sstoikov / micropriceLinks
☆422Updated 4 years ago
Alternatives and similar repositories for microprice
Users that are interested in microprice are comparing it to the libraries listed below
Sorting:
- Avellaneda-Stoikov HFT market making algorithm implementation☆603Updated 2 years ago
- High Frequency Market Making☆598Updated 2 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆264Updated this week
- 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
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆226Updated 2 years ago
- High frequency trading (HFT) framework built for futures using machine learning and deep learning techniques☆516Updated 3 years ago
- A collection of homeworks of market microstructure models.☆262Updated 7 years ago
- A fast L2/L3 orderbook data structure, in C, for Python☆290Updated last week
- experiments with pair trading☆324Updated 11 months ago
- Nasdaq Order Book Reconstructor☆256Updated 4 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆151Updated 5 years ago
- Order Imbalance Strategy in High Frequency Trading☆140Updated 7 years ago
- High frequency trading bot for crypto currencies☆411Updated 3 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆137Updated 2 years ago
- algorithmic trading backtest and optimization examples using order book imbalances. (bitcoin, cryptocurrency, bitmex, binance futures, ma…☆304Updated last year
- High-frequency statistical arbitrage☆228Updated 2 years ago
- ☆208Updated 2 years ago
- ☆364Updated last year
- We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.☆203Updated last year
- toolbox of fast mm-related funcs☆215Updated last month
- GPU-accelerated Factors analysis library and Backtester☆748Updated 6 months ago
- Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning☆145Updated 5 years ago
- Deep Learning Statistical Arbitrage☆245Updated 3 years ago
- Asynchronous, event-driven algorithmic trading in Python and C++☆753Updated 2 weeks ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆259Updated 2 years ago
- To classify trades into buyer- and seller-initiated.☆153Updated 2 years ago
- Performance analysis of predictive (alpha) stock factors☆499Updated 2 weeks ago
- ☆120Updated 7 years ago
- This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", publis…☆516Updated 4 years ago
- python PYPI package to dump all needed crypto historical data from binance just by 2 lines of code☆146Updated last year