yudai-il / High-Frequency
High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)
☆102Updated 11 months ago
Alternatives and similar repositories for High-Frequency:
Users that are interested in High-Frequency are comparing it to the libraries listed below
- High frequency factors based on order and trade data.☆49Updated last year
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆216Updated 3 years ago
- Literature survey of order execution strategies implemented in python☆44Updated 4 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆115Updated last year
- 非平衡订单流高频交易模型☆108Updated 6 years ago
- The book <Advanced Algorithmic Trading> and its source code☆59Updated 7 years ago
- ☆25Updated 2 years ago
- High Frequency Trading Strategies☆44Updated 7 years ago
- 基于基因表达式规划算法的因子挖掘☆29Updated 3 years ago
- alpha投研示例☆72Updated 2 weeks ago
- Demonstrative examples for developing quantitative and systematic strategies☆38Updated last year
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆62Updated 4 years ago
- 改进gplearn,主要使用在股票公式挖掘☆94Updated 4 years ago
- Built a practical Multi-Factor Backtesting Framework from scratch based on Huatai Security's(One of China's largest sell side) financial …☆62Updated 2 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆141Updated 4 years ago
- High Frequency Trading☆107Updated 6 years ago
- 基于万矿平台，对alpha101因子进行测试并构造多因子策略☆92Updated 5 years ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆83Updated 4 years ago
- stock☆87Updated 3 years ago
- 101 alpha factors calculate based on Alpha101☆120Updated 5 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆47Updated 5 years ago
- codegen from expression to others, such as polars, pandas☆119Updated this week
- Quant Studio Document☆24Updated 4 years ago
- 沪深300指数增强模型☆81Updated 5 years ago
- Benchmark Dataset of Limit Order Book in China Markets☆203Updated 4 years ago
- Stock factor mining with CNN and GRU.☆53Updated 2 years ago
- 多因子模型相关☆21Updated 3 years ago
- 升级后的gplearn， 支持包含时序和截面参数的自定义函数，例如均线☆59Updated last year
- Enhance the gplearn package to support precise three-dimensional structured dimension genetic programming (GP), with a particular focus …☆33Updated 8 months ago
- 基于streamlit的因子分析app☆64Updated 3 weeks ago