Dylan McKendry's repositories
ascendex-pro-api
AscendEx Pro API Documentation
DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books
This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", published in IEEE Transactions on Singal Processing. We use FI-2010 dataset and present how model architecture is constructed here. The FI-2010 is publicly avilable and interested readers can check out their paper.
feature-engineering-tutorials
Data Science Feature Engineering and Selection Tutorials
financial-machine-learning
A curated list of practical financial machine learning tools and applications.
GodaddyWrapper.Net
.Net GoDaddy API Wrapper in C#
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.
Informer2020
The GitHub repository for the paper "Informer" accepted by AAAI 2021.
keras-tcn
Keras Temporal Convolutional Network.
LOB-feature-analysis
Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.
machine-learning-for-trading
Code for Machine Learning for Algorithmic Trading, 2nd edition.
qlib
Qlib is an AI-oriented quantitative investment platform that aims to realize the potential, empower research, and create value using AI technologies in quantitative investment, from exploring ideas to implementing productions. Qlib supports diverse machine learning modeling paradigms. including supervised learning, market dynamics modeling, and RL.
shap
A game theoretic approach to explain the output of any machine learning model.
strava-tokengen
A simple OAuth token generator for the Strava API
stravaweblib
Extends the Strava v3 API using web scraping
time-series-transformers-review
A professionally curated list of awesome resources (paper, code, data, etc.) on transformers in time series.
trading-momentum-transformer
This code accompanies the the paper Trading with the Momentum Transformer: An Intelligent and Interpretable Architecture (https://arxiv.org/pdf/2112.08534.pdf).
VisualHFT
GUI for enterprise level high frequency trading systems, making focus on visualizing market microstructure analytics, such Limit Order Book dynamic, latencies, execution quality, and other analytics. WPF & C#
waka-box
📊 Update a pinned gist to contain your weekly WakaTime stats