petercerno / trader-backtest
High-performance backtesting engine written in C++ for evaluating trading strategies restricted to a single trading pair (e.g. BTC/USD) and finding their optimal hyper-parameters. This software gives you a full control over every single bit that goes into backtesting. Licensed under MIT.
☆44Updated 2 years ago
Alternatives and similar repositories for trader-backtest:
Users that are interested in trader-backtest are comparing it to the libraries listed below
- 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
- Volume-Synchronized Probability of Informed Trading☆111Updated 11 years ago
- algo trading backtesting on BitMEX☆77Updated last year
- DistributedATS is a FIX Protocol based multi matching engine exchange(CLOB) that integrates QuickFIX and LiquiBook over DDS☆81Updated this week
- stores market data from cryptofeed to kdb+☆23Updated 4 years ago
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆21Updated 4 years ago
- Platform for backtesting and live-trading intraday Stock/ETF/ELW using recurrent neural networks☆42Updated 8 years ago
- Example of order book modeling.☆56Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 3 years ago
- source : http://coin.wne.uw.edu.pl/pwojcik/hfd_en.html☆36Updated 6 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆92Updated 4 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- A high-frequency trading model using Interactive Brokers API with pairs and mean-reversion in Python☆90Updated 2 years ago
- ☆113Updated 7 years ago
- Fast, Multi threaded and Efficient Trade Matching Engine☆25Updated 3 years ago
- Repository for market making ideas☆40Updated last year
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆33Updated 3 years ago
- Personal Project that implements a variety of HFT strategies in C++☆73Updated 4 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆21Updated 6 years ago
- C++ Trading Algorithm Backtest Environment☆88Updated 6 years ago
- Cross Exchange/Hedged market making Trading Bot in C++☆145Updated 2 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- Event-driven backtest/realtime quantitative trading system.☆74Updated 3 years ago
- Quantitative Trading Library☆28Updated 9 years ago
- Visualize an order book using Perspective and the Gemini sandbox API.☆43Updated 3 years ago
- ☆49Updated 8 years ago
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆106Updated 9 years ago
- Build your own historical Limit Order Book dataset☆39Updated 3 years ago
- Visualization Tool for Deribit Options☆80Updated 5 years ago
- Limit Order Book Implemented in Python☆93Updated 7 years ago