mmssss / hft-market-making
Implementation of HFT backtesting simulator and Stoikov strategy
☆109Updated last year
Alternatives and similar repositories for hft-market-making:
Users that are interested in hft-market-making are comparing it to the libraries listed below
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆137Updated 4 years ago
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆97Updated 9 months ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆203Updated 2 years ago
- ☆111Updated 7 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- High-frequency statistical arbitrage☆173Updated last year
- ☆23Updated 2 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆69Updated last year
- 非平衡订单流高频交易模型☆106Updated 6 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆182Updated last year
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆54Updated last year
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆101Updated 6 years ago
- algo trading backtesting on BitMEX☆76Updated last year
- The book <Advanced Algorithmic Trading> and its source code☆58Updated 7 years ago
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆147Updated 9 months ago
- Order Imbalance Strategy in High Frequency Trading☆128Updated 6 years ago
- A collection of homeworks of market microstructure models.☆223Updated 6 years ago
- Literature survey of order execution strategies implemented in python☆41Updated 4 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆52Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- Collect BinanceFutures's trade and orderbook(depth) feeds.☆102Updated 7 months ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆153Updated 5 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…☆68Updated 6 years ago
- High frequency factors based on order and trade data.☆43Updated last year
- Personal Project that implements a variety of HFT strategies in C++☆71Updated 3 years ago
- High Frequency Trading Strategies☆41Updated 7 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆44Updated 4 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆59Updated 4 years ago