kousik97 / Order-Execution-StrategyLinks
Literature survey of order execution strategies implemented in python
☆44Updated 5 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☆49Updated 8 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆37Updated 6 years ago
- High Frequency Jump Prediction Project☆38Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆115Updated last year
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆89Updated 4 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆37Updated last year
- ☆55Updated 4 years ago
- The Short-Term Predictability of Returns in Order Book Markets: A Deep Learning Perspective.☆60Updated 2 years ago
- Calibrates microprice model to BitMEX quote data☆64Updated 4 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆75Updated 3 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆144Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆97Updated 2 years ago
- ☆30Updated 3 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆29Updated 4 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago
- Demonstrative examples for developing quantitative and systematic strategies☆38Updated 2 years ago
- The book <Advanced Algorithmic Trading> and its source code☆62Updated 8 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆67Updated 5 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆17Updated 8 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆126Updated 5 years ago
- Deep learning for limit order book trading and mid-price movement☆55Updated 5 years ago
- 基于基因表达式规划算法的因子挖掘☆36Updated 4 years ago
- TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative fin…☆51Updated 2 years ago
- Ornstein-Uhlenbeck process simulators and estimators☆32Updated 4 years ago
- Derive order flow from Tick and Trade data.☆33Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆72Updated last year
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆99Updated last year
- Pytorch implementation of TransLOB from Transformer for limit order books☆29Updated 2 years ago