orderbook

There are 22 repositories under orderbook 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 1871

• danpaquin / coinbasepro-python

  The unofficial Python client for the Coinbase Pro API

  bitcoincbprocoinbasecoinbaseprocoinbasepro-apiethereumexchangelibarayorderbookpython-clienttradingwebsocket-clientwrapper
  Language:Python 1819

• Crypto-toolbox / HFT-Orderbook

  Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C

  python3high-frequency-tradingorder-managementorderbookbstavl-treedoubly-linked-listself-balancing-treeslimit-order-bookc
  Language:C 972

• uniswap-python / uniswap-python

  🦄 The unofficial Python client for the Uniswap exchange.

  ammapicryptocurrencydecentralized-exchangedefidexethethereumexchangeorderbooktradetradingtrading-apiuniswapuniswap-apiuniswap-exchangeuniswap-pythonwrapper
  Language:Python 912

• coinbase / coinbase-pro-node

  DEPRECATED — The official Node.js library for Coinbase Pro

  gdaxgdax-apiorderbooktradebitcoinethereumtradingtrading-apicoinbase
  Language:JavaScript 837

• 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 829

• chronoxor / CppTrader

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

  itchlow-latencymatching-enginenasdaqorder-bookorderbookperformancetrading
  Language:C++ 774

• alpacahq / example-hftish

  Example Order Book Imbalance Algorithm

  alpacaasyncasynciofinancehfthft-tradingnats-streamingnumpyorderbookpythonpython3real-timetradingtrading-algorithms
  Language:Python 733

• 0b01 / tectonicdb

  Database for L2 orderbook

  cryptocurrencyhfthigh-frequency-tradingorderbooktrading
  Language:Rust 664

• purefinance / mmb

  Trading bot implemented in Rust, with market making and strategy automation for any exchange or blockchain.

  botcryptocryptocurrencymarketmakermarketmakingorderbookrustrust-langserumtrading-bottrading-strategies
  Language:Rust 495

• gitbitex / gitbitex-spot

  An Open Source Cryptocurrency Exchange

  orderbookmatching-enginecryptocurrency-exchangescryptocurrencybtcbitcoincoinbasebitfinex
  Language:Go 483

• i25959341 / orderbook

  Matching Engine for Limit Order Book in Golang

  exchangetradingorderbookexecution-engine
  Language:Go 416

• 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.

  orderbookorder-booklimit-order-bookorderbook-tick-dataheatmaphigh-frequency-tradingcryptocurrencyheapmapd3d3jsmarket-data
  Language:JavaScript 368

• dgtony / orderbook-rs

  Basic order matching engine written in Rust

  matching-engineorderbookrusttrading-systems
  Language:Rust 366

• robaho / go-trader

  financial exchange written in Go, designed for algorithmic trading tests

  cuiexchangefinancial-exchangefixgolanggrpcgrpc-gohtmlmarketdatamulticastorderbookquickfixquickfixgotradetrading-algorithmstrading-strategies
  Language:Go 357

• hollaex / hollaex-kit

  Exchange Starter Kit to run your own Digital Asset Trading Exchange Platform

  exchangecryptodigital-assettrading-platformcryptocurrencybuild-toolshollaexhollaex-kithollaex-cliorderbook
  Language:JavaScript 320

• gavincyi / LightMatchingEngine

  A very light matching engine in Python.

  orderbooktradingmatching-engineorderhft-trading
  Language:Python 317

• tardis-dev / tardis-node

  Convenient access to tick-level real-time and historical cryptocurrency market data via Node.js

  historical-datacryptocurrency-exchangescryptocurrency-apiorderbooktradingexchangemarket-databitmexorderbook-tick-datareal-timewebsocketasync-iterablederibitbinancebitmex-apibitmexbotarbitrageccxtbtceth
  Language:TypeScript 284

• nkaz001 / algotrading-example

  algorithmic trading backtest and optimization examples using order book imbalances. (bitcoin, cryptocurrency, bitmex, binance futures, market making)

  algo-tradingalgo-trading-strategiesalgorithm-tradingalgorithmic-trading-backtestsalgotradingalgotrading-resourcesbinance-botbinance-futuresbinance-trading-botbitcoin-tradingbitcoin-trading-botbitmex-botcryptocurrency-tradingcryptocurrency-trading-strategiesorderbookorderbook-imbalancetradingtrading-algorithmstrading-bottrading-strategies
  Language:Jupyter Notebook 273

• mihailgaberov / orderbook

  :book: An Order Book app built with React/Typescript and powered by WebSockets.

  orderbookreactreduxtypescriptwebsockets
  Language:TypeScript 262

• bmoscon / orderbook

  A fast L2/L3 orderbook data structure, in C, for Python

  orderbooktradingpythoncpython-c-extensionpython-extensionfinance
  Language:Python 245

• tardis-dev / tardis-machine

  Locally runnable server with built-in data caching, providing both tick-level historical and consolidated real-time cryptocurrency market data via HTTP and WebSocket APIs

  historical-datahistorical-cryptocurrency-pricescryptocurrency-apiorderbookdata-feedsccxtbitmexwebsocket-endpointsorderbook-tick-dataderibitbinancearbitragebtcethereumreal-time-data
  Language:TypeScript 236

• PierreRochard / coinbase-exchange-order-book

  Real-time Coinbase Exchange (GDAX) order book + basic market maker bot

  coinbasecoinbase-apigdaxgdax-apigdax-pythonorderbooktradingtrading-botasynciopythonpython-3python3
  Language:Python 225

• alexey-ernest / go-hft-orderbook

  Golang implementation of a Limit Order Book (LOB) for high frequency trading in crypto exchanges

  hfttradingorderbookgolangcryptocurrencycryptoexchange
  Language:Go 202

• ProofSuite / amp-matching-engine

  Official proof decentralized exchange matching engine

  blockchaindecentralized-exchangeethereumgomatching-engineorderbooksmart-contract
  Language:Go 199

• binance / binance-websocket-examples

  Example code in Nodejs that demonstrate how to subscribe to Binance Websocket server.

  apibinanceorderbookwebsocket
  Language:JavaScript 150
• 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# 134

• fasenderos / hft-limit-order-book

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

  exchangehfthft-tradinglimit-order-bookmatching-algorithmmatching-enginenodejsorder-bookorderbooktradingtypescript
  Language:TypeScript 128

• tiagosiebler / orderbooks

  Simple utility classes to handle orderbook snapshot & delta events in node.js, with examples for Bybit & Binance.

  binancebybittradingcryptocurrencyorderbookorderbookswebsocketsbitmexbotscryptocurrency-exchangescryptonodejs
  Language:TypeScript 117

• tardis-dev / tardis-python

  Python client for tardis.dev - historical tick-level cryptocurrency market data replay API.

  historical-dataorderbookorderbook-tick-datacryptocurrency-apicryptocurrency-prices
  Language:Python 108

• rubik / lobster

  A fast in-memory limit order book (LOB).

  algotradinghftorderbook
  Language:Rust 106

• timothyyu / gdax-orderbook-ml

  Application of machine learning to the Coinbase (GDAX) orderbook

  gdaxkerastensorflowmachine-learningbitcoinlstmgruorderbooktradingcandlesticksquantitative-financequantitative-tradingrecurrent-neural-networksdeep-neural-networkscudacoinbasecoinbase-procoinbaseproorderbook-snapshots
  Language:Jupyter Notebook 93

• abcabhishek / PyLimitOrderBook

  Limit Order Book Implemented in Python

  limit-order-bookhigh-frequency-tradinghfthft-tradingorderbookpython
  Language:Python 88

• sanzol-tech / ai-trader

  Trading signals and cryptocurrency trading tool for Binance Futures

  binancebinance-apibinance-futurescrypto-signalcrypto-tradingcryptocurrencyorderbooksignalstradingtrading-botorderbook-analyser
  Language:Java 83

• RickWong / bitmex-orderbook

  The fastest order book implementation for the BitMEX WebSocket API.

  bitmexblockchaincryptocurrenciesexchangeorderbookpromisewebsocket
  Language:JavaScript 75

• Ameobea / cryptoviz

  A web-based Depth-Of-Market visualization for data of the Poloniex cryptocurrency exchange.

  cryptocurrencyfinanceorderbookpoloniexvisualizer
  Language:JavaScript 73