There are 46 repositories under limit-order-book topic.
Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
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.
Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C
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.
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.
A C++ and Python implementation of the limit order book.
Master Thesis: Limit order placement with Reinforcement Learning
Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.
R package intended for visualisation, analysis and reconstruction of limit order book data
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.
Using tabular and deep reinforcement learning methods to infer optimal market making strategies
Bitstamp real time console based limit order book
Ultra-fast Node.js Limit Order Book for high-frequency trading (HFT) :rocket::rocket:
Limit Order Book Implemented in Python
Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio (Sangadiev et al., 2020), etc.
Time Series Prediction of Targets in LOB
Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.
LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈
Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill (2021).
Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'
National Stock Exchange of India Limit Order Book Simulation
HFT backtest-engine for LOB data.
A limit order book matching engine written in Julia
Build your own historical Limit Order Book dataset
Building a fast matching engine in Rust for efficient processing of an ITCH order book.
Binance Limit Order Book Recorder
Simulated markets based on Zero-Intelligence agent