yudai-il / High-FrequencyLinks
High Frequency Analysis Based On Level-2 Data（Limit Order Book& Transaction Data)
☆108Updated last year
Alternatives and similar repositories for High-Frequency
Users that are interested in High-Frequency are comparing it to the libraries listed below
Sorting:
- Implementation of HFT backtesting simulator and Stoikov strategy☆129Updated 2 years ago
- Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.☆232Updated 3 years ago
- 非平衡订单流高频交易模型☆110Updated 6 years ago
- alpha投研示例☆78Updated 3 weeks ago
- Literature survey of order execution strategies implemented in python☆45Updated 5 years ago
- High frequency factors based on order and trade data.☆56Updated last year
- High Frequency Trading Strategies☆49Updated 7 years ago
- ☆26Updated 2 years ago
- stock☆89Updated 4 years ago
- A genetic programming algorithm used for generating alpha factors in the multi-factor investment strategy☆63Updated 4 years ago
- High Frequency Trading☆109Updated 7 years ago
- 101 alpha factors calculate based on Alpha101☆129Updated 6 years ago
- Demonstrative examples for developing quantitative and systematic strategies☆38Updated last year
- 改进gplearn,主要使用在股票公式挖掘☆97Updated 5 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
- Here I go through the processing of prototyping a mean reversion trading strategy using statistical concepts, then test it in backtrader.☆60Updated 2 years ago
- 沪深300指数增强模型☆85Updated 5 years ago
- ☆108Updated 5 years ago
- Order Imbalance Strategy in High Frequency Trading☆135Updated 7 years ago
- codegen from expression to others, such as polars, pandas☆131Updated 3 weeks ago
- This repo contains some codes and outputs of my implementation of DeepLOB model.☆86Updated 4 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Updated 5 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆147Updated 5 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 6 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆83Updated 2 years ago
- The book <Advanced Algorithmic Trading> and its source code☆60Updated 7 years ago
- Calibrates microprice model to BitMEX quote data☆59Updated 4 years ago
- Python Data Analysis and Financial Calculation☆66Updated 5 years ago
- ☆146Updated 3 months ago
- 基于基因表达式规划算法的因子挖掘☆30Updated 3 years ago