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autodiff

automatic differentiation made easier for C++

consecutivesubmodularity

ConsecutiveSubmodularity

cppcoreguidelines

The C++ Core Guidelines are a set of tried-and-true guidelines, rules, and best practices about coding in C++

cpython

The Python programming language

graphframes

hft_challenge_1

TCP/IP socket connection to test server; test of session communication protocol.

implied_price_engine

Optimized implied price/size generation in the energy complex.

implied_price_engine_all

Implied Price Engine project, all source.

inductive-boost

Popular gradient boosting classifier using inductive classifier and optimal partitioning at each iterative step.

libtrading

Libtrading, an ultra low-latency trading connectivity library for C and C++.

multiboost

Recursive multiscale boosting algorithm with bells and whistles.

networkx

Official NetworkX source code repository.

order_fsm

Framework for exchange-facing order handling FSM.

orderedpartitions

Utilities for subset scanning/optimization over partitions of records.

partitionsolvers

SWIG bindings for best subset, best partition solvers, multiple flavors, multiple objectives

pyblique

Oblique Decision Tree implementation in Python

pysheeet

Python Cheat Sheet

quickfix

QuickFIX C++ Fix Engine Library

reflect-cpp

rvae

RVAE Theano, Pytorch implementation

sarsa_vs_q_learning

Simple SARSA vs Q_learning with fsm for easy specification of cliff-walking task.

scikit-learn

scikit-learn: machine learning in Python

sklearn-oblique-tree

a python interface to OC1 and other oblique decision tree implementations

stir

Commodity spread trading utilities, GSCI backtester, etc.

task_scheduler

Std::thread-based task scheduler, supports dependencies as encoded by a boost graph object.

theano-autoencoder

Test of custom stacked autoencoder class vs single-layer autoencoder on unsupervised task. This is meant to test the advantages of a stacked approach to data encoding over a single-layer approach.

trading_cost

Simple transaction cost model calibrated with fintech proprietary broker data set.

xgboost

Scalable, Portable and Distributed Gradient Boosting (GBDT, GBRT or GBM) Library, for Python, R, Java, Scala, C++ and more. Runs on single machine, Hadoop, Spark, Flink and DataFlow