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limit-order-book

Here are 38 public repositories matching this topic...

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

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

python machine-learning trading feature-selection model-selection quant trading-strategies investment market-maker feature-engineering algorithmic-trading backtesting-trading-strategies limit-order-book quantitative-trading orderbook market-microstructure high-frequency-trading market-making orderbook-tick-data

Updated Feb 14, 2017
Jupyter Notebook

Crypto-toolbox / HFT-Orderbook

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Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C

c avl-tree python3 self-balancing-trees bst limit-order-book orderbook order-management doubly-linked-list high-frequency-trading

Updated Sep 2, 2018
C

sadighian / crypto-rl

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Deep Reinforcement Learning toolkit: record and replay cryptocurrency limit order book data & train a DDQN agent

Updated Jul 22, 2021
Python

mjuchli / ctc-executioner

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Master Thesis: Limit order placement with Reinforcement Learning

reinforcement-learning openai-gym q-learning dqn market-maker limit-order-book openai-gym-agents openai-gym-environment match-engine execution-strategy order-placement

Updated Aug 22, 2018
Jupyter Notebook

ob-analytics

phil8192 / ob-analytics

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R package intended for visualisation, analysis and reconstruction of limit order book data

r bitcoin trading visualisation limit-order-book

Updated Mar 3, 2019
R

limit-order-book

phil8192 / limit-order-book

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Bitstamp real time console based limit order book

bitcoin trading limit-order-book

Updated Mar 1, 2021
Java

martinobdl / ITCH

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Nasdaq Order Book Reconstructor

hft nasdaq order-book limit-order-book

Updated Jul 25, 2020
C++

miroblog / limit_orderbook_prediction

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machine-learning keras prediction lstm limit-order-book cnn-lstm

Updated Jun 8, 2021
Python

ChuaCheowHuan / gym-continuousDoubleAuction

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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.

lstm quantitative-finance ray limit-order-book quantitative-trading financial-engineering market-microstructure zero-sum high-frequency-trading gym-environment ppo self-play double-auction multi-agent-reinforcement-learning rllib marl n-player zero-sum-games

Updated Jun 8, 2021
Jupyter Notebook

phil8192 / shiny-ob-analytics

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obAnalytics Shiny front-end

r bitcoin shiny visualisation limit-order-book

Updated Jul 17, 2018
R

scalpl

adlai / scalpl

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CODE REMARKS READ 2DUP GOOD LUCK BYE! (if you need to contact the author, there are "GitHub Issues", email addresses, and most likely half a dozen excessive ways; use ONE, and wait a week)

limit-order-book volatility-harvester games-against-nature

Updated Jun 23, 2021
Common Lisp

abcabhishek / PyLimitOrderBook

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Limit Order Book Implemented in Python

python hft hft-trading limit-order-book orderbook high-frequency-trading

Updated Jan 3, 2018
Python

Kautenja / limit-order-book

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A C++ and Python implementation of the limit order book.

python cpp limit-order-book matching-engine

Updated Jul 7, 2020
C++

lebedov / nseindia_lob

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National Stock Exchange of India Limit Order Book Simulation

simulation stock-market limit-order-book

Updated Oct 1, 2020
Python

Rober-t / apxr

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A platform for the testing and optimisation of trading algorithms.

elixir agent-based-modeling alpha limit-order-book mifid-ii alogrithmic-trading intra-day-orderflow

Updated Jul 30, 2019
Elixir

jmcph4 / PyOBSim

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A Python module for market simulation

python finance simulator trading market simulation fintech stock-market stock-price-prediction lob market-simulator order-book limit-order-book

Updated Jan 1, 2019
Python

drewstone / gym-trading

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Reinforcement learning environment for trading

reinforcement-learning cryptocurrency limit-order-book market-microstructure

Updated Jan 27, 2018
Python

HKUST-DB-Capstone2020 / Market-Agent-Simulation

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Simulated markets based on Zero-Intelligence agent

limit-order-book trading-strategy-simulator order-management-system zero-intelligence-agent

Updated Jun 12, 2020
Python

dmitry-r / binance-lob-recorder

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Binance Limit Order Book Recorder

crypto cryptocurrency limit-order-book binance

Updated Jun 18, 2021
Python

tanvipotdar / LOBMidPricePrediction

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Create a mid-price classifier for limit order books using a CNN and LSTM

keras lstm rnn limit-order-book cnn-classification cnn-lstm

Updated Apr 24, 2020
Jupyter Notebook

eliquinox / jLOB

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L3 Order Book and Matching Engine Implementaion in Java

trading low-latency limit-order-book matching-engine high-frequency-trading

Updated Sep 8, 2020
Java

orderbooktools / crobat

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

statistics cryptocurrency quantitative-finance limit-order-book market-microstructure market-microstructure-theory

Updated Jul 21, 2021
Python

Vishwesh4 / BDC_shaastra

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Used LSTM in Big Data Challenge competiton hosted by Shaastra IIT Madras. Won the second prize

competition lstm labelling limit-order-book price-movement mid-prices

Updated Jan 22, 2019
Jupyter Notebook

awilliea / Risk-based_RL_for_Optimal_Trading_Execution

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reinforcement-learning trading-bot multi-objective limit-order-book ddqn gym-environment reward-shaping execution-strategy order-placement tf-agents optimal-trading-execution morl

Updated Sep 18, 2020
Python

jmcph4 / ironbook

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Fast price-time-quantity LOB in C11

market matching quant lob quantitative-finance order-book limit-order-book matching-engine orderbook ecn market-microstructure qu

Updated Jul 4, 2019
C

TheFebrin / LimitOrderBook

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Stock market predictions based on order books.

stock-market logistic-regression lob limit-order-book

Updated Feb 3, 2020
Jupyter Notebook

jonasdepaolis / backtest-lib

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HFT backtest-engine for LOB data.

market-data limit-order-book high-frequency-trading trading-strategy backtest-engine

Updated Jun 21, 2021
Python

jmcph4 / ironlobe

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A fast price-time-quantity limit order book (LOB) matching engine written in Rust

market order-book limit-order-book matching-engine auctions-simulation price-time-quantity

Updated Apr 4, 2020
Rust

tommyqqt / matching-engine

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java finance low-latency limit-order-book matching-engine orderbook

Updated Oct 13, 2020
Java

phelps-sg / jasa

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JASA is a high-performance auction simulator written in JAVA. It is designed for performing experiments in agent-based computational economics.

agent finance simulation economics agent-based-modeling limit-order-book multi-agent-systems orderbook computational-finance computational-economics multi-agent-simulation

Updated Mar 21, 2018
Java

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