kmanley / orderbookLinks
A fast limit order book implementation in Python, inspired by voyager's winning 2011 QuantCup entry. (Also see kmanley/gorderbook, the Go version)
☆77Updated 5 years ago
Alternatives and similar repositories for orderbook
Users that are interested in orderbook are comparing it to the libraries listed below
Sorting:
- Limit Order Book Implemented in Python☆98Updated 7 years ago
- OrderBook Simulator with Limit and Iceberg functionality☆78Updated 6 years ago
- Volume-Synchronized Probability of Informed Trading☆112Updated 12 years ago
- High performance trading Matching Engine / Market Simulator using Level 3 Market Data for realistic simulation of High Frequency Trading …☆114Updated last year
- Fully functioning fast Limit Order Book written in Python☆196Updated 2 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆95Updated last year
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆78Updated 7 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 4 years ago
- Example of order book modeling.☆57Updated 6 years ago
- Volatility surface visualizer for cryptocurrency options.☆60Updated 2 years ago
- ☆120Updated 7 years ago
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆74Updated 3 years ago
- A collection of homeworks of market microstructure models.☆266Updated 7 years ago
- Market Making / Stat Arb strategy☆61Updated 8 years ago
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆105Updated 10 years ago
- Fast Limit order book implementation using AVL binary trees☆42Updated 9 years ago
- Visualization Tool for Deribit Options☆81Updated 5 years ago
- A fast L2/L3 orderbook data structure, in C, for Python☆294Updated 2 weeks ago
- A library that can be used to download the entire BTC and ETH option chain data on Deribit.☆67Updated 5 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆54Updated 4 years ago
- Order Imbalance Strategy in High Frequency Trading☆140Updated 7 years ago
- Fast, Multi threaded and Efficient Trade Matching Engine☆27Updated 4 years ago
- Pairs trading strategy example based on Catalyst☆50Updated 6 years ago
- algo trading backtesting on BitMEX☆81Updated last year
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆88Updated 2 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆134Updated 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
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago