petr-fedorov / oberon
Order Book Events ReconstructiON from empirical data
☆9Updated 2 years ago
Alternatives and similar repositories for oberon:
Users that are interested in oberon are comparing it to the libraries listed below
- Order Book Analytics Database☆12Updated 5 years ago
- obAnalytics Shiny front-end☆75Updated 6 years ago
- Scala OrderBook Reconstructor for high-frequency order-flow data☆16Updated last year
- R package intended for visualisation, analysis and reconstruction of limit order book data☆153Updated 6 years ago
- Bitmex market microstructure analytics☆21Updated 4 years ago
- Basic set of utilities for streaming real time trade and limit order book event data☆14Updated 2 years ago
- A fast, interactive, graphical-user-interface oriented software suite for predictive modeling, multivariate time series analysis, real-t…☆17Updated 8 years ago
- poetiq - Platform O' Electronic Trading In Q☆36Updated 6 years ago
- Marketmaker trading strategy☆28Updated 8 years ago
- An event-based backtester written in Python for algorithmic trading.☆43Updated 7 years ago
- Backtesting tool on tick data☆11Updated 8 years ago
- An agent-based trading framework☆12Updated 8 years ago
- source : http://coin.wne.uw.edu.pl/pwojcik/hfd_en.html☆36Updated 6 years ago
- EDSL for automated, low-latency trading☆32Updated 7 years ago
- Q wrapper for the Interactive Brokers API☆15Updated 6 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆29Updated 2 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 3 years ago
- Fast, Multi threaded and Efficient Trade Matching Engine☆25Updated 3 years ago
- Quantitative Trading Library☆28Updated 8 years ago
- The project simulates a generic agent based market model. The aim is to explore intimately, by simulation, the process of price formation…☆64Updated 10 years ago
- Simple Market Simulator implementation for HFT stress testing☆29Updated 11 years ago
- An algorithmic trading framework for pydata.☆15Updated 2 years ago
- Volume Weighted Average Price Optimal Execution☆41Updated 6 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
- ☆49Updated 3 years ago
- Example of order book modeling.☆56Updated 5 years ago
- Code for various data snooping tests on financial time series.☆18Updated 9 years ago
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆107Updated 9 years ago
- stores market data from cryptofeed to kdb+☆23Updated 4 years ago
- async (boost.asio) library for backtesting☆30Updated 9 years ago