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…
☆73Updated 7 years ago
Alternatives and similar repositories for MicroPriceIndicator
Users that are interested in MicroPriceIndicator are comparing it to the libraries listed below
Sorting:
- ☆123Updated 8 years ago
- Calibrates microprice model to BitMEX quote data☆63Updated 4 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 12 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- algo trading backtesting on BitMEX☆80Updated 2 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆38Updated 5 years ago
- ☆39Updated 4 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆79Updated 8 years ago
- ☆55Updated 4 years ago
- Order Imbalance Strategy in High Frequency Trading☆141Updated 7 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆98Updated last year
- Repository for market making ideas☆43Updated last year
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆103Updated 6 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Updated 4 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 5 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆151Updated 5 years ago
- High Frequency Trading Strategies☆49Updated 8 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆54Updated 4 years ago
- ☆143Updated 3 years ago
- Build your own historical Limit Order Book dataset☆49Updated 4 years ago
- Repo for HFT project in CMF☆29Updated 3 years ago
- A rebalancing tool to delta-hedge an options portfolio on Deribit Exchange.☆75Updated 3 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆177Updated 6 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆58Updated 5 years ago
- #易经 #道家 #十二生肖 #姓氏堂号子嗣贞节牌坊 #天文历法 #张灯结彩 #农历 #夜观星象 #廿四节气 #算卜 #紫微斗数 #十二时辰 #生辰八字 #命运 #风水 《始祖赢政之子赢家黄氏江夏堂联富•秦谏——大秦赋》 万般皆下品,唯有读书高。🚩🇨🇳🏹🦔中科红旗,…☆50Updated 9 months ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆146Updated 6 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆75Updated 5 years ago
- Backtest result archive for Momentum Trading Strategies☆67Updated 6 years ago