Trending repositories for topic limit-order-book
A high frequency trading and market making backtesting and trading bot in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and orde...
A high frequency trading and market making backtesting and trading bot in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and orde...
A high frequency trading and market making backtesting and trading bot in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and orde...
Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C
Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
Low latency Limit Order Book and Matching Engine created in C++, able to handle over 1.4 million transactions per second.
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 ...
Low latency Limit Order Book and Matching Engine created in C++, able to handle over 1.4 million transactions per second.
A high frequency trading and market making backtesting and trading bot in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and orde...
Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C
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 ...
Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
A high frequency trading and market making backtesting and trading bot in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and orde...
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 ...
Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C
Ultra-fast Limit Order Book for Node.js written in TypeScript for high-frequency trading (HFT) :rocket::rocket:
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...
Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
Low latency Limit Order Book and Matching Engine created in C++, able to handle over 1.4 million transactions per second.
We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.
LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈
Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio (Sangadiev et al., 2020), etc.
Using tabular and deep reinforcement learning methods to infer optimal market making strategies
Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.
Low latency Limit Order Book and Matching Engine created in C++, able to handle over 1.4 million transactions per second.
A high frequency trading and market making backtesting and trading bot in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and orde...
Ultra-fast Limit Order Book for Node.js written in TypeScript for high-frequency trading (HFT) :rocket::rocket:
LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈
Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio (Sangadiev et al., 2020), etc.
We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.
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...
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 ...
Using tabular and deep reinforcement learning methods to infer optimal market making strategies
Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C
Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.
Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.
Low latency Limit Order Book and Matching Engine created in C++, able to handle over 1.4 million transactions per second.
A high frequency trading and market making backtesting and trading bot in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and orde...
Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
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 ...
Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C
We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.
Deep Reinforcement Learning toolkit: record and replay cryptocurrency limit order book data & train a DDQN agent
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...
Using tabular and deep reinforcement learning methods to infer optimal market making strategies
LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈
Ultra-fast Limit Order Book for Node.js written in TypeScript for high-frequency trading (HFT) :rocket::rocket:
Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.
Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio (Sangadiev et al., 2020), etc.
Low latency Limit Order Book and Matching Engine created in C++, able to handle over 1.4 million transactions per second.
Deep learning approach for market price prediction, in JAX
Building a fast matching engine in Rust for efficient processing of an ITCH order book.
Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'
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.
A high frequency trading and market making backtesting and trading bot in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and orde...
LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈
Building a fast matching engine in Rust for efficient processing of an ITCH order book.
Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio (Sangadiev et al., 2020), etc.
Ultra-fast Limit Order Book for Node.js written in TypeScript for high-frequency trading (HFT) :rocket::rocket:
Using tabular and deep reinforcement learning methods to infer optimal market making strategies
Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'
Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.
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 ...
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...
Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C
Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
Deep Reinforcement Learning toolkit: record and replay cryptocurrency limit order book data & train a DDQN agent
Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill (2021).
Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.