kostyafarber / crypto-lob-data-pipeline
I built a real-time streaming data pipeline using kafka, consuming deribit-api-v2 limit order book prices 📈 and transforming them into an order flow imbalance indicator.
☆21Updated 2 years ago
Alternatives and similar repositories for crypto-lob-data-pipeline:
Users that are interested in crypto-lob-data-pipeline are comparing it to the libraries listed below
- High Frequency Trading Strategies☆44Updated 7 years ago
- Tool to identify option arbitrage opportunities across different expiries.☆16Updated 5 months ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- ☆31Updated 3 years ago
- Repository for market making ideas☆40Updated last year
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆44Updated 5 years ago
- ☆49Updated 4 years ago
- High Frequency Jump Prediction Project☆36Updated 4 years ago
- Example of order book modeling.☆56Updated 5 years ago
- Different trading strategies using technical analysis. Data: Ethereum/USD 5 minutes bars☆18Updated 3 years ago
- Stochastic volatility models and their application to Deribit crypro-options exchange☆12Updated 5 months ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- Deribit bot to run options strategy orders with different triggers and targets. You can set strategy cost to execute orders, this can be …☆31Updated 2 months ago
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- A Practical Guide to a Simple Data Stack.☆40Updated 7 months ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- Python API for accessing Lake high frequency tick trades & order book data☆43Updated 3 weeks ago
- A financial trading method using machine learning.☆60Updated 2 years ago
- Market Making in Python☆17Updated last year
- Zakamouline optimal delta hedging strategy python implementation.☆15Updated 2 years ago
- Deep learning approach for market price prediction, in JAX☆38Updated 11 months ago
- Package to build risk model for factor pricing model☆24Updated 9 months ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- High Frequency Trading strategies.☆31Updated last year
- Backtest result archive for Momentum Trading Strategies☆53Updated 6 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆32Updated 3 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆29Updated last year
- Delta hedging under SABR model☆30Updated 11 months ago