kousik97 / Order-Execution-StrategyLinks
Literature survey of order execution strategies implemented in python
☆44Updated 4 years ago
Alternatives and similar repositories for Order-Execution-Strategy
Users that are interested in Order-Execution-Strategy are comparing it to the libraries listed below
Sorting:
- High Frequency Trading Strategies☆46Updated 7 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Updated 5 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆34Updated 5 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆106Updated last year
- High Frequency Jump Prediction Project☆37Updated 5 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆31Updated last year
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆57Updated 4 years ago
- ☆50Updated 4 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆64Updated 4 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆126Updated 2 years ago
- Ornstein-Uhlenbeck process simulators and estimators☆32Updated 3 years ago
- Backtest result archive for Momentum Trading Strategies☆60Updated 6 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆59Updated 2 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆116Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- ☆26Updated 2 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆47Updated last year
- High frequency factors based on order and trade data.☆53Updated last year
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆84Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆122Updated 5 years ago
- The book <Advanced Algorithmic Trading> and its source code☆60Updated 7 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆66Updated last year
- High frequency trading algorithm for Bitmex☆23Updated 5 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆230Updated 3 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆92Updated 4 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆29Updated 3 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆70Updated 9 years ago
- X-Trend: Few-Shot Learning Patterns in Financial Time-Series for Trend-Following Strategies☆80Updated last year
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆75Updated 7 years ago