sstoikov / micropriceLinks
☆398Updated 4 years ago
Alternatives and similar repositories for microprice
Users that are interested in microprice are comparing it to the libraries listed below
Sorting:
- High Frequency Market Making☆545Updated last year
- Avellaneda-Stoikov HFT market making algorithm implementation☆550Updated last year
- A collection of homeworks of market microstructure models.☆244Updated 7 years ago
- High frequency trading (HFT) framework built for futures using machine learning and deep learning techniques☆466Updated 2 years ago
- HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…☆239Updated 3 months ago
- High frequency trading bot for crypto currencies☆394Updated 3 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆223Updated 3 years ago
- GPU-accelerated Factors analysis library and Backtester☆695Updated 2 months ago
- experiments with pair trading☆300Updated 6 months ago
- This code accompanies the the paper Slow Momentum with Fast Reversion: A Trading Strategy Using Deep Learning and Changepoint Detection (…☆248Updated 2 years ago
- Code implementation of the Quantigic 101 Formulaic Alphas☆531Updated 6 years ago
- Performance analysis of predictive (alpha) stock factors☆435Updated 2 weeks ago
- A fast L2/L3 orderbook data structure, in C, for Python☆276Updated 7 months ago
- To classify trades into buyer- and seller-initiated.☆144Updated 2 years ago
- Modular Python library that provides an advanced event driven backtester and a set of high quality tools for quantitative finance. Integr…☆591Updated this week
- Nasdaq Order Book Reconstructor☆245Updated 3 years ago
- Deep Learning Statistical Arbitrage☆233Updated 2 years ago
- Using tabular and deep reinforcement learning methods to infer optimal market making strategies☆196Updated last year
- Implementation of HFT backtesting simulator and Stoikov strategy☆121Updated 2 years ago
- Analysis on systematic trading strategies (e.g., trend-following, carry and mean-reversion). The result is regularly updated.☆603Updated this week
- ☆200Updated 2 years ago
- High-frequency statistical arbitrage☆195Updated last year
- Asynchronous, event-driven algorithmic trading in Python and C++☆731Updated 6 months ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆144Updated 5 years ago
- A C++ and Python implementation of the limit order book.☆277Updated 4 years ago
- toolbox of fast mm-related funcs☆189Updated 2 months ago
- Limit Order Book data analysis and modeling using LSTM network☆136Updated 6 years ago
- An workflow in factor-based equity trading, including factor analysis and factor modeling. For well-established factor models, I implemen…☆363Updated 6 years ago
- Order Imbalance Strategy in High Frequency Trading☆133Updated 7 years ago
- ☆339Updated last year