Alternatives and similar repositories for microprice

Users that are interested in microprice are comparing it to the libraries listed below

• jshellen / HFT
  High Frequency Market Making
  ☆606Updated 2 years ago
• fedecaccia / avellaneda-stoikov
  Avellaneda-Stoikov HFT market making algorithm implementation
  ☆620Updated 2 years ago
• javifalces / HFTFramework
  HFTFramework utilized for research on " A reinforcement learning approach to improve the performance of the Avellaneda-Stoikov market-ma…
  ☆284Updated last week
• gjimzhou / MTH9879-Market-Microstructure-Models
  A collection of homeworks of market microstructure models.
  ☆272Updated 7 years ago
• nicolezattarin / LOB-feature-analysis
  Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.
  ☆249Updated 3 years ago
• bradleyboyuyang / ML-HFT
  High frequency trading (HFT) framework built for futures using machine learning and deep learning techniques
  ☆544Updated 3 years ago
• financialnoob / pairs_trading
  experiments with pair trading
  ☆329Updated last year
• KodAgge / Reinforcement-Learning-for-Market-Making
  Using tabular and deep reinforcement learning methods to infer optimal market making strategies
  ☆234Updated 2 years ago
• martinobdl / ITCH
  Nasdaq Order Book Reconstructor
  ☆265Updated 4 years ago
• hello2all / gamma-ray
  High frequency trading bot for crypto currencies
  ☆419Updated 3 years ago
• bradleyboyuyang / Statistical-Arbitrage
  High-frequency statistical arbitrage
  ☆240Updated 2 years ago
• Heerozh / spectre
  GPU-accelerated Factors analysis library and Backtester
  ☆758Updated 8 months ago
• mdibo / Avellaneda-Stoikov
  Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov
  ☆152Updated 5 years ago
• shaileshkakkar / OrderImbalance
  Order Imbalance Strategy in High Frequency Trading
  ☆139Updated 7 years ago
• jktis / Trade-Classification-Algorithms
  To classify trades into buyer- and seller-initiated.
  ☆154Updated 3 years ago
• nkaz001 / algotrading-example
  algorithmic trading backtest and optimization examples using order book imbalances. (bitcoin, cryptocurrency, bitmex, binance futures, ma…
  ☆309Updated 2 years ago
• vollib / py_vollib
  ☆371Updated last year
• gregzanotti / dlsa-public
  Deep Learning Statistical Arbitrage
  ☆253Updated 3 years ago
• tobiasbrodd / backtester
  An event-driven backtester
  ☆112Updated 5 years ago
• bmoscon / orderbook
  A fast L2/L3 orderbook data structure, in C, for Python
  ☆307Updated 2 months ago
• mmssss / hft-market-making
  Implementation of HFT backtesting simulator and Stoikov strategy
  ☆142Updated 2 years ago
• alexbotsula / Price_direction_forecast
  ☆49Updated 6 years ago
• FinancialComputingUCL / LOBFrame
  We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.
  ☆211Updated last year
• theopenstreet / VPIN_HFT
  ☆123Updated 8 years ago
• zcakhaa / Multi-Horizon-Forecasting-for-Limit-Order-Books
  ☆208Updated 2 years ago
• tr8dr / tseries-patterns
  trend / momentum and other patterns in financial timeseries
  ☆275Updated 4 years ago
• jmrichardson / tuneta
  Intelligently optimizes technical indicators and optionally selects the least intercorrelated for use in machine learning models
  ☆455Updated 2 years ago
• zcakhaa / DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books
  This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", publis…
  ☆528Updated 4 years ago
• AsyncAlgoTrading / aat
  Asynchronous, event-driven algorithmic trading in Python and C++
  ☆762Updated 3 weeks ago
• im1235 / ISAC
  Optimal control of risk aversion in Avellaneda Stoikov high frequency market making model with Soft Actor Critic reinforcement learning
  ☆146Updated 6 years ago