nKastelan / Ed
Event-driven backtesting engine written in C++
☆10Updated last month
Related projects ⓘ
Alternatives and complementary repositories for Ed
- Fast, Multi threaded and Efficient Trade Matching Engine☆24Updated 3 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆34Updated 3 years ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 6 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆27Updated 3 years ago
- Volume Weighted Average Price Optimal Execution☆41Updated 5 years ago
- Algorithmic trading strategies research and execution platform☆19Updated 5 months ago
- High Frequency Trading Strategies☆41Updated 7 years ago
- Cross Exchange/Hedged market making Trading Bot in C++☆123Updated last year
- C++ low-latency in-memory order book☆79Updated 10 years ago
- Application of VPIN in cyrptocurrency market.☆20Updated 5 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆33Updated 3 years ago
- ☆46Updated 3 years ago
- Personal Project that implements a variety of HFT strategies in C++☆63Updated 3 years ago
- C++ Trading Algorithm Backtest Environment☆85Updated 6 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆81Updated 3 years ago
- ☆26Updated 3 years ago
- ☆103Updated 6 years ago
- a cpp framework for crypto currentcy tick data backtesting☆16Updated 3 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆47Updated last year
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆18Updated 3 years ago
- Example of order book modeling.☆57Updated 5 years ago
- Collection of tidbits for HFT server config.☆44Updated 3 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆17Updated 2 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆28Updated 3 years ago
- High-frequency trading in a limit order book☆54Updated 5 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆25Updated 3 years ago
- Repository for market making ideas☆37Updated 6 months ago