wcskkk375 / CryptoBacktest
a cpp framework for crypto currentcy tick data backtesting
☆16Updated 3 years ago
Alternatives and similar repositories for CryptoBacktest:
Users that are interested in CryptoBacktest are comparing it to the libraries listed below
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- Repo for HFT project in CMF☆28Updated 2 years ago
- ☆30Updated 3 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆30Updated 3 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆32Updated 3 years ago
- ☆49Updated 3 years ago
- AS model performance versus trivial delta for market-makers☆18Updated 3 years ago
- Calibrates microprice model to BitMEX quote data☆56Updated 3 years ago
- ☆23Updated 2 years ago
- High Frequency Trading Strategies☆42Updated 7 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…☆69Updated 6 years ago
- This is a research about using ML or RL predictions for HFT Market Making. Backtest was build on Full order log☆27Updated 3 years ago
- Repository for market making ideas☆39Updated 10 months ago
- Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.☆20Updated 3 years ago
- Market Making in Python☆16Updated 11 months ago
- Exploring Optimal Order Execution in Simulated Limit Order Books☆16Updated 2 years ago
- Build your own historical Limit Order Book dataset☆38Updated 3 years ago
- Mid price estimation in LOB using Markov model☆12Updated 2 years ago
- Phd repo☆16Updated 2 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆87Updated 4 years ago
- Example of order book modeling.☆56Updated 5 years ago
- Examples of nautilus script☆32Updated 2 months ago
- high-frequency grid trading strategy backtesting for binance futures☆24Updated 2 years ago
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Updated 2 years ago
- ☆112Updated 7 years ago
- Derive order flow from Tick and Trade data.☆30Updated 3 years ago
- Optimal high-frequency market making strategy☆19Updated 4 months ago
- ☆23Updated 2 years ago
- Implementation of "OPTIMAL MARKET MAKING BY REINFORCEMENT LEARNING"☆27Updated 3 years ago
- ☆15Updated 2 years ago