pgaref / orderbook
OrderBook Simulator with Limit and Iceberg functionality
☆75Updated 6 years ago
Alternatives and similar repositories for orderbook:
Users that are interested in orderbook are comparing it to the libraries listed below
- Example of order book modeling.☆56Updated 5 years ago
- ☆112Updated 7 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
- Limit Order Book Implemented in Python☆93Updated 7 years ago
- High-frequency trading in a limit order book☆58Updated 6 years ago
- Volume-Synchronized Probability of Informed Trading☆111Updated 11 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆50Updated 3 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆139Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- algo trading backtesting on BitMEX☆76Updated last year
- Visualization Tool for Deribit Options☆80Updated 5 years ago
- Order Imbalance Strategy in High Frequency Trading☆129Updated 6 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆102Updated 6 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆71Updated 7 years ago
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆72Updated 2 years ago
- A fast limit order book implementation in Python, inspired by voyager's winning 2011 QuantCup entry. (Also see kmanley/gorderbook, the Go…☆75Updated 4 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆76Updated 6 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆67Updated 8 years ago
- High performance trading Matching Engine / Market Simulator using Level 3 Market Data for realistic simulation of High Frequency Trading …☆104Updated 11 months ago
- ☆43Updated 5 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆63Updated 5 years ago
- Fast, Multi threaded and Efficient Trade Matching Engine☆25Updated 3 years ago
- Pairs trading strategy example based on Catalyst☆47Updated 6 years ago
- ☆138Updated 2 years ago
- Visualize an order book using Perspective and the Gemini sandbox API.☆41Updated 3 years ago
- In this repository, an event-driven backtester is implemented based on QuantStart articles. The backtester is programmed in Python featur…☆61Updated 3 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆89Updated 4 years ago
- Personal Project that implements a variety of HFT strategies in C++☆72Updated 3 years ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆88Updated 7 years ago