hulatown / vpinLinks
Application of VPIN in cyrptocurrency market.
☆21Updated 6 years ago
Alternatives and similar repositories for vpin
Users that are interested in vpin are comparing it to the libraries listed below
Sorting:
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆37Updated 4 years ago
- Market making strategy example☆28Updated 4 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…☆72Updated 7 years ago
- ☆123Updated 8 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 12 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Repository for market making ideas☆43Updated last year
- Volatility surface visualizer for cryptocurrency options.☆60Updated 3 years ago
- algo trading backtesting on BitMEX☆81Updated 2 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- Example of order book modeling.☆58Updated 6 years ago
- A library that can be used to download the entire BTC and ETH option chain data on Deribit.☆67Updated 5 years ago
- 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
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill …☆48Updated 4 years ago
- ☆49Updated 8 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆79Updated 7 years ago
- Limit Order Book Implemented in Python☆99Updated 7 years ago
- This quant framework applies algorithm trading in Crypto market. The trading pairs focus on spots, perpetuals, futures, and options in De…☆55Updated 5 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 4 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆95Updated last year
- ☆38Updated 4 years ago
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆75Updated 3 years ago
- Sharing quantitative analyses on Crypto Lake data☆70Updated last year
- 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
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆152Updated 5 years ago
- High Frequency Trading Strategies☆48Updated 8 years ago
- stores market data from cryptofeed to kdb+☆24Updated 4 years ago
- ☆69Updated 3 years ago