order-book

There are 21 repositories under order-book topic.

• exchange-core

  exchange-core / exchange-core

  Ultra-fast matching engine written in Java based on LMAX Disruptor, Eclipse Collections, Real Logic Agrona, OpenHFT, LZ4 Java, and Adaptive Radix Trees.

  trading-platformtrading-apilmax-disruptormatching-enginebitcoinjavahfthft-tradinglow-latencylock-freeexchangeforex-tradingstock-marketstock-tradingstock-exchangeorder-bookexchange-apimatching-algorithmcryptocurrencycryptocurrency-exchanges
  Language:Java 2095

• sadighian / crypto-rl

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

  bitfinexmultiprocessingmongodborderbooktick-dataorder-booklimit-order-bookhftmultithreadingrecorderarctictickstorecoinbase-procoinbasedeep-reinforcement-learningdqncryptocurrenciestradingtrading-algorithmsbitcoin
  Language:Python 857

• chronoxor / CppTrader

  High performance components for building Trading Platform such as ultra fast matching engine, order book processor

  low-latencyperformancetradingmatching-engineorderbookorder-booknasdaqitch
  Language:C++ 827
• adamant-tradebot

  Adamant-im / adamant-tradebot

  Free self-hosted market-making software for cryptocurrency projects and exchanges. Makes trade volume, maintains spread and liquidity/depth, set price range, and builds live-like dynamic order book.

  exchangecrypto-exchangestradesprice-watchingliquidityspreadcryptocurrencycryptoorder-booktrade-volumemarket-makingtradetradingbitcoinblockchainadamantadmtrading-botp2pb2bazbit
  Language:JavaScript 560

• Elenchev / order-book-heatmap

  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.

  cryptocurrencyd3d3jsheapmapheatmaphigh-frequency-tradinglimit-order-bookmarket-dataorder-bookorderbookorderbook-tick-data
  Language:JavaScript 390

• martinobdl / ITCH

  Nasdaq Order Book Reconstructor

  hftlimit-order-booknasdaqorder-book
  Language:C++ 228

• fasenderos / nodejs-order-book

  Ultra-fast Node.js Order Book written in TypeScript for high-frequency trading (HFT) :rocket::rocket:

  exchangehfthft-tradinglimit-order-bookmatching-algorithmmatching-enginenodejsorder-bookorderbooktradingtypescriptlow-latencyperformancetrading-algorithmsnodejs-order-book
  Language:TypeScript 146
• order-matcher

  ArjunVachhani / order-matcher

  simple, fast and feature rich order matching engine supports limit, market, stop-loss, iceberg, IOC, FOK, GTD orders

  stocks-exchangetrading-engineorderbookorder-bookorder-matchingmatching-enginecryptocurrencytradingstockscryptocurrency-exchangesdotnetdotnet-core
  Language:C# 140

• jialuechen / pytca

  Python Library for Transaction Cost Analysis (TCA)

  statisticsalgorithmic-tradinghigh-frequency-dataquantitative-financeorder-bookreinforcement-learningprice-impactdata-sciencebest-executionpropagatorpythonlimit-order-bookgpujax
  Language:Python 133

• mkipnis / DistributedATS

  DistributedATS is a FIX Protocol based multi matching engine exchange(CLOB) that integrates QuickFIX and LiquiBook over DDS

  fixfixprotocolmatchingenginefixgatewayalgotradinghft-tradinghftorderbookmarketdataclobmatching-enginemarketquickfixorder-bookmatching-enginescryptocrypto-exchangedarkpooldarkpools
  Language:C++ 68

• aux-exchange / aux-exchange

  https://aux.exchange/

  ammaptosclobdefiorder-bookblockchainsui
  Language:JavaScript 51

• ericbudish / HFT-Races

  Code package to analyze high-frequency trading (HFT) races using financial-exchange message data, following Aquilina, Budish and O'Neill (2021).

  pythonrfinancetradinghigh-frequency-tradinghftsnipinglatency-arbitragestock-exchangefinancial-exchangemarket-designmessage-datalimit-order-bookorder-bookexchangesalgorithmic-tradingbots
  Language:Python 45

• tolyo / open-outcry

  A multi-asset matching engine for market places of all sizes

  matching-enginecryptoexchangemarket-simulatorstock-market-simulatorcrypto-exchangecrypto-exchange-softwareorder-matching-systemorder-matchingorder-book
  Language:Go 41

• GunnarPDX / Nice-Charts

  📊🎨 Nice looking financial chart examples.

  balancecandlestick-chartcandlestickschartcorrelation-matrixcorrelation-matrix-chartfinancefinancial-chartsfinancial-graphorder-bookorderbook
  Language:JavaScript 36

• hroptatyr / clob

  Simple limit order book and matching engine.

  matching-engineorder-bookc
  Language:C 30

• toma-x / exploring-order-book-predictability

  Deep learning approach for market price prediction, in JAX

  binancebitcoincryptocryptocurrencyexchangehfthigh-frequency-tradinglimit-order-bookorder-bookorderbooktrading
  Language:Jupyter Notebook 29

• kiwaa / exchange-core-dotnet

  trading-platformtrading-apilmax-disruptormatching-enginebitcoindotnethfthft-tradinglow-latencylock-freeexchangeforex-tradingstock-tradingstock-exchangeorder-bookexchange-apimatching-algorithmcryptocurrencycryptocurrency-exchanges
  Language:C# 24

• jmcph4 / PyOBSim

  A Python module for market simulation

  pythonmarket-simulatororder-bookloblimit-order-bookmarketfintechfinancetradingstock-marketstock-price-predictionsimulationsimulator
  Language:Python 23

• comeh / LOB_AlgoTrading

  Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.01446

  order-bookquantization
  Language:C++ 19

• jovinjijo / se

  A very simplified implementation of a stock exchange.

  stockexchangestockstockssharemarketsharesequitystock-exchangetradingtrading-platformstock-marketcrypto-exchangecryptocurrency-exchangesorder-book
  Language:TypeScript 18

• ismailfer / dukascopy-api-websocket

  Spring Boot Dukascopy API (Rest API and Websockets) for Market Data feed, Historical Data, Account Data feed and Instruments, and can place orders

  algo-trading-strategiesalgorithmsdukascopyforexmarket-data-feedsorder-bookrest-apispring-bootstrategywebsocketstop-of-bookdockerkubernetes
  Language:Java 17

• jmcph4 / ironlobe

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

  auctions-simulationlimit-order-bookmarketmatching-engineorder-bookprice-time-quantity
  Language:Rust 14

• dougkna / order-book

  A basic bid/ask spread trading simulation

  biddingstockstradingsimulationlimit-orderorder-book
  Language:JavaScript 13

• kasselouris / CppTrader

  Diploma Thesis - High performance components for building a Trading Platform such as an ultra fast Matching Engine and Order Book Processor

  performancetradingmatching-enginelow-latencynasdaqorder-bookorderbookitchtrading-platformcpp
  Language:C++ 13

• jmcph4 / calob

  Configurable Automated Limit Order Book

  orderbooklimit-order-bookmatching-enginematching-algorithmmatchingenginematchingorder-bookordersmarket-makermarket-maker-botmarket-simulatormarket-analysis
  Language:Rust 11

• mental32 / exchange-orderbook

  A Full-stack, Auction-market, Spot-exchange written in Rust.

  bitcoincryptocurrencycryptocurrency-exchangesexchangeexchange-apihfthft-tradinglock-freelow-latencymatching-engineorder-bookruststock-markettrading-apitrading-platform
  Language:Rust 11

• rapmd73 / fwoba

  Frequency Weighted OrderBook Analysis

  algorithmic-tradingbid-askfinancial-dataliquidity-assessmentmarket-manipulationmarket-sentimentorder-bookprice-discoverypythonrisk-managementsupport-and-resistancetechnical-analysistrading-analysistrading-education
  Language:Python 8

• thenameisajay / crypto-order-book

  This is a real-time order book visualization application for cryptocurrency trading. It uses a WebSocket connection to fetch live order book data from a mock API and displays the top 5 bids and asks for the selected cryptocurrency and exchange.

  cryptocurrencycyrptodata-visualizationfinanceorder-bookreal-timet3-stacktradingwebsocketlearn
  Language:TypeScript 7

• shuyinggg / OrderBookWebsite

  vuejs2bootstap-vueorder-bookd3-js
  Language:Vue 6

• jmcph4 / ironbook

  Fast price-time-quantity LOB in C11

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

• webmass / order-book

  Responsive Real-Time Order Book

  cypressemotionfinancejestnextjsorder-bookreactreal-timeresponsivetypescriptwebsocket
  Language:TypeScript 5

• akononovicius / herding-OB-model

  Implementation of the order book model with herd behavior.

  agent-based-modelingorder-booktypescript
  Language:TypeScript 4

• alexrichterxyz / research_limit_order_book

  This C++ matching engine boasts a user friendly, efficient, yet highly customizable interface making it ideal for simulation and research purposes.

  researchtradingcpluspluslimit-order-bookmatching-engineorder-booksimulationcpp
  Language:C++ 4

• ismailfer / exchange-simulator

  Exchange Simulator using Spring Boot, RestAPI, and Websockets for Order Placement, Order and Trade events, and Market Data events

  concurrencycryptocurrencyexchangeexchange-simulatorjavalow-latencymarket-data-feedsmultithreadingomsorder-bookrestapiwebsockets
  Language:Java 4

• ThomasVestergaard / MemExchange-dotnetcore

  C# (.NET core 2.1) container friendly in-memory stock exchange. Client-Server architecture.

  containerdockerdotnet-coredotnetcoreexchangelimit-ordermarket-orderorder-bookserver-client-communicationstock-exchange
  4

• gameofdatas / orderbook

  Order Book Programming Problem

  fxgolangorder-book
  Language:Go 3