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.
β19Updated 2 years ago
Related projects β
Alternatives and complementary repositories for crypto-lob-data-pipeline
- Example of order book modeling.β57Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paperβ28Updated 3 years ago
- A project of building and running a trading system according to service oriented architecture standard.β14Updated 6 years ago
- Time Series Prediction of Volume in LOBβ53Updated 7 months ago
- A financial trading method using machine learning.β58Updated last year
- High-frequency trading in a limit order bookβ54Updated 5 years ago
- β46Updated 3 years ago
- Repo for HFT project in CMFβ26Updated last year
- β18Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NEβ¦β49Updated 8 months ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. Gβ¦β58Updated 4 years ago
- Tool to identify option arbitrage opportunities across different expiries.β11Updated 2 weeks ago
- Contains all the Jupyter Notebooks used in our researchβ14Updated 4 years ago
- Baruch MFE 2019 Springβ35Updated 4 years ago
- Calibrates microprice model to BitMEX quote dataβ54Updated 3 years ago
- Repository for market making ideasβ37Updated 6 months ago
- Backtest result archive for Momentum Trading Strategiesβ46Updated 5 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Leeβ18Updated 5 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
- A Collection of public tutorials published in the qubitquants.pro blogβ57Updated last year
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.β47Updated 3 years ago
- OpenAI Gym Environment for Low-Latency Tradingβ18Updated 6 years ago
- β26Updated 3 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¦β26Updated last year
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedgingβ68Updated 6 years ago
- Collection of Models related to market makingβ14Updated 3 years ago
- High Frequency Trading Strategiesβ41Updated 7 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.β43Updated 4 years ago
- Literature survey of order execution strategies implemented in pythonβ38Updated 4 years ago
- Delta hedging under SABR modelβ19Updated 6 months ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)β26Updated 7 months ago