rspadim / hft-avellanedaLinks
High-frequency trading in a limit order book
☆60Updated 6 years ago
Alternatives and similar repositories for hft-avellaneda
Users that are interested in hft-avellaneda are comparing it to the libraries listed below
Sorting:
- Example of order book modeling.☆58Updated 6 years ago
- ☆117Updated 7 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 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…☆71Updated 7 years ago
- ☆52Updated 4 years ago
- Repo for HFT project in CMF☆30Updated 2 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆79Updated 7 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆92Updated last year
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆105Updated 6 years ago
- ☆36Updated 4 years ago
- Deep learning modelling of orderbooks☆98Updated 4 years ago
- Research Repo (Archive)☆75Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆58Updated 4 years ago
- This repository stores the implementation of the paper "DETECTING DATA-DRIVEN ROBUST STATISTICAL ARBITRAGE STRATEGIES WITH DEEP NEURAL NE…☆68Updated last year
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆95Updated 4 years ago
- High Frequency Trading Strategies☆49Updated 8 years ago
- algo trading backtesting on BitMEX☆82Updated last year
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Updated 3 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆53Updated 4 years ago
- Order Imbalance Strategy in High Frequency Trading☆139Updated 7 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆30Updated 4 years ago
- Limit Order Book Implemented in Python☆99Updated 7 years ago
- AS model performance versus trivial delta for market-makers☆20Updated 3 years ago
- Notes on Advances in Financial Machine Learning☆80Updated 6 years ago
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆73Updated 3 years ago
- ☆141Updated 2 years ago
- Pairs trading strategy example based on Catalyst☆50Updated 6 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- High performance trading Matching Engine / Market Simulator using Level 3 Market Data for realistic simulation of High Frequency Trading …☆114Updated last year