sanjeevai / order-imbalance
Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform
☆11Updated 6 years ago
Alternatives and similar repositories for order-imbalance:
Users that are interested in order-imbalance are comparing it to the libraries listed below
- A low frequency statistical arbitrage strategy☆19Updated 6 years ago
- Building a High Frequency Trading Engine with Neural Networks☆12Updated 6 years ago
- Market making strategies and scientific papers☆13Updated last year
- Collection of Models related to market making☆16Updated 4 years ago
- Apply LASSO in High-Frequency-Trading☆9Updated 5 years ago
- Use machine learning to trade bitcoin.☆10Updated 3 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
- High Frequency Trading (HFT) done using the Alpaca Trade API and Python.☆25Updated 5 years ago
- Alpaca-based Order Book Inbalace Algorithm.☆12Updated 4 years ago
- Backtested trading strategy based on modelling stock returns based on Auto Regressive Integrated Moving Average modelUpdated 4 years ago
- Intraday trading strategy for futures calendar spreads. Uses crude oil futures and 1-minute bid/ask bars from Interactive Brokers with a …☆12Updated 11 months ago
- Channel break out strategy for High Frequency Trading.☆13Updated 6 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Backtesting a simple Buy Low Sell High Strategy☆9Updated 3 years ago
- ☆30Updated 3 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12Updated 3 years ago
- Modelling for price change forecast using High-frequency Trading limit order book dynamics using ML algorithms☆25Updated 7 years ago
- This project is to monitor the arbitrage opportunity of stocks, options and futures every second based on Put-Call parity in Chinese stoc…☆17Updated 6 years ago
- for 18HS MFOEC198 Introduction to systematic risk premia strategies traded at hedge funds (L+E)☆13Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Contains all the Jupyter Notebooks used in our research☆15Updated 5 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- High Frequency Trading bot for 2019 Traders at MIT, HFT Case. I placed 4th in the HFT competition (2nd overall) out of 120.☆18Updated 5 years ago
- ☆21Updated 5 years ago
- Randomly partitions time series segments into train, development, and test sets; Trains multiple models optimizing parameters for develo…☆11Updated 4 years ago
- Basic Limit Order Book functions☆21Updated 6 years ago
- Mock pairs trading strategy and backtesting with Kalman iltering and pair selection using clustering and cointegration.☆11Updated 2 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆12Updated 2 years ago
- experiments with crypto trading☆15Updated 7 months ago
- ☆22Updated 5 years ago