nicolezattarin / LOB-feature-analysisLinks
Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.
☆236Updated 3 years ago
Alternatives and similar repositories for LOB-feature-analysis
Users that are interested in LOB-feature-analysis are comparing it to the libraries listed below
Sorting:
- High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)☆110Updated last year
- Implementation of HFT backtesting simulator and Stoikov strategy☆136Updated 2 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆221Updated 2 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆151Updated 5 years ago
- Benchmark Dataset of Limit Order Book in China Markets☆213Updated 4 years ago
- Order Imbalance Strategy in High Frequency Trading☆139Updated 7 years ago
- ☆417Updated 4 years ago
- experiments with pair trading☆319Updated 9 months ago
- ☆112Updated 5 years ago
- High-frequency statistical arbitrage☆219Updated 2 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆125Updated 2 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆256Updated 2 months ago
- 101 alpha factors calculate based on Alpha101☆144Updated 6 years ago
- ☆204Updated 2 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆66Updated 4 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆174Updated 6 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆164Updated 8 years ago
- A collection of homeworks of market microstructure models.☆258Updated 7 years ago
- The book <Advanced Algorithmic Trading> and its source code☆61Updated 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.☆191Updated last year
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆373Updated 7 years ago
- World Quant 101 alphas的计算和策略化☆296Updated 8 years ago
- Limit Order Book data analysis and modeling using LSTM network☆137Updated 6 years ago
- 非平衡订单流高频交易模型☆112Updated 6 years ago
- High frequency trading (HFT) framework built for futures using machine learning and deep learning techniques☆501Updated 3 years ago
- CS7641 Team project☆96Updated 5 years ago
- ☆119Updated 7 years ago
- Deep Learning Statistical Arbitrage☆240Updated 3 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆257Updated 2 years ago
- Mining technical factors based on symbolic regression via genetic algorithm☆194Updated 2 years ago