javifalces / HFTFrameworkLinks
HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-making algorithm "
☆287Updated last week
Alternatives and similar repositories for HFTFramework
Users that are interested in HFTFramework are comparing it to the libraries listed below
Sorting:
- High-frequency statistical arbitrage☆244Updated 2 years ago
- A collection of homeworks of market microstructure models.☆277Updated 7 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆237Updated 2 years ago
- High Frequency Market Making☆611Updated 2 years ago
- High frequency trading (HFT) framework built for futures using machine learning and deep learning techniques☆553Updated 3 years ago
- experiments with pair trading☆332Updated last year
- Avellaneda-Stoikov HFT market making algorithm implementation☆640Updated 2 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆179Updated 6 years ago
- ☆434Updated 5 years ago
- algorithmic trading backtest and optimization examples using order book imbalances. (bitcoin, cryptocurrency, bitmex, binance futures, ma…☆310Updated 2 years ago
- Ultra low latency L2/L3 orderbook in modern C++20 achieving single digit nanosecond performance☆192Updated 2 months ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆141Updated last year
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆92Updated 2 years ago
- Order Imbalance Strategy in High Frequency Trading☆141Updated 7 years ago
- High frequency trading bot for crypto currencies☆425Updated 4 years ago
- toolbox of fast mm-related funcs☆226Updated 3 weeks ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆253Updated 3 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆144Updated 2 years ago
- A fast L2/L3 orderbook data structure, in C, for Python☆313Updated 3 months ago
- ☆123Updated 8 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆151Updated 5 years ago
- algo trading backtesting on BitMEX☆81Updated 2 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆147Updated 6 years ago
- ☆141Updated 4 years ago
- CS7641 Team project☆97Updated 5 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆75Updated 5 years ago
- ☆49Updated 6 years ago
- A curated list of Quantitative Finance papers.☆82Updated last week
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆216Updated last year
- An asynchronous low-latency trading system☆62Updated last year