mmssss / hft-market-makingLinks
Implementation of HFT backtesting simulator and Stoikov strategy
☆131Updated 2 years ago
Alternatives and similar repositories for hft-market-making
Users that are interested in hft-market-making are comparing it to the libraries listed below
Sorting:
- Order Imbalance Strategy in High Frequency Trading☆138Updated 7 years ago
- ☆27Updated 3 years ago
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆109Updated last year
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆148Updated 5 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆85Updated 2 years ago
- Calibrates microprice model to BitMEX quote data☆59Updated 4 years ago
- algo trading backtesting on BitMEX☆80Updated last year
- 非平衡订单流高频交易模型☆111Updated 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.☆233Updated 3 years ago
- High-frequency statistical arbitrage☆212Updated 2 years ago
- High Frequency Trading Strategies☆49Updated 8 years ago
- ☆117Updated 7 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆169Updated 5 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆215Updated 2 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…☆71Updated 7 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆92Updated last year
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- Personal Project that implements a variety of HFT strategies in C++☆73Updated 4 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆106Updated 6 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- High Frequency Trading☆109Updated 7 years ago
- HFT & Stochastic control numerical implementations from "Optimal high frequency trading with limit and market orders" (GUILBAUD & PHAM)☆33Updated last year
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆61Updated 2 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆164Updated 8 years ago
- Examples of nautilus script☆38Updated 7 months ago
- Backtest result archive for Momentum Trading Strategies☆63Updated 6 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆142Updated 5 years ago
- Collect BinanceFutures's trade and orderbook(depth) feeds.☆104Updated last year