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:
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- Market Making / Stat Arb strategy☆62Updated 8 years ago
- Limit Order Book Implemented in Python☆99Updated 7 years ago
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆106Updated 9 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆79Updated 7 years ago
- OrderBook Simulator with Limit and Iceberg functionality☆76Updated 6 years ago
- Fully functioning fast Limit Order Book written in Python☆196Updated 2 years ago
- ☆119Updated 7 years ago
- Example of order book modeling.☆58Updated 6 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
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆73Updated 3 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆104Updated 6 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
- Volatility surface visualizer for cryptocurrency options.☆59Updated 2 years ago
- algo trading backtesting on BitMEX☆82Updated last year
- Visualization Tool for Deribit Options☆82Updated 5 years ago
- A collection of homeworks of market microstructure models.☆258Updated 7 years ago
- High performance trading Matching Engine / Market Simulator using Level 3 Market Data for realistic simulation of High Frequency Trading …☆114Updated last year
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆95Updated 4 years ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆91Updated 7 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- Fast Limit order book implementation using AVL binary trees☆40Updated 9 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆93Updated last year
- Deep learning modelling of orderbooks☆100Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆78Updated 7 years ago
- Pairs trading strategy example based on Catalyst☆50Updated 6 years ago
- ☆48Updated 6 years ago
- Jupyter Notebook examples on how to use the ArbitrageLab - pairs trading - python library.☆130Updated last year
- Fast, Multi threaded and Efficient Trade Matching Engine☆27Updated 4 years ago
- A fast L2/L3 orderbook data structure, in C, for Python☆289Updated 11 months ago