orderbooktools / crobat
Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.
☆50Updated 3 years ago
Alternatives and similar repositories for crobat:
Users that are interested in crobat are comparing it to the libraries listed below
- ☆113Updated 7 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- Time Series Prediction of Volume in LOB☆57Updated last year
- ☆49Updated 4 years ago
- Volume-Synchronized Probability of Informed Trading☆111Updated 11 years ago
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆69Updated 6 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- algo trading backtesting on BitMEX☆76Updated last year
- ☆31Updated 3 years ago
- ☆43Updated 5 years ago
- ☆21Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆72Updated 7 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆28Updated 3 years ago
- A low frequency statistical arbitrage strategy☆20Updated 6 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- Code base for the meta-labeling papers published with the Journal of Financial Data Science☆80Updated 2 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆88Updated 9 months ago
- Example of order book modeling.☆56Updated 5 years ago
- Research Repo (Archive)☆73Updated 4 years ago
- Baruch MFE 2019 Spring☆39Updated 4 years ago
- Machine learning-driven financial trading strategy: momentum prediction, regime detection, and enhanced trading decisions.☆60Updated 2 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆70Updated 4 years ago
- Deep learning modelling of orderbooks☆95Updated 4 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Package based on the textbooks: Advances in Financial Machine Learning and Machine Learning for Asset Managers, by Marcos Lopez de Prado.☆25Updated 4 years ago
- High-frequency trading in a limit order book☆58Updated 6 years ago