phelps-sg / scobre
Scala OrderBook Reconstructor for high-frequency order-flow data
☆16Updated last year
Related projects ⓘ
Alternatives and complementary repositories for scobre
- Backtesting tool on tick data☆10Updated 7 years ago
- Basic set of utilities for streaming real time trade and limit order book event data☆14Updated 2 years ago
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 6 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 3 years ago
- Volume Weighted Average Price Optimal Execution☆41Updated 5 years ago
- Bitmex market microstructure analytics☆20Updated 3 years ago
- In the high-frequency era of trading, orders of stocks can be executed under a millsecond. The information about the thousands of orders …☆10Updated 8 years ago
- ☆33Updated 6 years ago
- The project simulates a generic agent based market model. The aim is to explore intimately, by simulation, the process of price formation…☆62Updated 9 years ago
- obAnalytics Shiny front-end☆74Updated 6 years ago
- source : http://coin.wne.uw.edu.pl/pwojcik/hfd_en.html☆36Updated 6 years ago
- Deep learning for price movement prediction using high frequency limit order data☆38Updated 6 years ago
- ☆46Updated 3 years ago
- This project is to simulate the effects of high frequency trading on a stock. This is the code for the order book as well as 'traders' wh…☆25Updated 11 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆48Updated 4 years ago
- FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…☆18Updated this week
- Example of order book modeling.☆57Updated 5 years ago
- ☆12Updated 9 years ago
- Code implementations of my studies on the book Advances in Financial Machine Learning☆12Updated 4 years ago
- Notebooks and stuff from quantfiction.com☆36Updated 4 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆27Updated 4 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- ☆27Updated 9 years ago
- Collection of Models related to market making☆14Updated 3 years ago
- Source Code for 'Testing and Tuning Market Trading Systems' by Timothy Masters☆61Updated 6 years ago
- Advancing in Financial Machine Learning☆16Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆28Updated 3 years ago
- Simple Market Simulator implementation for HFT stress testing☆29Updated 11 years ago
- ☆26Updated 5 years ago
- Order Book Analytics Database☆12Updated 4 years ago