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.
☆249Updated 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)☆113Updated last year
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆233Updated 2 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆141Updated 2 years ago
- ☆432Updated 4 years ago
- Benchmark Dataset of Limit Order Book in China Markets☆214Updated 4 years ago
- ☆116Updated 6 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆66Updated 5 years ago
- experiments with pair trading☆329Updated last year
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆152Updated 5 years ago
- 101 alpha factors calculate based on Alpha101☆160Updated 6 years ago
- Order Imbalance Strategy in High Frequency Trading☆139Updated 7 years ago
- Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio…☆137Updated 3 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆281Updated this week
- ☆208Updated 2 years ago
- High-frequency statistical arbitrage☆239Updated 2 years ago
- A collection of homeworks of market microstructure models.☆272Updated 7 years ago
- World Quant 101 alphas的计算和策略化☆312Updated 8 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.☆210Updated last year
- High frequency factors based on order and trade data.☆69Updated 2 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆167Updated 8 years ago
- Mining technical factors based on symbolic regression via genetic algorithm☆208Updated 2 years ago
- High frequency trading (HFT) framework built for futures using machine learning and deep learning techniques☆543Updated 3 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。☆140Updated 2 years ago
- Deep Learning Statistical Arbitrage☆252Updated 3 years ago
- High Frequency Market Making☆605Updated 2 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆92Updated 2 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☆113Updated 7 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆176Updated 6 years ago