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.
☆233Updated 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)☆109Updated last year
- Implementation of HFT backtesting simulator and Stoikov strategy☆135Updated 2 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆218Updated 2 years ago
- Benchmark Dataset of Limit Order Book in China Markets☆214Updated 4 years ago
- ☆416Updated 4 years ago
- Order Imbalance Strategy in High Frequency Trading☆139Updated 7 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆150Updated 5 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆65Updated 4 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆121Updated 2 years ago
- ☆203Updated 2 years ago
- ☆111Updated 5 years ago
- The book <Advanced Algorithmic Trading> and its source code☆60Updated 7 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆165Updated 8 years ago
- A collection of homeworks of market microstructure models.☆258Updated 7 years ago
- experiments with pair trading☆318Updated 9 months ago
- 101 alpha factors calculate based on Alpha101☆140Updated 6 years ago
- Limit Order Book data analysis and modeling using LSTM network☆138Updated 6 years ago
- High-frequency statistical arbitrage☆216Updated 2 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.☆189Updated last year
- World Quant 101 alphas的计算和策略化☆293Updated 8 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆253Updated last month
- Mining technical factors based on symbolic regression via genetic algorithm☆192Updated 2 years ago
- 🚂💨 Deep Momentum Networks for Time Series Strategies☆123Updated 5 years ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆255Updated 2 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆86Updated 4 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 5 years ago
- Deep Learning Statistical Arbitrage☆240Updated 2 years ago
- High frequency factors based on order and trade data.☆60Updated last year
- This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", publis…☆494Updated 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.☆173Updated 5 years ago