koteyevlev / MarketMakingMLAlgo
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
Alternatives and similar repositories for MarketMakingMLAlgo:
Users that are interested in MarketMakingMLAlgo are comparing it to the libraries listed below
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- ☆30Updated 3 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆31Updated 3 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- ☆49Updated 3 years ago
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Collection of Models related to market making☆16Updated 4 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- Market making strategies and scientific papers☆13Updated last year
- ☆21Updated 5 years ago
- Optimal high-frequency market making strategy☆19Updated 3 months ago
- Example of order book modeling.☆56Updated 5 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆14Updated last year
- Trend Prediction for High Frequency Trading☆39Updated 2 years ago
- High Frequency Trading Strategies☆41Updated 7 years ago
- ☆23Updated 2 years ago
- Market Making in Python☆15Updated 10 months ago
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆20Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆50Updated 6 years ago
- High-frequency trading in a limit order book☆58Updated 5 years ago
- high-frequency grid trading strategy backtesting for binance futures☆24Updated 2 years ago
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 6 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆28Updated 11 months ago
- Contains all the Jupyter Notebooks used in our research☆15Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- A financial trading method using machine learning.☆60Updated last year
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- A model simulation shows how pairs trading could be used for two S&P500 traded stocks. It proofs that the strategy is successful on real…☆25Updated 4 years ago