backtest Overfitting in Python☆121Updated last year
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆70Updated 7 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆50Updated 3 years ago
- A financial trading method using machine learning.☆60Updated last year
- Pairs trading strategy example based on Catalyst☆47Updated 6 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆66Updated 8 years ago
- Pair Trading Strategy using Machine Learning written in Python☆114Updated 2 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 4 years ago
- In this repository, an event-driven backtester is implemented based on QuantStart articles. The backtester is programmed in Python featur…☆61Updated 3 years ago
- Examples of nautilus script☆32Updated 2 months ago
- High Frequency Trading Strategies☆41Updated 7 years ago