hulatown / vpin
Application of VPIN in cyrptocurrency market.
☆20Updated 5 years ago
Alternatives and similar repositories for vpin:
Users that are interested in vpin are comparing it to the libraries listed below
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆34Updated 4 years ago
- Market making strategy example☆25Updated 3 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆30Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- This quant framework applies algorithm trading in Crypto market. The trading pairs focus on spots, perpetuals, futures, and options in De…☆48Updated 4 years ago
- ☆29Updated 3 years ago
- Example of order book modeling.☆56Updated 5 years ago
- stores market data from cryptofeed to kdb+☆23Updated 3 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆70Updated 7 years ago
- ☆31Updated 4 years ago
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆20Updated 3 years ago
- Repository for market making ideas☆39Updated 9 months ago
- ☆38Updated 2 years ago
- ☆108Updated 7 years ago
- Substantial backtesting of statistical arbitrage pairs trading with crypto-currencies☆22Updated 4 years ago
- High Frequency Trading Strategies☆41Updated 7 years ago
- This project is to download and analyze cryptocurrency option data available on Deribit via a public API. Data are collected on an Ubuntu…☆7Updated 3 years ago
- a cpp framework for crypto currentcy tick data backtesting☆16Updated 3 years ago
- Dashboard to track crypto spot-futures premiums☆53Updated 2 years ago
- A Practical Guide to a Simple Data Stack.☆39Updated 4 months ago
- A library that can be used to download the entire BTC and ETH option chain data on Deribit.☆61Updated 4 years ago
- Market Making in Python☆15Updated 9 months ago
- Volatility surface visualizer for cryptocurrency options.☆51Updated 2 years ago
- Developing a trend following model using futures☆31Updated last year
- algo trading backtesting on BitMEX☆76Updated last year
- Tool to identify option arbitrage opportunities across different expiries.☆13Updated 3 months ago
- High-frequency trading in a limit order book☆57Updated 5 years ago
- ☆21Updated 2 years ago
- Bitmex market microstructure analytics☆20Updated 3 years ago