martinobdl / ITCHLinks
Nasdaq Order Book Reconstructor
☆244Updated 3 years ago
Alternatives and similar repositories for ITCH
Users that are interested in ITCH are comparing it to the libraries listed below
Sorting:
- Implementation of a orderbook data structure for LOB research capabilities.☆145Updated last year
- A C++ and Python implementation of the limit order book.☆274Updated 4 years ago
- C++23 examples.☆162Updated last week
- ☆394Updated 4 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆231Updated 2 months ago
- Fast implementation of an ITCH order book☆364Updated 2 years ago
- C++ 17 based library (with sample applications) for testing equities, futures, currencies, etfs & options based automated trading ideas u …☆551Updated this week
- C++23 interfaces used to communicate with Roq's market gateways.☆481Updated last week
- Order Imbalance Strategy in High Frequency Trading☆133Updated 6 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆219Updated 3 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆141Updated 5 years ago
- Cross Exchange/Hedged market making Trading Bot in C++☆148Updated 2 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆193Updated last year
- High performance trading Matching Engine / Market Simulator using Level 3 Market Data for realistic simulation of High Frequency Trading …☆105Updated last year
- C++ Trading Algorithm Backtest Environment☆88Updated 6 years ago
- A collection of homeworks of market microstructure models.☆240Updated 7 years ago
- A collection of High-Frequency trading components☆289Updated 9 years ago
- The official C++ client library for Databento☆42Updated this week
- ☆200Updated 2 years ago
- Limit Order Book data analysis and modeling using LSTM network☆137Updated 6 years ago
- High Frequency Market Making☆543Updated last year
- Avellaneda-Stoikov HFT market making algorithm implementation☆539Updated last year
- C++ low-latency in-memory order book☆91Updated 11 years ago
- To classify trades into buyer- and seller-initiated.☆144Updated 2 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆160Updated 5 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆111Updated 2 years ago
- Personal Project that implements a variety of HFT strategies in C++☆73Updated 4 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆156Updated 7 years ago
- C++ implementation of options pricing models☆77Updated 7 years ago
- Limit Order Book Implemented in Python☆93Updated 7 years ago