Alternatives and similar repositories for vpin

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

• theopenstreet / VPIN_HFT
  ☆117Updated 7 years ago
• nkaz001 / market-making-backtest
  algo trading backtesting on BitMEX
  ☆82Updated last year
• 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…
  ☆71Updated 7 years ago
• lamres / orderbook_modeling
  Example of order book modeling.
  ☆58Updated 6 years ago
• yt-feng / VPIN
  Order flow toxicity; Volume-Synchronized Probability of Informed Trading
  ☆92Updated last year
• sapphire921 / HFT-Pairs-Trading
  High Frequency Pairs Trading Based on Statistical Arbitrage (Python)
  ☆105Updated 6 years ago
• hanxixuana / flowrisk
  A Python Implementation of Measures for Order Flow Risk, e.g. VPIN
  ☆95Updated 4 years ago
• abcabhishek / PyLimitOrderBook
  Limit Order Book Implemented in Python
  ☆99Updated 7 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 7 years ago
• shaileshkakkar / OrderImbalance
  Order Imbalance Strategy in High Frequency Trading
  ☆138Updated 7 years ago
• jerryxyx / TreasuryFutureTrading
  A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change
  ☆78Updated 7 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
  ☆107Updated 9 years ago
• rlindland / options-market-making
  A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging
  ☆79Updated 7 years ago
• orderbooktools / crobat
  Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.
  ☆53Updated 4 years ago
• DYSIM / Avellaneda-Stoikov-Implementation
  An implementation of Avellaneda-Stoikov market making model after reading the seminal paper
  ☆31Updated 4 years ago
• HujiaYuYoyo / 448Project
  High Frequency Trading
  ☆110Updated 7 years ago
• mdibo / Avellaneda-Stoikov
  Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov
  ☆150Updated 5 years ago
• hjeffreywang / Stock_feature_engineering
  Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…
  ☆72Updated 5 years ago
• miroblog / limit_orderbook_prediction
  ☆141Updated 2 years ago
• mmssss / hft-market-making
  Implementation of HFT backtesting simulator and Stoikov strategy
  ☆134Updated 2 years ago
• alexbotsula / Price_direction_forecast
  ☆47Updated 6 years ago
• hzjken / HFT-price-prediction
  A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.
  ☆173Updated 5 years ago
• lkrenn / Market-Making-With-Crypto
  Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs
  ☆35Updated 3 years ago
• schepal / delta_hedge
  A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.
  ☆73Updated 3 years ago
• pengjin2 / Derbit-Volatility-Visulization
  Visualization Tool for Deribit Options
  ☆82Updated 5 years ago
• jshellen / statarb
  ☆36Updated 4 years ago
• bradleyboyuyang / Statistical-Arbitrage
  High-frequency statistical arbitrage
  ☆216Updated 2 years ago
• grayvalley / microprice-calibration
  Calibrates microprice model to BitMEX quote data
  ☆58Updated 4 years ago
• wangy8989 / Pairs-Trading-with-Machine-Learning
  Pair Trading Strategy using Machine Learning written in Python
  ☆120Updated 3 years ago
• rspadim / hft-avellaneda
  High-frequency trading in a limit order book
  ☆60Updated 6 years ago