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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 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
254 commits to master branch, last one about a month 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 4 years 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 8 months ago
Python Library for Transaction Cost Analysis and Market Simulation - Scaling Law in Quantitative Trading
Created
2024-06-28
58 commits to main branch, last one 13 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 2 years 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 3 years ago
A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992) and Easley et al. (1996); Multilayer PIN (MPIN) in Ersan (201...
Created
2022-05-24
117 commits to master branch, last one 3 months ago