Implementation of HFT backtesting simulator and Stoikov strategy
☆155May 6, 2023Updated 3 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. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Repo for HFT project in CMF☆29Jan 4, 2023Updated 3 years ago
- Avellaneda-Stoikov HFT market making algorithm implementation☆737Jul 6, 2023Updated 3 years ago
- High Frequency Market Making☆652Sep 24, 2023Updated 3 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆37Nov 3, 2021Updated 5 years ago
- High Frequency Trading Strategies☆49Aug 14, 2017Updated 9 years ago
- End-to-end encrypted email - Proton Mail • AdSpecial offer: 40% Off Yearly / 80% Off First Month. All Proton services are open source and independently audited for security.
- Market making strategies and scientific papers☆15Aug 20, 2023Updated 3 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆310Oct 28, 2026Updated last week
- replication of micro-price on crytocurrency data☆10Feb 27, 2022Updated 4 years ago
- ☆31Aug 7, 2022Updated 4 years ago
- algo trading backtesting on BitMEX☆84Dec 4, 2023Updated 2 years ago
- AS model performance versus trivial delta for market-makers☆21Jan 13, 2022Updated 4 years ago
- Phd repo☆18Jul 14, 2022Updated 4 years ago
- Optimal high-frequency market making strategy☆32Nov 24, 2024Updated last year
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆261Jun 29, 2023Updated 3 years ago
- End-to-end encrypted cloud storage - Proton Drive • AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- Calibrates microprice model to BitMEX quote data☆65Jul 1, 2021Updated 5 years ago
- High Frequency Market Making: Optimal Quoting☆19Mar 20, 2023Updated 3 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆42Jan 3, 2021Updated 5 years ago
- High-frequency statistical arbitrage☆289Jul 30, 2023Updated 3 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆281Apr 12, 2022Updated 4 years ago
- ☆69Apr 10, 2021Updated 5 years ago
- High Frequency Trading Strategy☆12Dec 20, 2018Updated 7 years ago
- Implementation in Python of the market making algorithm described in "Optimal high frequency trading with limit and market orders" by Gui…☆18Nov 10, 2023Updated 2 years ago
- High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)☆126May 20, 2024Updated 2 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.
- ☆40Aug 2, 2021Updated 5 years ago
- Personal Project that implements a variety of HFT strategies in C++☆79Apr 29, 2021Updated 5 years ago
- A market making algorithm based on the Avellaneda Stoikov paper on Deribit derivatives exchange. A gradient boosted model is used for vol…☆22Feb 2, 2025Updated last year
- algorithmic trading backtest and optimization examples using order book imbalances. (bitcoin, cryptocurrency, bitmex, binance futures, ma…☆324Dec 4, 2023Updated 2 years ago
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆112Oct 16, 2015Updated 11 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- from for/if/else to my first option back-test function☆21Jul 8, 2020Updated 6 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆89Jan 27, 2018Updated 8 years ago
- Mid price estimation in LOB using Markov model☆13May 11, 2022Updated 4 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- ☆15Apr 6, 2022Updated 4 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆31Sep 12, 2021Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Apr 9, 2020Updated 6 years ago
- A collection of homeworks of market microstructure models.☆305Sep 26, 2026Updated last month
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- ☆486Jan 10, 2021Updated 5 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆17Dec 26, 2022Updated 3 years ago