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:
- Using Q-learning to better navigate orderbooks.☆22Updated 7 years ago
- source : http://coin.wne.uw.edu.pl/pwojcik/hfd_en.html☆37Updated 7 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
- Basic event driven platform for backtesting financial strategies in C++☆14Updated 9 years ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆14Updated 5 years ago
- Reinforcement learning environment for trading☆15Updated 7 years ago
- A study of the Glosten and Milgrom model for market making☆16Updated 9 years ago
- Vpin caculation and backtesting☆14Updated 5 years ago
- Volume Weighted Average Price Optimal Execution☆42Updated 6 years ago
- Machine learning approach to high frequency trading, MLP & RNN used☆22Updated 9 years ago
- ☆19Updated 4 years ago
- Computer Engineering Senior Project. Machine Learning High Frequency Stock Trading Algorithm on an FPGA☆15Updated 5 years ago
- Implementation for "Statistical arbitrage in the US equities market" by Marco Avellaneda and Jeong-hyun Lee☆21Updated 6 years ago
- CVXPY Portfolio Optimization Sample☆45Updated 8 years ago
- Deep learning for price movement prediction using high frequency limit order data☆40Updated 6 years ago
- Scala OrderBook Reconstructor for high-frequency order-flow data☆16Updated last year
- archiving old code☆26Updated 7 years ago
- Advancing in Financial Machine Learning☆16Updated 5 years ago
- Order Imbalance Trading Simulation R Code☆16Updated 5 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 4 years ago
- Paper: https://arxiv.org/pdf/2008.12275.pdf☆26Updated 4 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆25Updated 7 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆18Updated 2 years ago
- Senior Project FPGA Machine Learning Algorithm☆8Updated 5 years ago
- CAIS++ Spring 2019 Project: Building an Agent to Trade with Reinforcement Learning☆40Updated 5 years ago
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆106Updated 9 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 12 years ago
- Channel break out strategy for High Frequency Trading.☆14Updated 7 years ago
- An example and description to Reinforcement Learning DQN model and dataformats for trading☆16Updated 6 years ago
- Golub, Glattfelder and Olsen, ''The Alpha Engine: Designing an Automated Trading Algorithm''☆115Updated 7 years ago