Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.
☆49Apr 9, 2020Updated 6 years ago
Alternatives and similar repositories for High-Frequency-Data---Limit-Order-Books
Users that are interested in High-Frequency-Data---Limit-Order-Books are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Simulator of a basic order book flow and order execution☆18Mar 22, 2023Updated 3 years ago
- High Frequency Trading Strategies☆49Aug 14, 2017Updated 8 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆123May 20, 2024Updated 2 years ago
- Ornstein-Uhlenbeck process simulators and estimators☆32Oct 19, 2021Updated 4 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆276Apr 12, 2022Updated 4 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆155May 9, 2020Updated 6 years ago
- Literature survey of order execution strategies implemented in python☆46Jul 24, 2020Updated 6 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆174Aug 21, 2017Updated 8 years ago
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆110Oct 16, 2015Updated 10 years ago
- [Python Package] Code from 'The Elements of Hawkes Processes' Book☆32Sep 28, 2023Updated 2 years ago
- Python class for generation and parameter estimation of multivariate Hawkes processes☆177Aug 27, 2025Updated 11 months ago
- An algorithmic trading robot written in Python.☆27Jun 4, 2017Updated 9 years ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- This repository contains the main code used in the paper "Deep Reinforcement Learning for Market Making Under a Hawkes Process-Based Limi…☆71Mar 19, 2023Updated 3 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Deep learning models for high-frequency financial data (limited order book)☆19Apr 2, 2019Updated 7 years ago
- The book <Advanced Algorithmic Trading> and its source code☆63Jan 5, 2018Updated 8 years ago
- 两家交易所做比特币的高频对冲☆18Dec 5, 2019Updated 6 years ago
- Processing and performing financial calculations on HFT data☆10Dec 19, 2018Updated 7 years ago
- High frequency trading algorithm for Bitmex☆22Jun 22, 2020Updated 6 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆42Nov 21, 2019Updated 6 years ago
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆12Dec 31, 2018Updated 7 years ago
- High Frequency Jump Prediction Project☆38Jun 1, 2020Updated 6 years ago
- Deep Q-Learning for Market Making☆130Jun 12, 2018Updated 8 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- source : http://coin.wne.uw.edu.pl/pwojcik/hfd_en.html☆38Jul 12, 2018Updated 8 years 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
- 使用electoron仿写同花顺网上交易客户端。行情数据来源于新浪股票。软件已实现自动升级，单例运行等。☆34Jul 7, 2020Updated 6 years ago
- 高频交易系统结构☆17May 21, 2020Updated 6 years ago
- Basic Limit Order Book functions☆23Apr 4, 2018Updated 8 years ago
- Scala OrderBook Reconstructor for high-frequency order-flow data☆15Aug 27, 2023Updated 2 years ago
- Python package for simulating Intra-day orderflow in a limit order book. Uses PyLOB (https://github.com/ab24v07/PyLOB)☆19May 21, 2013Updated 13 years ago
- A Python toolkit for high-frequency trade research.☆43Jun 9, 2018Updated 8 years ago
- Financial Markets Microstructure course (UCPH, Masters in Econ)☆26Aug 25, 2025Updated 11 months ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- 用SVM构建高频交易策略☆13Oct 21, 2019Updated 6 years ago
- Scalable implementation of Lee / Mykland (2012) and Ait-Sahalia / Jacod (2012) Jump tests for noisy high frequency data☆12Jan 26, 2025Updated last year
- Ingest and store Polymarket market data.☆17Oct 15, 2025Updated 9 months ago
- Apply different deep learning models to limit order book.☆13Mar 6, 2018Updated 8 years ago
- This project is to simulate the effects of high frequency trading on a stock. This is the code for the order book as well as 'traders' wh…☆27May 30, 2013Updated 13 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆17Dec 26, 2022Updated 3 years ago
- Intraday trading strategy for futures calendar spreads. Uses crude oil futures and 1-minute bid/ask bars from Interactive Brokers with a …☆16Apr 23, 2024Updated 2 years ago