market-microstructure

There are 19 repositories under market-microstructure topic.

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

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

  high-frequency-tradinglimit-order-bookpythonmachine-learningfeature-selectionfeature-engineeringbacktesting-trading-strategiesmodel-selectiontrading-strategiesquantitative-tradingalgorithmic-tradinginvestmentorderbook-tick-dataquanttradingmarket-makingmarket-makermarket-microstructureorderbook
  Language:Jupyter Notebook 1916
• VisualHFT

  silahian / VisualHFT

  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.

  analyticsmarket-analyticsmarket-datatcatradingtrading-algorithmstrading-platformcsharpmvvmmvvm-architecturemvvm-patternwpfwpf-applicationwpf-uihigh-frequency-tradinghigh-frequency-analyticslimit-order-bookmarket-microstructureorderbook-tick-datahigh-frequency-data
  Language:C# 729

• ChuaCheowHuan / gym-continuousDoubleAuction

  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.

  multi-agent-reinforcement-learninggym-environmentlimit-order-bookhigh-frequency-tradingrayrllibmarket-microstructurefinancial-engineeringself-playdouble-auctionppozero-sum-gameszero-sumquantitative-financequantitative-tradingmarln-playerlstm
  Language:Jupyter Notebook 138

• jialuechen / statsmaker

  Probabilistic Programming Language for Order Execution and Routing Modeling

  limit-order-bookmarket-makingmarket-microstructureoptimal-executionprice-impactprobabilistic-programmingpyroquantitative-tradingstrategy-developmenttransaction-cost-analytics
  Language:Python 111

• FinancialComputingUCL / LOBFrame

  We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.

  deep-learningfinancial-marketshigh-frequency-datalimit-order-bookmarket-microstructureresearch-papereconophysics
  Language:Python 94

• Jeonghwan-Cheon / lob-deep-learning

  Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio (Sangadiev et al., 2020), etc.

  financial-engineeringdeep-learningmarket-microstructurehigh-frequency-tradinglimit-order-bookconvolutional-neural-networkslstmtransformer
  Language:Python 85

• orderbooktools / crobat

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

  cryptocurrencylimit-order-bookmarket-microstructuremarket-microstructure-theorystatisticsquantitative-finance
  Language:Jupyter Notebook 46

• coorung / Finance-World

  Optimization techniques on the financial area for the hedging, investment starategies, and risk measures

  financefinancial-engineeringmarket-microstructurerisk-managementreinforcement-learningmachine-learningdeep-learningdeep-reinforcement-learning
  Language:Jupyter Notebook 41

• monty-se / PINstimation

  A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992) and Easley et al. (1996); Multilayer PIN (MPIN) in Ersan (2016); Adjusted PIN (AdjPIN) in Duarte and Young (2009); and volume-synchronized PIN (VPIN) in Easley et al. (2011, 2012). Implementations of various estimation methods suggested in the literature are included. Additional compelling features comprise posterior probabilities, an implementation of an expectation-maximization (EM) algorithm, and PIN decomposition into layers, and into bad/good components. Versatile data simulation tools, and trade classification algorithms are among the supplementary utilities. The package provides fast, compact, and precise utilities to tackle the sophisticated, error-prone, and time-consuming estimation procedure of informed trading, and this solely using the raw trade-level data.

  clustering-analysisexpectation-maximisation-algorithmhierarchical-clusteringinformation-asymmetrymarket-microstructuremaximum-likelihood-estimationmixture-distributionspoisson-distribution
  Language:R 31

• drewstone / gym-trading

  Reinforcement learning environment for trading

  market-microstructurereinforcement-learninglimit-order-bookcryptocurrency
  Language:Python 15
• financial_response_spread_year

  juanhenao21 / financial_response_spread_year

  Price response function and spread impact analysis in correlated financial markets

  econophysicstotalview-itchnasdaq-itchnasdaq-taqmarket-microstructuremarket-analysisfinancial-data
  Language:Jupyter Notebook 15

• Jeonghwan-Cheon / lob-world-models

  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)>.

  financial-engineeringhigh-frequency-tradinglimit-order-bookmodel-based-reinforcement-learningreinforcement-learningworld-modelsmarket-microstructure
  Language:Jupyter Notebook 6

• jmcph4 / ironbook

  Fast price-time-quantity LOB in C11

  orderbooklimit-order-bookorder-bookmarketmatchingmatching-engineecnmarket-microstructureququantitative-financequantlob
  Language:C 5

• kidwai / papers

  some useful papers.

  cryptographydecentralized-financedistributed-computinggraph-theorymarket-microstructureoptions-pricingtheory-of-computation
  5

• emmajy-li / empirical-assignment

  A collection of sample codes designed as assignments for students taking Market Microstructure

  market-microstructurestock-price-prediction
  Language:R 3

• juanhenao21 / forex_response_spread_year

  Price response function and spread impact analysis in foreign exchange markets

  econophysicshistdatamarket-microstructuremarket-analysisforex-data
  Language:TeX 2

• simonsays1980 / bayespin

  An R package for Bayesian estimation of the probability of informed trading.

  pinmarket-microstructurefinite-mixture-modelsbayesian
  Language:R 2

• Kaleckian / lob_ssc_binance

  Project presented as a partial fullfilment requirement for the Cardano Developer Professional (CDP) program. An implementation of the Stochastic Supply Curve (Çetin, Jarrow & Protter, 2006) based on Blais & Protter (2010), Árdal (2013) and Hossaka (2018) approaches through Binance's API endpoint live feed data.

  binance-apimarket-microstructureorder-bookstochastic-supply-curve
  Language:Haskell 1

• NiklasLandsberg / Webscrape-ESMA-Equity-Transparency-Report

  The code is to webscrape ESMA's Equity Transparency table for equities.

  esmamarket-microstructureseleniumtransparency-reportwebscraping
  Language:Jupyter Notebook 1

• SakethAleti / Senior-Thesis-PFOF

  Code for my senior thesis: "The Effect of Payment for Order Flow on Order Routing to Market Centers"

  financial-economicsmarket-microstructure
  Language:Jupyter Notebook 1

• Tommylee1013 / QUANTIFI

  Quantifi Sogang

  financefinancial-analysisfinancial-datafinancial-engineeringfinancial-machine-learningfinancial-marketsmachine-learningmarket-microstructurepythonpython-basictime-seriestime-series-analysis
  Language:Python 1