Benchmark Dataset of Limit Order Book in China Markets
☆227Mar 23, 2021Updated 5 years ago
Alternatives and similar repositories for LOB
Users that are interested in LOB are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- ☆216Mar 29, 2023Updated 3 years ago
- This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", publis…☆607Jul 15, 2021Updated 5 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆97Mar 12, 2021Updated 5 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆277Apr 12, 2022Updated 4 years ago
- Transformers for limit order books☆13Jul 25, 2021Updated 5 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- High frequency factors based on order and trade data.☆76Dec 16, 2023Updated 2 years ago
- This repo contains my reimplementation and improvement of DeepLOB model.☆33Apr 22, 2021Updated 5 years ago
- Deep learning for limit order book trading and mid-price movement☆54Oct 20, 2020Updated 5 years ago
- High frequency prediction of Chinese stock returns. Orderbook data generation. High frequency factors construction.☆19Mar 10, 2023Updated 3 years ago
- Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'☆60Apr 6, 2023Updated 3 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- Transformers for limit order books☆125Aug 9, 2020Updated 6 years ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆14Feb 4, 2023Updated 3 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆160Dec 11, 2022Updated 3 years ago
- AI Agents on DigitalOcean Gradient AI Platform • AdBuild production-ready AI agents using customizable tools or access multiple LLMs through a single endpoint. Create custom knowledge bases or connect external data.
- A股订单簿工具，使用逐笔行情进行订单簿重建、千档快照发布、各档委托队列展示等，包括python模型和FPGA HLS实现。☆408Jan 15, 2024Updated 2 years ago
- The source code and data of the paper "HIST: A Graph-based Framework for Stock Trend Forecasting via Mining Concept-Oriented Shared Infor…☆304Jan 13, 2023Updated 3 years ago
- [Likelihood Lab Project 2024] Official Repository for The Technical Report, Label Unbalance in High-frequency Trading☆29Mar 20, 2025Updated last year
- MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series☆19Sep 5, 2025Updated last year
- Vpin caculation and backtesting☆14Aug 16, 2019Updated 7 years ago
- ☆13Mar 31, 2019Updated 7 years ago
- Just another backtester☆22Aug 27, 2025Updated last year
- Generating sets of formulaic alpha (predictive) stock factors via reinforcement learning.☆1,242Jun 4, 2026Updated 3 months ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆31Apr 30, 2020Updated 6 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Deep learning modelling of orderbooks☆106Oct 8, 2020Updated 5 years ago
- ☆25Apr 23, 2020Updated 6 years ago
- High Frequency Jump Prediction Project☆37Jun 1, 2020Updated 6 years ago
- Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Ti…☆2,343Aug 27, 2022Updated 4 years ago
- This is the repository for the Models of Sequence Data 2020 Edition for the project DeepFolio☆16Dec 17, 2020Updated 5 years ago
- This code accompanies the the paper Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture (https://arxiv.o…☆638Mar 19, 2026Updated 6 months ago
- High frequency trading (HFT) framework built for futures using machine learning and deep learning techniques☆613Sep 20, 2022Updated 4 years ago
- OCET, torch, transformers, DeepLOB,limit-order-books☆10Dec 6, 2022Updated 3 years ago
- Code to support my Master's thesis☆22Sep 10, 2023Updated 3 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- ☆11Nov 6, 2018Updated 7 years ago
- mbt_gym is a module which provides a suite of gym environments for training reinforcement learning (RL) agents to solve model-based high-…☆177Jan 8, 2024Updated 2 years ago
- Barra CNE6 因子构建☆383Jan 20, 2020Updated 6 years ago
- ☆38Nov 30, 2022Updated 3 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆20Dec 8, 2022Updated 3 years ago
- 沪深300指数增强模型☆90Sep 3, 2019Updated 7 years ago
- Simple Experimental Limit Order Book Simulation☆15Apr 12, 2020Updated 6 years ago