ziaagikian / limit-order-bookLinks
Fast, Multi threaded and Efficient Trade Matching Engine
☆27Updated 4 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:
- Order Imbalance Strategy in High Frequency Trading☆141Updated 7 years ago
- ☆123Updated 8 years ago
- Example of order book modeling.☆58Updated 6 years ago
- Calibrates microprice model to BitMEX quote data☆64Updated 4 years ago
- High performance trading Matching Engine / Market Simulator using Level 3 Market Data for realistic simulation of High Frequency Trading …☆120Updated last year
- algo trading backtesting on BitMEX☆81Updated 2 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…☆73Updated 7 years ago
- ☆39Updated 4 years ago
- An implementation of Avellaneda-Stoikov market making model after reading the seminal paper☆33Updated 4 years ago
- High Frequency Pairs Trading Based on Statistical Arbitrage (Python)☆103Updated 6 years ago
- ☆55Updated 4 years ago
- Implemented the Avellaneda-Stoikov market-making strategy in an automated trading algorithm. Completed as part of the Optiver Ready Trade…☆92Updated 2 years ago
- Volume-Synchronized Probability of Informed Trading☆113Updated 12 years ago
- Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.☆54Updated 4 years ago
- Personal Project that implements a variety of HFT strategies in C++☆75Updated 4 years ago
- Order flow toxicity; Volume-Synchronized Probability of Informed Trading☆98Updated last year
- Some Python codes for explorating High Frequency Data, Generating and Estimating Hawkes Processes and Simulating Limit Order Books.☆50Updated 5 years ago
- OrderBook Simulator with Limit and Iceberg functionality☆81Updated 6 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆35Updated 4 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.☆177Updated 6 years ago
- A bot coded for an algorithmic trading competition using market making, statistical arbitrage, and delta and vega hedging☆79Updated 8 years ago
- Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov☆151Updated 5 years ago
- Statistical arbitrage of cointegrating currencies with pair trading where the signal for the next day is predicted using LSTM☆58Updated 5 years ago
- A Python Implementation of Measures for Order Flow Risk, e.g. VPIN☆97Updated 5 years ago
- Python package for a class of tractable SPDE models for limit order book modeling☆38Updated 4 years ago
- Repo for HFT project in CMF☆29Updated 3 years ago
- Delta hedging under SABR model☆44Updated last year
- Deep learning modelling of orderbooks☆102Updated 5 years ago
- Limit Order Book Implemented in Python☆99Updated 8 years ago