shaileshkakkar / MicroPriceIndicator
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…
☆67Updated 6 years ago
Alternatives and similar repositories for MicroPriceIndicator:
Users that are interested in MicroPriceIndicator are comparing it to the libraries listed below
- ☆108Updated 7 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- ☆47Updated 3 years ago
- Example of order book modeling.☆56Updated 5 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆105Updated last year
- High-frequency trading in a limit order book☆57Updated 5 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆101Updated 5 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆30Updated 3 years ago
- algo trading backtesting on BitMEX☆76Updated last year
- ☆29Updated 3 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆70Updated 7 years ago
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆34Updated 4 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆84Updated 6 months ago
- Volume-Synchronized Probability of Informed Trading☆110Updated 11 years ago
- Order Imbalance Strategy in High Frequency Trading☆128Updated 6 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆49Updated 3 years ago
- Repository for market making ideas☆39Updated 9 months ago
- A project of building and running a trading system according to service oriented architecture standard.☆14Updated 7 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆86Updated 4 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
- 非平衡订单流高频交易模型☆105Updated 6 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆66Updated 8 years ago
- This project used GARCH type models to estimate volatility and used delta hedging method to make a profit.☆65Updated 5 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆137Updated 4 years ago
- Research Repo (Archive)☆70Updated 4 years ago
- Deep learning modelling of orderbooks☆93Updated 4 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,…☆45Updated 9 months ago
- High Frequency Trading Strategies☆41Updated 7 years ago