Topic: limit-order-book Goto Github

👇 Here are 78 public repositories matching this topic...

abcabhishek / pylimitorderbook
limit-order-book,Limit Order Book Implemented in Python
User: abcabhishek
limit-order-book high-frequency-trading hft hft-trading orderbook python

adlai / scalpl
limit-order-book,volatility harvester prototype
User: adlai
Home Page: atp://127.0.0.1:8080
limit-order-book volatility-harvester games-against-nature

amankrx / matching-engine-rs
limit-order-book,Building a fast matching engine in Rust for efficient processing of an ITCH order book.
User: amankrx
itch matching-engine orderbook rust trading limit-order-book

awilliea / risk-based_rl_for_optimal_trading_execution
limit-order-book,
User: awilliea
reinforcement-learning order-placement optimal-trading-execution multi-objective ddqn tf-agents gym-environment limit-order-book trading-bot reward-shaping

brprojects / limit-order-book
limit-order-book,Low latency Limit Order Book and Matching Engine created in C++, able to handle over 1.4 million transactions per second.
User: brprojects
cpp hft limit-order-book matching-engine data-structures low-latency quantitative-finance finance-application market-maker orderbook

chuacheowhuan / gym-continuousdoubleauction
limit-order-book,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.
User: chuacheowhuan
Home Page: https://chuacheowhuan.github.io
multi-agent-reinforcement-learning gym-environment limit-order-book high-frequency-trading ray rllib market-microstructure financial-engineering self-play double-auction

crypto-toolbox / hft-orderbook
limit-order-book,Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C
Organization: crypto-toolbox
python3 high-frequency-trading order-management orderbook bst avl-tree doubly-linked-list self-balancing-trees limit-order-book c

dmitry-r / binance-lob-recorder
limit-order-book,Binance Limit Order Book Recorder
User: dmitry-r
binance limit-order-book cryptocurrency crypto

drewstone / gym-trading
limit-order-book,Reinforcement learning environment for trading
User: drewstone
market-microstructure reinforcement-learning limit-order-book cryptocurrency

elenchev / order-book-heatmap
limit-order-book,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.
User: elenchev
Home Page: https://elenchev.github.io/order-book-heatmap/
orderbook order-book limit-order-book orderbook-tick-data heatmap high-frequency-trading cryptocurrency heapmap d3 d3js

eliquinox / jlob
limit-order-book,L3 Order Book and Matching Engine Implementaion in Java
User: eliquinox
matching-engine trading high-frequency-trading limit-order-book low-latency

ericbudish / hft-races
limit-order-book,Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill (2021).
User: ericbudish
python r finance trading high-frequency-trading hft sniping latency-arbitrage stock-exchange financial-exchange

fasenderos / nodejs-order-book
limit-order-book,Ultra-fast Node.js Order Book written in TypeScript for high-frequency trading (HFT) :rocket::rocket:
User: fasenderos
Home Page: https://github.com/fasenderos/nodejs-order-book
exchange hft hft-trading limit-order-book matching-algorithm matching-engine nodejs order-book orderbook trading

financialcomputingucl / lobframe
limit-order-book,We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.
Organization: financialcomputingucl
deep-learning financial-markets high-frequency-data limit-order-book market-microstructure research-paper econophysics

hkust-db-capstone2020 / market-agent-simulation
limit-order-book,Simulated markets based on Zero-Intelligence agent
Organization: hkust-db-capstone2020
zero-intelligence-agent order-management-system limit-order-book trading-strategy-simulator

jeonghwan-cheon / lob-deep-learning
limit-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.
User: jeonghwan-cheon
financial-engineering deep-learning market-microstructure high-frequency-trading limit-order-book convolutional-neural-networks lstm transformer

jeonghwan-cheon / lob-world-models
limit-order-book,Implementation of the paper <Model-based Reinforcement Learning for Predictions and Control for Limit Order Books (Wei et al., J.P. Morgan AI Research, 2019)>.
User: jeonghwan-cheon
financial-engineering high-frequency-trading limit-order-book model-based-reinforcement-learning reinforcement-learning world-models market-microstructure

jialuechen / statsmaker
limit-order-book,Probabilistic Programming Language for Order Execution and Routing Modeling
User: jialuechen
quantitative-trading strategy-development market-microstructure probabilistic-programming pyro limit-order-book market-making transaction-cost-analytics price-impact optimal-execution

jmcph4 / calob
limit-order-book,Configurable Automated Limit Order Book
User: jmcph4
orderbook limit-order-book matching-engine matching-algorithm matchingengine matching order-book orders market-maker market-maker-bot

jmcph4 / ironlobe
limit-order-book,A fast price-time-quantity limit order book (LOB) matching engine written in Rust
User: jmcph4
order-book limit-order-book price-time-quantity matching-engine market auctions-simulation

jmcph4 / pyobsim
limit-order-book,A Python module for market simulation
User: jmcph4
python market-simulator order-book lob limit-order-book market fintech finance trading stock-market

juaanm0 / orderbook-heatmap
limit-order-book,
User: juaanm0
heatmap limit-order-book market-data orderbook-heatmap

kangoxford / volume-forecasting
limit-order-book,Time Series Prediction of Volume in LOB
User: kangoxford
limit-order-book time-series volume

kautenja / limit-order-book
limit-order-book,A C++ and Python implementation of the limit order book.
User: kautenja
Home Page: https://kautenja.github.io/limit-order-book/
limit-order-book matching-engine cpp python

kodagge / reinforcement-learning-for-market-making
limit-order-book,Using tabular and deep reinforcement learning methods to infer optimal market making strategies
User: kodagge
deep-learning deep-reinforcement-learning double-deep-q-network limit-order-book market-making q-learning reinforcement-learning

lebedov / nseindia_lob
limit-order-book,National Stock Exchange of India Limit Order Book Simulation
User: lebedov
simulation stock-market limit-order-book

leonardoberti00 / axial-lob-high-frequency-trading-with-axial-attention
limit-order-book,Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'
User: leonardoberti00
finance limit-order-book pytorch time-series

martinobdl / itch
limit-order-book,Nasdaq Order Book Reconstructor
User: martinobdl
nasdaq hft order-book limit-order-book

matteoprata / lobcast
limit-order-book,LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈
User: matteoprata
deep-learning fi-2010 finance limit-order-book lob stock-data stock-price-forecasting stock-price-prediction

miroblog / limit_orderbook_prediction
limit-order-book,
User: miroblog
limit-order-book machine-learning prediction lstm cnn-lstm keras

mjuchli / ctc-executioner
limit-order-book,Master Thesis: Limit order placement with Reinforcement Learning
User: mjuchli
openai-gym openai-gym-environment openai-gym-agents execution-strategy reinforcement-learning order-placement limit-order-book match-engine dqn q-learning

nicolezattarin / lob-feature-analysis
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.
User: nicolezattarin
lob trade limit-order-book

nkaz001 / hftbacktest
limit-order-book,A high-frequency trading and market-making backtesting tool 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
User: nkaz001
backtesting high-frequency-trading market-making backtesting-engine market-maker algotrading hft trading-bot algorithmic-trading backtesting-trading-strategies

orderbooktools / crobat
limit-order-book,Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.
Organization: orderbooktools
Home Page: https://pypi.org/project/crobat/
cryptocurrency limit-order-book market-microstructure market-microstructure-theory statistics quantitative-finance

p-casgrain / limitorderbook.jl
limit-order-book,A limit order book matching engine written in Julia
User: p-casgrain
julia finance limit-order-book matching-engine

pfei-sa / binance-lob
limit-order-book,Build your own historical Limit Order Book dataset
User: pfei-sa
binance cryptocurrency limit-order-book market-data financial-data high-frequency-data high-frequency-trading market-depth

phelps-sg / jasa
limit-order-book,JASA is a high-performance auction simulator written in JAVA. It is designed for performing experiments in agent-based computational economics.
User: phelps-sg
Home Page: http://jasa.sourceforge.net/
agent-based-modeling economics finance simulation multi-agent-systems limit-order-book computational-economics agent multi-agent-simulation computational-finance

phil8192 / limit-order-book
limit-order-book,Bitstamp real time console based limit order book
User: phil8192
bitcoin trading limit-order-book

phil8192 / ob-analytics
limit-order-book,R package intended for visualisation, analysis and reconstruction of limit order book data
User: phil8192
trading bitcoin visualisation limit-order-book r

phil8192 / shiny-ob-analytics
limit-order-book,obAnalytics Shiny front-end
User: phil8192
bitcoin limit-order-book visualisation r shiny

rober-t / apxr
limit-order-book,A platform for the testing and optimisation of trading algorithms.
User: rober-t
Home Page: https://approximatereality.com
limit-order-book alogrithmic-trading intra-day-orderflow agent-based-modeling mifid-ii elixir alpha

rorysroes / sgx-full-orderbook-tick-data-trading-strategy
limit-order-book,Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
User: rorysroes
high-frequency-trading limit-order-book python machine-learning feature-selection feature-engineering backtesting-trading-strategies model-selection trading-strategies quantitative-trading

s-razmi / deeplob
limit-order-book,DeepLOB Implementation on Bitcoin Perpetual Data
User: s-razmi
algorithmic-trading bitcoin deep-learning deeplob limit-order-book lob tensorflow

sadighian / crypto-rl
limit-order-book,Deep Reinforcement Learning toolkit: record and replay cryptocurrency limit order book data & train a DDQN agent
User: sadighian
bitfinex multiprocessing mongodb orderbook tick-data order-book limit-order-book hft multithreading recorder

silahian / visualhft
limit-order-book,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.
User: silahian
analytics market-analytics market-data tca trading trading-algorithms trading-platform csharp mvvm mvvm-architecture

tanvipotdar / lobmidpriceprediction
limit-order-book,Create a mid-price classifier for limit order books using a CNN and LSTM
User: tanvipotdar
limit-order-book cnn-classification lstm cnn-lstm rnn keras

thefebrin / limitorderbook
limit-order-book,Stock market predictions based on order books.
User: thefebrin
limit-order-book stock-market lob logistic-regression

toma-x / exploring-order-book-predictability
limit-order-book,Deep learning approach for market price prediction, in JAX
User: toma-x
Home Page: https://colab.research.google.com/github/toma-x/exploring-order-book-predictability/blob/main/Exploring-book-predictability.ipynb
binance bitcoin crypto cryptocurrency exchange hft high-frequency-trading limit-order-book order-book orderbook

yangfh2004 / rust-limit-order-book
limit-order-book,A limit order match engine and backend service with simple account management using RESTful API in Rust-lang.
User: yangfh2004
eip712 ethereum limit-order-book matching-engine restful-api trading-platform rust

zombie-einstein / bourse
limit-order-book,Rust Market Simulation Library with a Python API
User: zombie-einstein
Home Page: https://zombie-einstein.github.io/bourse/
agent-based-modeling agent-based-simulation finance multi-agent reinforcement-learning reinforcement-learning-environments stock-market python rust limit-order-book