olmallet81 / URT
Fast Unit Root Tests and OLS regression in C++ with wrappers for R and Python
☆91Updated 3 years ago
Alternatives and similar repositories for URT:
Users that are interested in URT are comparing it to the libraries listed below
- A collection of High-Frequency trading components☆280Updated 9 years ago
- Nasdaq Order Book Reconstructor☆234Updated 3 years ago
- ☆52Updated 6 months ago
- C++ Trading Algorithm Backtest Environment☆86Updated 6 years ago
- Implementation of a orderbook data structure for LOB research capabilities.☆137Updated 10 months ago
- C++ implementation of options pricing models☆75Updated 7 years ago
- ☆39Updated 9 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 3 years ago
- Improved TWS API POSIX C++ library for the Interactive Brokers (IB) TWS (same project as TwsApiC++ in Yahoo TWSAPI).☆107Updated 2 years ago
- Helix, a market data feed handler for C and C++.☆114Updated 7 years ago
- R package intended for visualisation, analysis and reconstruction of limit order book data☆151Updated 5 years ago
- QuantLib ported to C++17 and with all Boost dependency removed☆75Updated 7 years ago
- obAnalytics Shiny front-end☆74Updated 6 years ago
- TA-Lib RT is a fork of TA-Lib that provides additional API for incremental calculation of indicators without reprocessing whole data.☆88Updated last year
- Fast C++ adaptation of the QuantCup (http://www.quantcup.org/) limit order book.☆166Updated 10 years ago
- ☆193Updated 4 years ago
- C++ trading client with Qt gui☆40Updated 9 years ago
- Fully functioning fast Limit Order Book written in Python☆184Updated 2 years ago
- C++ low-latency in-memory order book☆84Updated 11 years ago
- Volume Weighted Average Price Optimal Execution☆41Updated 5 years ago
- Open source TCA (transaction cost analysis) Python library for FX spot☆235Updated 11 months ago
- Source Code for 'Testing and Tuning Market Trading Systems' by Timothy Masters☆62Updated 6 years ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆174Updated 3 years ago
- The highfrequency package contains an extensive toolkit for the use of highfrequency financial data in R. It contains functionality to ma…☆151Updated last year
- Pairs Trading Strategy Implementation in C++☆19Updated 7 years ago
- Fast American option pricing using spectral collocation method based on integral form. An independent Crank Nicolson method is included f…☆46Updated 4 years ago
- Probability of Backtest Overfitting in Python☆120Updated last year
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆89Updated 7 years ago
- A Python implementation of the rough Bergomi model.☆114Updated 6 years ago
- Python based Simple Binary Encoding (SBE) decoder☆76Updated 3 years ago