High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)
☆117May 20, 2024Updated last year
Alternatives and similar repositories for High-Frequency
Users that are interested in High-Frequency are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆256Apr 12, 2022Updated 3 years ago
- Literature survey of order execution strategies implemented in python☆44Jul 24, 2020Updated 5 years ago
- Simulator of a basic order book flow and order execution☆18Mar 22, 2023Updated 3 years ago
- High Frequency Trading Strategies☆50Aug 14, 2017Updated 8 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Apr 9, 2020Updated 5 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- Analysis of High Frequency Trading on Bitcoin exchanges☆169Aug 21, 2017Updated 8 years ago
- High frequency factors based on order and trade data.☆70Dec 16, 2023Updated 2 years ago
- ☆29Aug 7, 2022Updated 3 years ago
- This is for the capstone project "Optimal Execution of a VWAP order".☆39Nov 21, 2019Updated 6 years ago
- Implementation of a Bayesian-style market maker in the vein of 'Intelligent Market-Making in Artificial Financial Markets' by Sanmay Das☆108Oct 16, 2015Updated 10 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆12May 30, 2021Updated 4 years ago
- High Frequency Jump Prediction Project☆38Jun 1, 2020Updated 5 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆152May 9, 2020Updated 5 years ago
- The book <Advanced Algorithmic Trading> and its source code☆62Jan 5, 2018Updated 8 years ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- Trend Prediction for High Frequency Trading☆42Dec 8, 2022Updated 3 years ago
- My first high-frequency trading strategy using machine learning☆18Sep 16, 2022Updated 3 years ago
- Deep learning for limit order book trading and mid-price movement☆55Oct 20, 2020Updated 5 years ago
- Apply Box&Tiao to generate stationary price spread series in steel industry commodity futures market for pair trading☆14Dec 11, 2022Updated 3 years ago
- High Frequency Market Making☆618Sep 24, 2023Updated 2 years ago
- High frequency trading algorithm for Bitmex☆22Jun 22, 2020Updated 5 years ago
- Crypto-Options Volatility Surface Calibration and Arbitrage☆17Dec 26, 2022Updated 3 years ago
- Repo for HFT project in CMF☆28Jan 4, 2023Updated 3 years ago
- The source code for the paper☆28Jul 3, 2023Updated 2 years ago
- Managed Database hosting by DigitalOcean • AdPostgreSQL, MySQL, MongoDB, Kafka, Valkey, and OpenSearch available. Automatically scale up storage and focus on building your apps.
- Order Imbalance Strategy in High Frequency Trading☆142Jun 4, 2018Updated 7 years ago
- 两家交易所做比特币的高频对冲☆19Dec 5, 2019Updated 6 years ago
- Implementation of HFT backtesting simulator and Stoikov strategy☆144May 6, 2023Updated 2 years ago
- 致力于多因子,AI策略,可盈利模型的研究☆13Apr 14, 2023Updated 2 years ago
- Avellaneda-Stoikov HFT market making algorithm implementation☆652Jul 6, 2023Updated 2 years ago
- Script for trade arbitrage opportunities between European-style options and Perpetual futures, with notifications in telegram☆10Jun 10, 2023Updated 2 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆181Sep 28, 2019Updated 6 years ago
- Financial Prior-Data Fitted Network (regression)☆21Dec 12, 2025Updated 3 months ago
- Create a mid-price classifier for limit order books using a CNN and LSTM☆15Apr 24, 2020Updated 5 years ago
- Managed Kubernetes at scale on DigitalOcean • AdDigitalOcean Kubernetes includes the control plane, bandwidth allowance, container registry, automatic updates, and more for free.
- Limit Orderbook CNN model implementation for ETH-BTC (buy-low-sell-high indicator)☆17Mar 20, 2023Updated 3 years ago
- High Frequency Trading Strategy☆12Dec 20, 2018Updated 7 years ago
- Collection of numerical methods for high frequency data, in Python notebooks☆13Mar 10, 2021Updated 5 years ago
- High Frequency Trading bot for 2019 Traders at MIT, HFT Case. I placed 4th in the HFT competition (2nd overall) out of 120.☆19Oct 27, 2019Updated 6 years ago
- ☆11Nov 6, 2018Updated 7 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆81Jan 27, 2018Updated 8 years ago
- ☆209Mar 29, 2023Updated 2 years ago