layoups / microstructure-and-liquidity
☆20Updated last year
Related projects: ⓘ
- ☆26Updated 3 years ago
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆18Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆17Updated 2 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆32Updated 3 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆24Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆25Updated 3 years ago
- Collection of Models related to market making☆14Updated 3 years ago
- Repo for HFT project in CMF☆25Updated last year
- Dashboard to track crypto spot-futures premiums☆46Updated 2 years ago
- Example of order book modeling.☆55Updated 5 years ago
- ☆46Updated 3 years ago
- high-frequency grid trading strategy backtesting for binance futures☆24Updated last year
- Package to build risk model for factor pricing model☆20Updated last month
- Sharing quantitative analyses on Crypto Lake data☆52Updated 2 weeks ago
- Repository for market making ideas☆33Updated 4 months ago
- Vectorized quantile backtesting library☆14Updated last year
- This project is to download and analyze cryptocurrency option data available on Deribit via a public API. Data are collected on an Ubuntu…☆7Updated 3 years ago
- ☆34Updated this week
- Market making strategy example☆25Updated 3 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆26Updated 2 years ago
- Bitmex market microstructure analytics☆19Updated 3 years ago
- A library that can be used to download the entire BTC and ETH option chain data on Deribit.☆56Updated 4 years ago
- Implementation of optimisation analytics for constructing and backtesting optimal portfolios in Python☆30Updated 2 weeks ago
- ☆16Updated 4 years ago
- Time Series Prediction of Volume in LOB☆52Updated 5 months ago
- A handy tool to quickly analyze the orderbook depth for all Deribit listed options.☆19Updated last year
- ☆31Updated this week
- Different trading strategies using technical analysis. Data: Ethereum/USD 5 minutes bars☆16Updated 3 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆48Updated 4 years ago
- Application of VPIN in cyrptocurrency market.☆20Updated 5 years ago