shaileshkakkar / OrderImbalanceLinks
Order Imbalance Strategy in High Frequency Trading
☆140Updated 7 years ago
Alternatives and similar repositories for OrderImbalance
Users that are interested in OrderImbalance are comparing it to the libraries listed below
Sorting:
- ☆120Updated 7 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆151Updated 5 years ago
- algo trading backtesting on BitMEX☆81Updated last year
- Implementation of HFT backtesting simulator and Stoikov strategy☆137Updated 2 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆173Updated 6 years ago
- Volume-Synchronized Probability of Informed Trading☆112Updated 12 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆103Updated 6 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆226Updated 2 years ago
- ☆142Updated 2 years ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆145Updated 5 years ago
- Pairs Trading with Machine Learning on Distributed Python Platform☆122Updated 3 years ago
- CS7641 Team project☆97Updated 5 years ago
- High-frequency statistical arbitrage☆228Updated 2 years ago
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆72Updated 7 years ago
- 非平衡订单流高频交易模型☆112Updated 7 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆94Updated last year
- Limit Order Book data analysis and modeling using LSTM network☆137Updated 6 years ago
- High Frequency Trading☆110Updated 7 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆264Updated this week
- To classify trades into buyer- and seller-initiated.☆153Updated 2 years ago
- Notes on Advances in Financial Machine Learning☆82Updated 6 years ago
- Created a continuous, homogeneous, and structured 10 GB dataset from self obtained collections of unstructured intraday financial data. G…☆73Updated 5 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆240Updated 3 years ago
- Calibrates microprice model to BitMEX quote data☆60Updated 4 years ago
- A collection of homeworks of market microstructure models.☆262Updated 7 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆78Updated 7 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆32Updated 4 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆87Updated 2 years ago
- Analysis of High Frequency Trading on Bitcoin exchanges☆166Updated 8 years ago