nicolezattarin / LOB-feature-analysis
Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.
☆217Updated 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)☆103Updated 11 months ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆117Updated 2 years ago
- Benchmark Dataset of Limit Order Book in China Markets☆205Updated 4 years ago
- ☆199Updated 2 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆193Updated last year
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆141Updated 5 years ago
- 非平衡订单流高频交易模型☆108Updated 6 years ago
- Order Imbalance Strategy in High Frequency Trading☆130Updated 6 years ago
- ☆108Updated 5 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆156Updated 7 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆228Updated last month
- High-frequency statistical arbitrage☆189Updated last year
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆62Updated 4 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆110Updated 2 years ago
- The book <Advanced Algorithmic Trading> and its source code☆59Updated 7 years ago
- Mining technical factors based on symbolic regression via genetic algorithm☆177Updated 2 years ago
- High frequency factors based on order and trade data.☆50Updated last year
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- experiments with pair trading☆293Updated 5 months ago
- 基于万矿平台， 对alpha101因子进行测试并构造多因子策略☆92Updated 5 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.☆158Updated 11 months ago
- Limit Order Book data analysis and modeling using LSTM network☆136Updated 6 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆75Updated last year
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆158Updated 5 years ago
- 本文通过gplearn模型，结合遗传算法中的遗传规划方法生成因子。这里因子生成基于simple-backtest中的简单回测系统，主要针对股指期货操作。☆124Updated last year
- 101 alpha factors calculate based on Alpha101☆120Updated 5 years ago
- A collection of homeworks of market microstructure models.☆237Updated 7 years ago
- ☆392Updated 4 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- This repository is for the demonstration of our work, "Market Making with Deep Reinforcement Learning from Limit Order Books"☆61Updated 2 years ago