kostyafarber / crypto-lob-data-pipeline
I built a real-time streaming data pipeline using kafka, consuming deribit-api-v2 limit order book prices π and transforming them into an order flow imbalance indicator.
β21Updated 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
- Tool to identify option arbitrage opportunities across different expiries.β16Updated 5 months ago
- Repository for market making ideasβ40Updated 11 months ago
- β31Updated 3 years ago
- Deep learning approach for market price prediction, in JAXβ38Updated 11 months ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paperβ30Updated 3 years ago
- Repo for HFT project in CMFβ28Updated 2 years ago
- Python API for accessing Lake high frequency tick trades & order book dataβ43Updated 3 weeks ago
- Stochastic volatility models and their application to Deribit crypro-options exchangeβ12Updated 5 months ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick dataβ36Updated 4 years ago
- Example of order book modeling.β56Updated 5 years ago
- A financial trading method using machine learning.β60Updated 2 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 β¦β31Updated 2 months ago
- High Frequency Trading Strategiesβ44Updated 7 years ago
- Topic : Option trading Strategies , B&S , Implied Volatility &Stochastic & Local Volatility , Geometric Brownian Motion.β24Updated last year
- Delta hedging under SABR modelβ30Updated 11 months ago
- Different trading strategies using technical analysis. Data: Ethereum/USD 5 minutes barsβ18Updated 3 years ago
- β21Updated 2 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order logβ27Updated 3 years ago
- β49Updated 4 years ago
- Contains all the Jupyter Notebooks used in our researchβ15Updated 5 years ago
- Examples of nautilus scriptβ34Updated 3 months ago
- Calibrates microprice model to BitMEX quote dataβ56Updated 3 years ago
- β21Updated 5 years ago
- high-frequency grid trading strategy backtesting for binance futuresβ23Updated 2 years ago
- The deribit_historical_trades repository gathers cryptocurrency (BTC, ETH, SOL, USDC) derivatives traded on the cryptocurrency derivativeβ¦β19Updated 2 years ago
- Time Series Prediction of Volume in LOBβ57Updated last year
- Derive order flow from Tick and Trade data.β30Updated 3 years ago
- Market Making in Pythonβ17Updated last year
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairsβ32Updated 3 years ago
- AS model performance versus trivial delta for market-makersβ18Updated 3 years ago