ziaagikian / limit-order-bookLinks
Fast, Multi threaded and Efficient Trade Matching Engine
☆27Updated 3 years ago
Alternatives and similar repositories for limit-order-book
Users that are interested in limit-order-book are comparing it to the libraries listed below
Sorting:
- ☆114Updated 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…☆70Updated 7 years ago
- Example of order book modeling.☆57Updated 6 years ago
- OrderBook Simulator with Limit and Iceberg functionality☆74Updated 6 years ago
- High Frequency Trading Strategies☆46Updated 7 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆31Updated 4 years ago
- ☆33Updated 3 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆34Updated 3 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆91Updated 11 months ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 11 years ago
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆49Updated 5 years ago
- Order Imbalance Strategy in High Frequency Trading☆135Updated 7 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆75Updated 7 years ago
- algo trading backtesting on BitMEX☆78Updated last year
- Limit Order Book Implemented in Python☆96Updated 7 years ago
- Deep learning modelling of orderbooks☆95Updated 4 years ago
- Repository for market making ideas☆41Updated last year
- Poisson intensity of limit order execution, calibration of parameters A and k using level 1 tick data☆36Updated 4 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆92Updated 4 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆35Updated 4 years ago
- Price Prediction with Machine Learning Models (practicum project at CME group)☆70Updated 9 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆103Updated 6 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆51Updated 3 years ago
- Simple Market Simulator implementation for HFT stress testing☆30Updated 12 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆82Updated 2 years ago
- High-frequency trading in a limit order book☆59Updated 6 years ago
- A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.☆163Updated 5 years ago
- High Frequency Jump Prediction Project☆37Updated 5 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆145Updated 5 years ago
- Calibrates microprice model to BitMEX quote data☆57Updated 4 years ago