rorysroes/SGX-Full-OrderBook-Tick-Data-Trading-Strategy

Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.

Language: Jupyter Notebook - Size: 83.6 MB - Last synced at: about 1 month ago - Pushed at: over 2 years ago - Stars: 2,019 - Forks: 673

visualHFT/VisualHFT

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 and execution quality. Its modular design ensures adaptability for developers and traders, enabling tailored analytical solutions.

Language: C# - Size: 13.4 MB - Last synced at: 6 days ago - Pushed at: 6 days ago - Stars: 823 - Forks: 162

jialuechen/pyflow

Python Library for Trading Costs and Liquidity Analytics

Language: Python - Size: 26.9 MB - Last synced at: 16 days ago - Pushed at: 16 days ago - Stars: 139 - Forks: 6

ChuaCheowHuan/gym-continuousDoubleAuction

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.

Language: Jupyter Notebook - Size: 51.7 MB - Last synced at: over 1 year ago - Pushed at: over 2 years ago - Stars: 129 - Forks: 29

Jeonghwan-Cheon/lob-deep-learning

Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio (Sangadiev et al., 2020), etc.

Language: Python - Size: 302 KB - Last synced at: about 2 months ago - Pushed at: over 2 years ago - Stars: 100 - Forks: 25

FinancialComputingUCL/LOBFrame

We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.

Language: Python - Size: 114 KB - Last synced at: 11 months ago - Pushed at: 11 months ago - Stars: 50 - Forks: 9

orderbooktools/crobat

Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.

Language: Jupyter Notebook - Size: 15.7 MB - Last synced at: 20 days ago - Pushed at: over 3 years ago - Stars: 50 - Forks: 14

coorung/Finance-World

Optimization techniques on the financial area for the hedging, investment starategies, and risk measures

Language: Jupyter Notebook - Size: 5.54 MB - Last synced at: 11 months ago - Pushed at: about 5 years ago - Stars: 41 - Forks: 5

monty-se/PINstimation

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 (2016); Adjusted PIN (AdjPIN) in Duarte and Young (2009); and volume-synchronized PIN (VPIN) in Easley et al. (2011, 2012). Implementations of various estimation methods suggested in the literature are included. Additional compelling features comprise posterior probabilities, an implementation of an expectation-maximization (EM) algorithm, and PIN decomposition into layers, and into bad/good components. Versatile data simulation tools, and trade classification algorithms are among the supplementary utilities. The package provides fast, compact, and precise utilities to tackle the sophisticated, error-prone, and time-consuming estimation procedure of informed trading, and this solely using the raw trade-level data.

Language: R - Size: 5.27 MB - Last synced at: 8 days ago - Pushed at: 7 months ago - Stars: 38 - Forks: 7

drewstone/gym-trading

Reinforcement learning environment for trading

Language: Python - Size: 45.9 KB - Last synced at: 23 days ago - Pushed at: over 7 years ago - Stars: 15 - Forks: 6

juanhenao21/financial_response_spread_year

Price response function and spread impact analysis in correlated financial markets

Language: Jupyter Notebook - Size: 66.3 MB - Last synced at: about 2 years ago - Pushed at: almost 3 years ago - Stars: 8 - Forks: 3

IteraLabs/atelier

Rust Engine for High Frequency, Synthetic and Historical, Market Microstructure Modeling.

Language: Rust - Size: 348 KB - Last synced at: 4 days ago - Pushed at: about 1 month ago - Stars: 5 - Forks: 1

kidwai/papers

some useful papers.

Size: 28.3 MB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 5 - Forks: 0

jmcph4/ironbook

Fast price-time-quantity LOB in C11

Language: C - Size: 4.88 KB - Last synced at: about 1 month ago - Pushed at: almost 6 years ago - Stars: 5 - Forks: 3

juanhenao21/forex_response_spread_year

Price response function and spread impact analysis in foreign exchange markets

Language: TeX - Size: 19.5 MB - Last synced at: about 2 years ago - Pushed at: almost 3 years ago - Stars: 2 - Forks: 0

simonsays1980/bayespin

An R package for Bayesian estimation of the probability of informed trading.

Language: R - Size: 3.92 MB - Last synced at: about 1 month ago - Pushed at: over 3 years ago - Stars: 2 - Forks: 2

B0R0koko/pumps_and_dumps

Language: Jupyter Notebook - Size: 21.8 MB - Last synced at: 5 months ago - Pushed at: 5 months ago - Stars: 1 - Forks: 0

anabugaenko/liquidity

A Package for quantifying price impact and intra-day liquidity in continuous double auctions.

Language: Jupyter Notebook - Size: 79.8 MB - Last synced at: 12 months ago - Pushed at: 12 months ago - Stars: 1 - Forks: 0

Tommylee1013/QUANTIFI

Quantifi Sogang

Language: Python - Size: 98.7 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 1 - Forks: 0

Jeonghwan-Cheon/lob-mbrl

Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., 2019)>.

Language: Jupyter Notebook - Size: 729 KB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 1 - Forks: 0

Kaleckian/lob_ssc_binance

Project presented as a partial fullfilment requirement for the Cardano Developer Professional (CDP) program. An implementation of the Stochastic Supply Curve (Çetin, Jarrow & Protter, 2006) based on Blais & Protter (2010), Árdal (2013) and Hossaka (2018) approaches through Binance's API endpoint live feed data.

Language: Haskell - Size: 10.3 MB - Last synced at: almost 2 years ago - Pushed at: over 2 years ago - Stars: 1 - Forks: 1

SakethAleti/Senior-Thesis-PFOF

Code for my senior thesis: "The Effect of Payment for Order Flow on Order Routing to Market Centers"

Language: Jupyter Notebook - Size: 4.2 MB - Last synced at: 11 months ago - Pushed at: almost 3 years ago - Stars: 1 - Forks: 0

SushalReddySabbella/OFI-Feature-Engineering

"Order Flow Imbalance (OFI) signal construction and PCA-based feature compression for equity markets"

Language: Jupyter Notebook - Size: 601 KB - Last synced at: 7 days ago - Pushed at: 7 days ago - Stars: 0 - Forks: 0

adeleravagnani/non-markovian-zero-intelligence-lob-model

Non-Markovian Zero Intelligence LOB model

Language: Python - Size: 1.09 MB - Last synced at: about 2 months ago - Pushed at: about 2 months ago - Stars: 0 - Forks: 0

sjdKRM/EPAT

Executive Programme in Algorithmic Trading by QuantInsti

Language: Jupyter Notebook - Size: 3.68 MB - Last synced at: 4 months ago - Pushed at: 4 months ago - Stars: 0 - Forks: 0

NiklasLandsberg/Webscrape-ESMA-Equity-Transparency-Report

The code is to webscrape ESMA's Equity Transparency table for equities.

Language: Jupyter Notebook - Size: 1.38 MB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 0 - Forks: 0