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
- Scala OrderBook Reconstructor for high-frequency order-flow data☆16Updated last year
- obAnalytics Shiny front-end☆75Updated 6 years ago
- Order Book Analytics Database☆12Updated 5 years ago
- Bitmex market microstructure analytics☆21Updated 4 years ago
- poetiq - Platform O' Electronic Trading In Q☆36Updated 6 years ago
- R package intended for visualisation, analysis and reconstruction of limit order book data☆156Updated 6 years ago
- A fast, interactive, graphical-user-interface oriented software suite for predictive modeling, multivariate time series analysis, real-t…☆18Updated 8 years ago
- Example of order book modeling.☆56Updated 5 years ago
- An event-based backtester written in Python for algorithmic trading.☆44Updated 7 years ago
- source : http://coin.wne.uw.edu.pl/pwojcik/hfd_en.html☆36Updated 6 years ago
- Ledoit-Wolf covariance matrix estimator of stock returns☆43Updated 5 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 module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆29Updated 3 years ago
- Code implementations of my studies on the book Advances in Financial Machine Learning☆12Updated 4 years ago
- ☆49Updated 4 years ago
- Automated trading platform based on Machine Learning algorithm using q/kdb+.☆23Updated 9 years ago
- The project simulates a generic agent based market model. The aim is to explore intimately, by simulation, the process of price formation…☆65Updated 10 years ago
- Fast, Multi threaded and Efficient Trade Matching Engine☆25Updated 3 years ago
- Hierarchical Risk Parity☆28Updated 5 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 3 years ago
- Volume-Synchronized Probability of Informed Trading☆111Updated 11 years ago
- Example data capture system, based on random financial data☆70Updated this week
- ☆48Updated 7 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
- Limit order book model with Poissonian order flow.☆10Updated 7 years ago
- stores market data from cryptofeed to kdb+☆23Updated 4 years ago
- Volume Weighted Average Price Optimal Execution☆41Updated 6 years ago
- ☆113Updated 7 years ago
- Limit Order Book Implemented in Python☆93Updated 7 years ago
- Marketmaker trading strategy☆28Updated 8 years ago