A Python Implementation of Measures for Order Flow Risk, e.g. VPIN
☆99Jan 1, 2021Updated 5 years ago
Alternatives and similar repositories for flowrisk
Users that are interested in flowrisk are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Vpin caculation and backtesting☆14Aug 16, 2019Updated 6 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆105Apr 30, 2026Updated 2 months ago
- ☆133Dec 12, 2017Updated 8 years ago
- Volume-Synchronized Probability of Informed Trading☆117Oct 13, 2013Updated 12 years ago
- ☆15Feb 7, 2021Updated 5 years ago
- Simple, predictable pricing with DigitalOcean hosting • AdAlways know what you'll pay with monthly caps and flat pricing. Enterprise-grade infrastructure trusted by 600k+ customers.
- algo trading backtesting on BitMEX☆82Dec 4, 2023Updated 2 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆42Nov 21, 2019Updated 6 years ago
- Implementation of AFML Book☆22Jul 27, 2019Updated 6 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Dec 8, 2022Updated 3 years ago
- ☆11Oct 6, 2020Updated 5 years ago
- Pairs Trading in CTA trending strategy backtesting, by iterateing parameters on the last 6 months and pick the optimal one, then start tr…☆11Sep 13, 2017Updated 8 years ago
- ☆39Aug 2, 2021Updated 4 years ago
- a cpp framework for crypto currentcy tick data backtesting☆18Jun 4, 2021Updated 5 years ago
- Bayer, Friz, Gulisashvili, Horvath, Stemper (2017). Short-time near-the-money skew in rough fractional volatility models.☆13Mar 23, 2017Updated 9 years ago
- Simple, predictable pricing with DigitalOcean hosting • AdAlways know what you'll pay with monthly caps and flat pricing. Enterprise-grade infrastructure trusted by 600k+ customers.
- Database for L2 orderbook☆751Jan 25, 2024Updated 2 years ago
- We use an adversarial expert based online learning algorithm to learn the optimal parameters required to maximise wealth trading zero-cos…☆11Apr 8, 2020Updated 6 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆274Mar 19, 2026Updated 4 months ago
- Sample BitMEX Market Making Bot☆30Apr 8, 2021Updated 5 years ago
- ☆11Mar 19, 2018Updated 8 years ago
- Based on paper Learning Embedded Representation of the Stock Correlation Matrix using Graph Machine Learning☆13Dec 24, 2022Updated 3 years ago
- A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992…☆41Dec 17, 2025Updated 7 months ago
- A collection of homeworks of market microstructure models.☆292May 4, 2018Updated 8 years ago
- High Frequency Market Making☆641Sep 24, 2023Updated 2 years ago
- Serverless GPU API endpoints on Runpod - Get Bonus Credits • AdSkip the infrastructure headaches. Auto-scaling, pay-as-you-go, no-ops approach lets you focus on innovating your application.
- Advancing in Financial Machine Learning☆16Feb 27, 2020Updated 6 years ago
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆35Oct 13, 2022Updated 3 years ago
- 2 algorithms of optimal trade execution: 1) Dynamic Programming 2) Frank-Wolfe Algorithm (Python & C++)☆19Dec 11, 2019Updated 6 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆57Jul 6, 2023Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆21Jan 13, 2022Updated 4 years ago
- sharpe is a unified, interactive, general-purpose environment for backtesting or applying machine learning(supervised learning and reinfo…☆51Oct 29, 2021Updated 4 years ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- Event-driven Algorithmic Trading For Python☆25Apr 7, 2019Updated 7 years ago
- High-performing deep learning trader on a multithreaded financial exchange simulation.☆21Updated this week
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Alpha研究平台☆21Sep 6, 2021Updated 4 years ago
- ☆216Mar 29, 2023Updated 3 years ago
- Literature survey of order execution strategies implemented in python☆46Jul 24, 2020Updated 6 years ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆252Feb 2, 2024Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆135Apr 26, 2020Updated 6 years ago
- Algorithmic implementation of automated adjustment of delta hedged initialized short straddle deployed over Derivatives (Options) market☆18Dec 29, 2022Updated 3 years ago
- ☆26Mar 8, 2019Updated 7 years ago