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Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
quant
python
trading
orderbook
investment
market-maker
market-making
model-selection
limit-order-book
machine-learning
feature-selection
trading-strategies
algorithmic-trading
feature-engineering
orderbook-tick-data
quantitative-trading
market-microstructure
high-frequency-trading
backtesting-trading-strategies
Created
2016-07-21
158 commits to master branch, last one about a year ago
A high-frequency trading and market-making backtesting tool in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books.
hft
binance
orderbooks
algotrading
backtesting
trading-bot
market-maker
market-making
crypto-trading
binance-futures
limit-order-book
trading-simulator
backtesting-engine
trading-algorithms
algorithmic-trading
orderbook-tick-data
quantitative-trading
contributions-welcome
high-frequency-trading
backtesting-trading-strategies
Created
2022-08-25
330 commits to master branch, last one a day ago
Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C
Created
2017-07-26
154 commits to master branch, last one 2 years ago
Deep Reinforcement Learning toolkit: record and replay cryptocurrency limit order book data & train a DDQN agent
Created
2018-06-21
200 commits to arctic-streaming-ticks-full branch, last one 2 years ago
VisualHFT is a cutting-edge GUI platform for market analysis, focusing on real-time visualization of market microstructure. Built with WPF & C#, it displays key metrics like Limit Order Book dynamics ...
Created
2022-09-20
216 commits to master branch, last one 4 months ago
OrderBook Heatmap visualizes the limit order book, compares resting limit orders and shows a time & sales log with live market data streamed directly from the Binance WS API. This was a short explorat...
Created
2021-03-08
10 commits to main branch, last one 3 years ago
Nasdaq Order Book Reconstructor
Created
2019-03-09
174 commits to master branch, last one 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.
Created
2021-12-23
151 commits to main branch, last one 2 years ago
Using tabular and deep reinforcement learning methods to infer optimal market making strategies
Created
2022-05-20
109 commits to main branch, last one 11 months ago
A custom MARL (multi-agent reinforcement learning) environment where multiple agents trade against one another (self-play) in a zero-sum continuous double auction. Ray [RLlib] is used for training.
Created
2019-07-20
309 commits to master branch, last one 3 years ago
This repository has no description...
Created
2018-08-23
26 commits to master branch, last one 5 years ago
Bitstamp real time console based limit order book
Created
2015-03-01
53 commits to master branch, last one about a year ago
Ultra-fast Node.js Limit Order Book for high-frequency trading (HFT) :rocket::rocket:
Created
2022-07-26
737 commits to main branch, last one 11 days ago
Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio (Sangadiev et al., 2020), etc.
Created
2022-11-09
260 commits to main branch, last one about a year ago
volatility harvester prototype
Created
2013-12-16
1,158 commits to master branch, last one about a month ago
LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈
Created
2022-10-13
272 commits to mini-LOBCAST branch, last one 22 days ago
Time Series Prediction of Volume in LOB
Created
2022-10-31
146 commits to IntradayVolume branch, last one about a month ago
We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.
Created
2024-03-02
19 commits to main branch, last one 23 hours ago
Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.
Created
2020-09-14
116 commits to master branch, last one 2 years ago
Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill (2021).
Created
2021-07-13
7 commits to main branch, last one 2 years ago
Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'
Created
2023-01-26
17 commits to main branch, last one about a year ago