Adam Lansky's repositories
adamlansky
Config files for my GitHub profile.
CORAD
CORAD: Correlation-Aware Compression of Massive Time Series using Sparse Dictionary Coding
CTA-strategies
Backtest result archive for Momentum Trading Strategies
DeepLOB-Model-Implementation-Project
This repo contains some codes and outputs of my implementation of DeepLOB model.
dtaidistance
Time series distances: Dynamic Time Warping (fast DTW implementation in C)
factors
issa useless copy pasta, use them at ur own risk
HFT
AS MM Inspired Models
HFT-Orderbook
Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C
HFT-price-prediction
A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.
hftbacktest
A high-frequency trading and market-making backtesting tool accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books.
LOB-Modeling
MM Models
hft-server-settings
Collection of tidbits for HFT server config.
MicroPriceIndicator
This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in the paper for US equities BAC and CVX, I am using the data for the Crypto pair ETHBTC. The data was pulled by me from Binance by subscribing to three different streams - Market Trades, Partial Depth and Orderbook Snapshot. Then these were combined to form the order-book and analysis done on the same.
OrderBook
Matching Engine for Limit Order Book
peregrine
Detects arbitrage opportunities across 131 cryptocurrency exchanges in 50 countries
performance
Collection of documents related tunings for performance of Java low-latency trading systems: from hardware up to application level
PyLimitBook
Python implementation of fast limit-order book.
PythonMatchingEngine
High performance trading Matching Engine / Market Simulator using Level 3 Market Data for realistic simulation of High Frequency Trading Strategies
redis-matching-engine-server
Implement exchange matching engine by lua script, run in redis
redis_fdw
A PostgreSQL foreign data wrapper for Redis
rotala
Backtesting engine written in Rust
soft-dtw-divergences
An implementation of soft-DTW divergences.
tectonicdb
Database for L2 orderbook
ThymeBoost
Forecasting with Gradient Boosted Time Series Decomposition
tmux_config
A repo to store my tmux config
TradingGym
Trading and Backtesting environment for training reinforcement learning agent or simple rule base algo.