Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
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Updated
Aug 27, 2022 - Jupyter Notebook
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 order books, with real-world crypto market-making examples for Binance Futures
Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C
Deep Reinforcement Learning toolkit: record and replay cryptocurrency limit order book data & train a DDQN agent
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.
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 exploratory project. Keep in mind that a lot of work is needed for this to work in all market conditions.
A C++ and Python implementation of the limit order book.
Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.
Master Thesis: Limit order placement with Reinforcement Learning
Using tabular and deep reinforcement learning methods to infer optimal market making strategies
R package intended for visualisation, analysis and reconstruction of limit order book data
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.
Ultra-fast Node.js Order Book written in TypeScript for high-frequency trading (HFT) 🚀🚀
Python Library for Transaction Cost Analysis (TCA)
Bitstamp real time console based limit order book
Probabilistic Programming Language for Order Execution and Routing Modeling
We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.
Limit Order Book Implemented in Python
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