Python package for a class of tractable SPDE models for limit order book modeling
☆38Jun 20, 2021Updated 5 years ago
Alternatives and similar repositories for lobpy
Users that are interested in lobpy are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Replication of A Stochastic Model for Order Book Dynamics by Cont, Stoikov, and Talreja, 2010☆23Dec 28, 2018Updated 7 years ago
- ☆11Nov 6, 2018Updated 7 years ago
- This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting …☆38Oct 18, 2020Updated 5 years ago
- Order Imbalance Trading Simulation R Code☆17Sep 9, 2019Updated 6 years ago
- ☆17Mar 23, 2022Updated 4 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Modeling high-frequency limit order book dynamics with support vector machines☆745Jan 29, 2016Updated 10 years ago
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Mar 20, 2023Updated 3 years ago
- source : http://coin.wne.uw.edu.pl/pwojcik/hfd_en.html☆38Jul 12, 2018Updated 7 years ago
- A python implementation of the fast-reversion Heston model of Mechkov [2015, https://goo.gl/2awbrV], for FX purposes.☆14May 24, 2018Updated 8 years ago
- National Stock Exchange of India Limit Order Book Simulation☆41Oct 1, 2020Updated 5 years ago
- Pytorch implementation of DeepLOB-ATT and DeepLOB-Seq2Seq from Multi Horizon Forecasting for Limit Order Books☆14Feb 4, 2023Updated 3 years ago
- Basic set of utilities for streaming real time trade and limit order book event data☆14May 20, 2022Updated 4 years ago
- A method to search for a subset of best performing items wrt black-box reward function☆15Jun 7, 2019Updated 7 years ago
- ☆20May 17, 2020Updated 6 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- ☆213Mar 29, 2023Updated 3 years ago
- experiments with crypto trading☆16Jul 26, 2024Updated last year
- Price Prediction with Machine Learning Models (practicum project at CME group)☆74May 9, 2016Updated 10 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆94Mar 12, 2021Updated 5 years ago
- Scala OrderBook Reconstructor for high-frequency order-flow data☆15Aug 27, 2023Updated 2 years ago
- Volume Weighted Average Price Optimal Execution☆44Mar 12, 2019Updated 7 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆155May 9, 2020Updated 6 years ago
- A collection of homeworks of market microstructure models.☆292May 4, 2018Updated 8 years ago
- ☆25Apr 23, 2020Updated 6 years ago
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆26Jan 16, 2018Updated 8 years ago
- Slides for my 2019 presentation at C++ on Sea☆13Aug 10, 2021Updated 4 years ago
- High-frequency trading in a limit order book☆60Apr 15, 2019Updated 7 years ago
- A fast limit order book implementation in Python, inspired by voyager's winning 2011 QuantCup entry. (Also see kmanley/gorderbook, the Go…☆82May 15, 2020Updated 6 years ago
- ☆30Jun 6, 2025Updated last year
- A rewritten version of C++ Design Patterns and Derivatives Pricing coded in Python☆10Sep 16, 2019Updated 6 years ago
- ☆20Mar 28, 2023Updated 3 years ago
- Zero Intelligence Agent-Based Model of Modern Limit Order Book☆54Feb 5, 2018Updated 8 years ago
- Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Ti…☆2,297Aug 27, 2022Updated 3 years ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- replication of micro-price on crytocurrency data☆10Feb 27, 2022Updated 4 years ago
- ☆145Dec 8, 2022Updated 3 years ago
- Benchmark Dataset of Limit Order Book in China Markets☆223Mar 23, 2021Updated 5 years ago
- ☆10Jun 8, 2017Updated 9 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆55May 4, 2026Updated 2 months ago
- Limit Order Book Implemented in Python☆103Jan 3, 2018Updated 8 years ago
- Probabilistic Sharpe Ratio example in Python (by Marcos López de Prado)☆129Nov 3, 2020Updated 5 years ago