pgaref / orderbook
OrderBook Simulator with Limit and Iceberg functionality
☆72Updated 5 years ago
Related projects ⓘ
Alternatives and complementary repositories for orderbook
- Visualization Tool for Deribit Options☆77Updated 4 years ago
- Example of order book modeling.☆57Updated 5 years ago
- Order Imbalance Strategy in High Frequency Trading☆123Updated 6 years ago
- ☆106Updated 6 years ago
- Limit Order Book Implemented in Python☆90Updated 6 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆68Updated 6 years ago
- Fast, Multi threaded and Efficient Trade Matching Engine☆24Updated 3 years ago
- Volume-Synchronized Probability of Informed Trading☆106Updated 11 years ago
- algo trading backtesting on BitMEX☆75Updated 11 months ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆133Updated 4 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…☆67Updated 6 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆47Updated 3 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆99Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆28Updated 3 years ago
- High-frequency trading in a limit order book☆54Updated 5 years ago
- ☆38Updated 5 years ago
- Personal Project that implements a variety of HFT strategies in C++☆63Updated 3 years ago
- quantitative - Quantitative finance back testing library☆63Updated 5 years ago
- A statistical arbitrage strategy on treasury futures using mean-reversion property and meanwhile insensitive to the yield change☆73Updated 6 years ago
- This is my github repository where I post trading strategies, tutorials and research on quantitative finance with R, C++ and Python. Some…☆115Updated 3 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆65Updated 8 years ago
- Different quantitative trading models research☆52Updated 2 years ago
- High performance trading Matching Engine / Market Simulator using Level 3 Market Data for realistic simulation of High Frequency Trading …☆97Updated 6 months ago
- Replication of study Avellaneda, Marco, and Sasha Stoikov: High-frequency trading in a limit order book. Quantitative Finance 8.3 (2008):…☆89Updated 7 years ago
- Volatility surface visualizer for cryptocurrency options.☆49Updated last year
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆81Updated 3 years ago
- Deep learning modelling of orderbooks☆92Updated 4 years ago
- ☆46Updated 3 years ago
- Cross Exchange/Hedged market making Trading Bot in C++☆127Updated last year