ragoragino / limit-order-bookLinks
Limit order book model with Poissonian order flow.
☆10Updated 7 years ago
Alternatives and similar repositories for limit-order-book
Users that are interested in limit-order-book are comparing it to the libraries listed below
Sorting:
- Vpin caculation and backtesting☆14Updated 6 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 9 years ago
- A study of the Glosten and Milgrom model for market making☆14Updated 10 years ago
- Using Q-learning to better navigate orderbooks.☆23Updated 7 years ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆15Updated 5 years ago
- source : http://coin.wne.uw.edu.pl/pwojcik/hfd_en.html☆39Updated 7 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Updated 9 years ago
- Basic event driven platform for backtesting financial strategies in C++☆14Updated 10 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 7 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Create structured financial data in the form of tick, volume, and dollar bars from unstructured tick data. From Marcos Lopez de Prado's A…☆11Updated 4 years ago
- Scala OrderBook Reconstructor for high-frequency order-flow data☆17Updated 2 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…☆26Updated 12 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 7 years ago
- High Frequency Trading☆111Updated 7 years ago
- OpenAI Gym Environment for Low-Latency Trading☆18Updated 7 years ago
- Event-driven Algorithmic Trading For Python☆25Updated 6 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Updated 3 years ago
- CAIS++ Spring 2019 Project: Building an Agent to Trade with Reinforcement Learning☆40Updated 5 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆23Updated 6 years ago
- Backtesting tool on tick data☆11Updated 8 years ago
- ☆19Updated 5 years ago
- I use the random forest algorithm to forecast mid price dynamic over short time horizon i.e. a few seconds ahead☆30Updated 5 years ago
- This project deals with the use of machine learning to predict changes in stock values as well as we incorporating study on effect of dif…☆13Updated 8 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆27Updated 5 years ago
- Channel break out strategy for High Frequency Trading.☆15Updated 7 years ago
- archiving old code☆27Updated 8 years ago
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆105Updated 10 years ago
- Robust Market Making via Adversarial Reinforcement Learning☆53Updated 5 years ago