txu2014 / binance_orderflow
Derive order flow from Tick and Trade data.
☆26Updated 3 years ago
Related projects ⓘ
Alternatives and complementary repositories for binance_orderflow
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆28Updated 3 years ago
- Substantial backtesting of statistical arbitrage pairs trading with crypto-currencies☆21Updated 4 years ago
- High Frequency Trading Strategies☆41Updated 7 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆25Updated 3 years ago
- high-frequency grid trading strategy backtesting for binance futures☆24Updated 2 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆27Updated 3 years ago
- Repo for HFT project in CMF☆26Updated last year
- This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in…☆67Updated 6 years ago
- ☆26Updated 3 years ago
- Trend Prediction for High Frequency Trading☆38Updated last year
- Calibrates microprice model to BitMEX quote data☆54Updated 3 years ago
- for 18HS MFOEC198 Introduction to systematic risk premia strategies traded at hedge funds (L+E)☆13Updated 4 years ago
- This is the final project of Statistical Arbitrage course and it aims to apply pairs trading in high frequency data to realize auto-tradi…☆18Updated 6 years ago
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆39Updated 2 years ago
- Implementing a medium freq trading strategy by estimating price impact via order flow.☆14Updated 4 years ago
- The Implied Volatility Smirk of Individual Option in S&P 500 Shows its Underlying Asset’s Return☆36Updated 4 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆65Updated 8 years ago
- A low frequency statistical arbitrage strategy☆18Updated 5 years ago
- Trading Strategy on S&P500 with different method (Linear Regression, XGBOOST, LSTM, HMM☆10Updated 4 years ago
- This quant framework applies algorithm trading in Crypto market. The trading pairs focus on spots, perpetuals, futures, and options in De…☆47Updated 4 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆68Updated 6 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆96Updated last year
- Example of order book modeling.☆57Updated 5 years ago
- ☆46Updated 3 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，…☆43Updated 6 months ago
- tick价差套利（参考vnpy网友资料、vnpy论坛资料、windquant）： 1、按被动腿时间戳对齐 2、profile函数展示（需要py3） 3、平稳性检验 4、对冲手数计算 5、2sigma开仓，3sigma止损(或者赌价差扩散？)6、连续止损后cool down一…☆14Updated 5 years ago
- AS model performance versus trivial delta for market-makers☆17Updated 2 years ago
- 非平衡订单流高频交易模型☆102Updated 6 years ago