Alternatives and similar repositories for vpin

Users that are interested in vpin are comparing it to the libraries listed below

• im1235 / EIE
  Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data
  ☆38Updated 5 years ago
• shaileshkakkar / MicroPriceIndicator
  This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…
  ☆73Updated 7 years ago
• theopenstreet / VPIN_HFT
  ☆123Updated 8 years ago
• dolmatovas / HFT
  Repo for HFT project in CMF
  ☆29Updated 3 years ago
• yt-feng / VPIN
  Order flow toxicity; Volume-Synchronized Probability of Informed Trading
  ☆99Updated last year
• evermarkets / market-maker-bot
  Market making strategy example
  ☆28Updated 4 years ago
• nkaz001 / market-making-backtest
  algo trading backtesting on BitMEX
  ☆81Updated 2 years ago
• lkrenn / Market-Making-With-Crypto
  Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs
  ☆35Updated 4 years ago
• rspadim / hft-avellaneda
  High-frequency trading in a limit order book
  ☆59Updated 6 years ago
• pe049395 / Market-Making
  Repository for market making ideas
  ☆43Updated last year
• jheusser / vpin
  Volume-Synchronized Probability of Informed Trading
  ☆113Updated 12 years ago
• lamres / orderbook_modeling
  Example of order book modeling.
  ☆58Updated 6 years ago
• mmargenot / machine-learning-market-maker
  Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das
  ☆108Updated 10 years ago
• jshellen / statarb
  ☆39Updated 4 years ago
• dwasse / vol-surface-visualizer
  Volatility surface visualizer for cryptocurrency options.
  ☆61Updated 3 years ago
• DYSIM / Avellaneda-Stoikov-Implementation
  An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
  ☆33Updated 4 years ago
• armoreal / hft
  High Frequency Trading Strategies
  ☆49Updated 8 years ago
• kpuchalskixiv / Impact-of-market-microstructure-on-stock-price
  ☆16Updated 3 years ago
• ZhangMian-CentraleSupelec / High-Frequency-Data-and-Limit-Order-Book
  ☆34Updated 3 years ago
• comeh / LOB_AlgoTrading
  Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.014…
  ☆23Updated 6 years ago
• adamkhakhar / lp-delta-hedge
  ☆69Updated 3 years ago
• bylethquant / simple-data-stack
  A Practical Guide to a Simple Data Stack.
  ☆41Updated last year
• schepal / deribit_data_collector
  A library that can be used to download the entire BTC and ETH option chain data on Deribit.
  ☆69Updated 5 years ago
• ragoragino / avellaneda-stoikov
  Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…
  ☆92Updated 8 years ago
• schepal / delta_hedge
  A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.
  ☆75Updated 3 years ago
• mdibo / Avellaneda-Stoikov
  Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov
  ☆151Updated 5 years ago
• June911 / micro-price
  replication of micro-price on crytocurrency data
  ☆10Updated 3 years ago
• ericbudish / HFT-Races
  Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …
  ☆48Updated 4 years ago
• kolliderhq / example_market_maker
  ☆16Updated 3 years ago
• kurupjayesh / Statistical-Arbitrage-using-Pairs-Trading
  ☆49Updated 8 years ago