lamres / orderbook_modelingLinks
Example of order book modeling.
☆56Updated 5 years ago
Alternatives and similar repositories for orderbook_modeling
Users that are interested in orderbook_modeling are comparing it to the libraries listed below
Sorting:
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- High-frequency trading in a limit order book☆58Updated 6 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 3 years ago
- Pairs trading strategy example based on Catalyst☆48Updated 6 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- ☆49Updated 8 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- ☆33Updated 3 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆73Updated 7 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆33Updated 3 years ago
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆69Updated 7 years ago
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆73Updated 2 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆64Updated 2 years ago
- stores market data from cryptofeed to kdb+☆23Updated 4 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆52Updated 4 years ago
- ☆49Updated 4 years ago
- Delta hedging under SABR model☆32Updated last year
- ☆113Updated 7 years ago
- A library that can be used to download the entire BTC and ETH option chain data on Deribit.☆63Updated 4 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆51Updated 3 years ago
- Visualization Tool for Deribit Options☆81Updated 5 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- algo trading backtesting on BitMEX☆77Updated last year
- Fast, Multi threaded and Efficient Trade Matching Engine☆26Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- Volatility surface visualizer for cryptocurrency options.☆55Updated 2 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆64Updated last year
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago