shaileshkakkar / MicroPriceIndicatorLinks
This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in the paper for US equities BAC and CVX, I am using the data for the Crypto pair ETHBTC. The data was pulled by me from Binance by subscribing to three different streams - Market Trades, Partial Depth and Orderb…
☆70Updated 7 years ago
Alternatives and similar repositories for MicroPriceIndicator
Users that are interested in MicroPriceIndicator are comparing it to the libraries listed below
Sorting:
- ☆115Updated 7 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- ☆35Updated 4 years ago
- ☆51Updated 4 years ago
- Calibrates microprice model to BitMEX quote data☆59Updated 4 years ago
- algo trading backtesting on BitMEX☆79Updated last year
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆92Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆92Updated last year
- Example of order book modeling.☆58Updated 6 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Updated 3 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- High-frequency trading in a limit order book☆60Updated 6 years ago
- Repository for market making ideas☆42Updated last year
- Order Imbalance Strategy in High Frequency Trading☆135Updated 7 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆83Updated 2 years ago
- Repo for HFT project in CMF☆29Updated 2 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆52Updated 3 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆129Updated 2 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆105Updated 6 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆77Updated 7 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆31Updated 3 years ago
- Build your own historical Limit Order Book dataset☆41Updated 4 years ago
- High Frequency Trading Strategies☆49Updated 7 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆142Updated 5 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆167Updated 5 years ago
- Deep learning modelling of orderbooks☆97Updated 4 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆147Updated 5 years ago
- AS model performance versus trivial delta for market-makers☆20Updated 3 years ago
- a cpp framework for crypto currentcy tick data backtesting☆17Updated 4 years ago