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…
☆73Jun 3, 2018Updated 7 years ago
Alternatives and similar repositories for MicroPriceIndicator
Users that are interested in MicroPriceIndicator are comparing it to the libraries listed below
Sorting:
- replication of micro-price on crytocurrency data☆10Feb 27, 2022Updated 4 years ago
- Order Imbalance Strategy in High Frequency Trading☆142Jun 4, 2018Updated 7 years ago
- Calibrates microprice model to BitMEX quote data☆64Jul 1, 2021Updated 4 years ago
- Study of price volume data to analyze an order imbalance strategy for Bitcoin on BitMEX platform☆12Dec 31, 2018Updated 7 years ago
- Example of order book modeling.☆57Jun 18, 2019Updated 6 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆38Jan 3, 2021Updated 5 years ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆19Dec 8, 2022Updated 3 years ago
- Apply different deep learning models to limit order book.☆12Mar 6, 2018Updated 8 years ago
- ☆56Apr 10, 2021Updated 4 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆151Dec 28, 2019Updated 6 years ago
- ☆442Jan 10, 2021Updated 5 years ago
- Hawkes with Latency☆20Jan 16, 2021Updated 5 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆34Nov 3, 2021Updated 4 years ago
- Avellaneda-Stoikov HFT market making algorithm implementation☆652Jul 6, 2023Updated 2 years ago
- Derive order flow from Tick and Trade data.☆33Aug 13, 2021Updated 4 years ago
- Collection of Models related to market making☆17Jan 25, 2021Updated 5 years ago
- ☆11Dec 18, 2015Updated 10 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆179Sep 28, 2019Updated 6 years ago
- ☆11Nov 6, 2018Updated 7 years ago
- 高频交易系统结构☆17May 21, 2020Updated 5 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12May 30, 2021Updated 4 years ago
- ☆38Aug 2, 2021Updated 4 years ago
- Market Making in Python☆19Apr 22, 2024Updated last year
- High Frequency Market Making☆616Sep 24, 2023Updated 2 years ago
- MarketGPT: Developing a Pre-trained transformer (GPT) for Modeling Financial Time Series☆17Sep 5, 2025Updated 6 months ago
- Python package for simulating Intra-day orderflow in a limit order book. Uses PyLOB (https://github.com/ab24v07/PyLOB)☆17May 21, 2013Updated 12 years ago
- Gamma Scalping Trading Strategies☆26May 7, 2016Updated 9 years ago
- Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Ti…☆2,240Aug 27, 2022Updated 3 years ago
- Mid price estimation in LOB using Markov model☆13May 11, 2022Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆21Jan 13, 2022Updated 4 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆152May 9, 2020Updated 5 years ago
- ☆21Apr 1, 2023Updated 2 years ago
- Scala OrderBook Reconstructor for high-frequency order-flow data☆15Aug 27, 2023Updated 2 years ago
- ☆128Dec 12, 2017Updated 8 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆81Jan 27, 2018Updated 8 years ago
- High frequency algotrading bot for bitmex/gdax/etc written to test micro-scale order flow inequality algorithms developed by using machin…☆15Jun 21, 2018Updated 7 years ago
- Channel break out strategy for High Frequency Trading.☆15Jun 26, 2018Updated 7 years ago
- Replication of A Stochastic Model for Order Book Dynamics by Cont, Stoikov, and Talreja, 2010☆22Dec 28, 2018Updated 7 years ago
- Models and programs developed as part of XTX Forecastin Challenge 2019☆28Jul 6, 2023Updated 2 years ago