Intraday trading strategy for futures calendar spreads. Uses crude oil futures and 1-minute bid/ask bars from Interactive Brokers with a Bollinger Band mean reversion strategy. Runs in Moonshot. Demonstrates using exchange native spreads for live/paper trading, and non-native spreads for backtesting.
☆15Apr 23, 2024Updated last year
Alternatives and similar repositories for calspread
Users that are interested in calspread are comparing it to the libraries listed below
Sorting:
- High Frequency Trading Strategy☆12Dec 20, 2018Updated 7 years ago
- Code implementations of my studies on the book Advances in Financial Machine Learning☆12May 18, 2020Updated 5 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12May 30, 2021Updated 4 years ago
- Limit Order Book for high-frequency trading (HFT) strategies using data science approaches☆24Dec 12, 2021Updated 4 years ago
- select stock automatically, trade manually☆12Jul 26, 2020Updated 5 years ago
- Backtesting tool on tick data☆11Jan 30, 2017Updated 9 years ago
- This project is to download and analyze cryptocurrency option data available on Deribit via a public API. Data are collected on an Ubuntu…☆10Sep 17, 2021Updated 4 years ago
- Alpha mining with DEAP-based genetic programming.☆11Jul 7, 2023Updated 2 years ago
- Deep Q-Learning Auto Market Maker☆12Jun 12, 2021Updated 4 years ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10May 11, 2020Updated 5 years ago
- curated list of option trading resources☆21Jun 11, 2024Updated last year
- 量化FOF框架☆13Mar 8, 2019Updated 7 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆27Aug 29, 2020Updated 5 years ago
- 基于机器学习的多因子研究框架☆14Jun 22, 2020Updated 5 years ago
- Intraday momentum strategy that buys (sells) leveraged ETFs late in the trading session following a significant intraday gain (loss) and …☆26Apr 23, 2024Updated last year
- Backtest and run stock trading CFD strategies tick by tick☆13Mar 29, 2021Updated 4 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Mar 10, 2021Updated 5 years ago
- event-driven trading and backtesting engine☆20Nov 25, 2024Updated last year
- verify OrderBook Tick Data Trading Strategy on futures.☆17Mar 21, 2019Updated 7 years ago
- My first high-frequency trading strategy using machine learning☆18Sep 16, 2022Updated 3 years ago
- ☆15Jun 10, 2020Updated 5 years ago
- The project aims to profile stocks with similar weekly percentage returns using K-Means Clustering. The project calculates realized volat…☆12Oct 30, 2023Updated 2 years ago
- 两家交易所做比特币的高频对冲☆19Dec 5, 2019Updated 6 years ago
- A Shiny app to work with future contracts data☆23Apr 14, 2017Updated 8 years ago
- my first factor-stock-selecting backtest function☆22Aug 15, 2020Updated 5 years ago
- Stock Price Prediction with PCA and LSTM☆14Mar 3, 2021Updated 5 years ago
- Python Scripts for Backtesting SPX Put Strategies Using Black-Scholes Proxies☆13Feb 15, 2018Updated 8 years ago
- Cointegration Bitcoin Backtester☆18Feb 19, 2019Updated 7 years ago
- 【Framework】A Multi Factor Strategy based on XGboost, its my homework project in Tsinghua, the Introduction to Quantitative Finance, 2019 …☆17Dec 17, 2022Updated 3 years ago
- Trend Prediction for High Frequency Trading☆42Dec 8, 2022Updated 3 years ago
- 改写了gplearn源码,原有的gplearn会把数据转为numpy,丢失了datetime和stockcode的原始信息。很难做截面的因子ic、ir分析,所以改动了相应的源码,使之可以做因子的截面ic分析。另外增加了时序函数和并行化框架ray的支持。☆23Mar 20, 2024Updated 2 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆28Apr 5, 2021Updated 4 years ago
- High frequency prediction of Chinese stock returns. Orderbook data generation. High frequency factors construction.☆18Mar 10, 2023Updated 3 years ago
- R package for commodities and finance analytics. Sister python package details below.