7 results found Sort:

rorysroes
SGX-Full-OrderBook-Tick-Data-Trading-Strategy rorysroes
671
2.0k
unknown
99
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
silahian
VisualHFT silahian
161
771
apache-2.0
36
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 ...
tca wpf mvvm csharp wpf-ui trading analytics market-data mvvm-pattern wpf-application limit-order-book market-analytics trading-platform mvvm-architecture trading-algorithms high-frequency-data orderbook-tick-data market-microstructure high-frequency-trading high-frequency-analytics
Created 2022-09-20
252 commits to master branch, last one 5 months ago
ChuaCheowHuan
gym-continuousDoubleAuction ChuaCheowHuan
31
142
mit
7
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.
ppo ray lstm marl rllib n-player zero-sum self-play double-auction zero-sum-games gym-environment limit-order-book quantitative-finance quantitative-trading financial-engineering market-microstructure high-frequency-trading multi-agent-reinforcement-learning
Created 2019-07-20
309 commits to master branch, last one 4 years ago
FinancialComputingUCL
LOBFrame FinancialComputingUCL
27
132
unknown
4
We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.
econophysics deep-learning research-paper limit-order-book financial-markets high-frequency-data market-microstructure
Created 2024-03-02
19 commits to main branch, last one 6 months ago
Jeonghwan-Cheon
lob-deep-learning Jeonghwan-Cheon
23
92
unknown
4
Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio (Sangadiev et al., 2020), etc.
lstm transformer deep-learning limit-order-book financial-engineering market-microstructure high-frequency-trading convolutional-neural-networks
Created 2022-11-09
260 commits to main branch, last one 2 years ago
orderbooktools
crobat orderbooktools
14
49
agpl-3.0
7
Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.
statistics cryptocurrency limit-order-book quantitative-finance market-microstructure market-microstructure-theory
Created 2020-09-14
116 commits to master branch, last one 3 years ago
monty-se
PINstimation monty-se
6
35
gpl-3.0
2
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...
clustering-analysis poisson-distribution information-asymmetry market-microstructure mixture-distributions hierarchical-clustering maximum-likelihood-estimation expectation-maximisation-algorithm
Created 2022-05-24
117 commits to master branch, last one about a month ago