orderbook-tick-data

There are 17 repositories under orderbook-tick-data 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

• nkaz001 / hftbacktest

  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, with real-world crypto market-making examples for Binance Futures

  algorithmic-tradingalgotradingbacktestingbacktesting-enginebacktesting-trading-strategiesbinancebinance-futurescrypto-botcrypto-tradinghfthigh-frequency-tradinglimit-order-bookmarket-makermarket-makingorderbook-tick-dataorderbooksquantitative-tradingtrading-algorithmstrading-bottrading-simulator
  Language:Rust 1594
• 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# 706

• 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

• tardis-dev / tardis-node

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

  arbitrageasync-iterablebinancebitmexbitmex-apibitmexbotbtcccxtcryptocurrency-apicryptocurrency-exchangesderibitethexchangehistorical-datamarket-dataorderbookorderbook-tick-datareal-timetradingwebsocket
  Language:TypeScript 284

• bradleyboyuyang / ML-HFT

  High frequency trading (HFT) framework built for futures using machine learning and deep learning techniques

  high-frequency-tradingmachine-learningdeep-learningorderbook-imbalanceorderbook-tick-datafutures
  Language:Jupyter Notebook 258

• 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

• 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

• nkaz001 / collect-binancefutures

  Collect BinanceFutures's trade and orderbook(depth) feeds.

  binancecollectorfeedsorderbook-tick-dataorderbook-websocket
  Language:Python 91

• crypto-lake / analysis-sharing

  Sharing quantitative analyses on Crypto Lake data

  backtestingcryptocurrencyhummingbotquantitative-financecrypto-pythonorderbookorderbook-tick-dataquanttrading
  Language:Jupyter Notebook 51

• Marfusios / crypto-websocket-extensions

  🧰 Unified and optimized data structures across cryptocurrency exchanges

  cryptocurrencybitcoinexchangewebsocketwebsocketsextensionsclientreactiveorderbookorderbook-tick-dataorderbook-websocketdata-structures
  Language:C# 40

• crypto-lake / lake-api

  Python API for accessing Lake high frequency tick trades & order book data

  cryptocurrencycryptocurrency-apidata-providermarket-datamarket-data-servicetrading-strategiescrypto-trading-strategiesdatasetorderbookorderbook-dataorderbook-snapshotsorderbook-tick-dataquantquantitative-financequantitative-tradingtick-databacktestingcrypto-python
  Language:Python 22

• nkaz001 / data-tardis

  Process tardis.dev cryptocurrency data, reconstructing the market depth and computing imbalance.

  tardiscryptocurrencyorderbookorderbook-tick-datatrading-strategiesdataprocessing
  Language:Jupyter Notebook 17

• aoki-h-jp / binance-bulk-downloader

  A Python library to efficiently and concurrently download historical data files from Binance. Supports all asset types (spot, USDT-M, COIN-M, options) and all data frequencies.

  binancebulk-downloadcryptocurrencydownloaderhistorical-dataklinesorderbook-tick-datafundingrateliquidationopeninterest
  Language:Python 16

• phelps-sg / scobre

  Scala OrderBook Reconstructor for high-frequency order-flow data

  hbasescalatick-datasimulatorhigh-frequency-tradingfinancecomputational-financeorderbookorderbook-tick-dataorderbook-snapshots
  Language:Scala 16

• yurikoval / ex_tectonicdb

  TectonicDB client library for Elixir to read/write L2 order book data

  tradingtrading-bottrading-platformorderbookorderbook-tick-datafinancefinancial-analysisfinancial-datacryptocryptocurrency
  Language:Elixir 16

• gsalaz98 / roadkill

  Orderbook Event Storage Using TectonicDB

  quantitative-financeorderbook-tick-dataorderbookcryptocurrencycryptocurrency-exchanges
  Language:Go 12

• ridicoulous / Bitmex.Net

  Open source .Net API wrapper for the web API and websockets API @bitmex cryptocurrency exchange

  api-clientbitmexbitmex-apibitmex-restbitmex-websocketbitmexbotexchangeorderbookorderbook-tick-datatick-datatrading
  Language:C# 12
• iced-trade

  akenshaw / iced-trade

  Cross-platform desktop app visualizing basic orderflow in crypto markets

  orderbook-tick-dataicedcryptocurrencytrading
  Language:Rust 11

• akenshaw / btcusdt-orderflow

  Python GUI visualizing real-time market trading activity

  pyqt6pyqtgraphwebsocketorderbook-tick-data
  Language:Python 8

• akenshaw / flowsurface-web

  web app visualizing orderflow & footprint in crypto markets

  cryptocurrencyorderbook-tick-datawebsocket
  Language:JavaScript 3

• dmarienko / robot

  Order Book trader in Rust (experimenting with Rust)

  rustorderbookhfthft-tradingalgotradingorderbook-tick-data
  2

• patryk-kalisz / dracula

  orderbookorderbook-tick-dataalgotrading
  Language:Jupyter Notebook 2

• xksd / OrderBookRecorder

  Records Order Book snapshots over a period of time into CSV files. Works for USDT pairs on Binance.

  binancecryptocurrencygogolanghttporderbook-tick-dataorderbook-websocketwebsocket
  Language:Go 2

• akenshaw / cryptoflow-webapp

  chartjsorderbook-tick-datavue
  Language:Vue 1

• akenshaw / flowsurface-web-rs

  orderbook-tick-datacanvas-2d-contextwasm-bindgenwebassembly
  Language:Rust 1

• bogdantimes / order-book-depth-loader

  A tool that loads order book depth historical data for back-testing. Loads 1 minute frequency depth data provided by Crypto Chassis project.

  backtestingbinance-historicalcryptohistoryexchange-dataexchange-ordersorder-bookorderbook-tick-datatick-dataorder-book-depthback-testingfutures-historical-dataspot-history
  Language:Go 1

• hmanickam13 / CME-Practicum-Optimal-Execution

  This repo contains code written by me for a practicum project done for the CME Group

  bigdatahft-tradingorderbook-tick-datatest-harnessmachine-learning
  Language:Jupyter Notebook 0

• xyztony / binancedl

  Binance Historical Market Data download utility written in Nim

  binancetradingnimfeedsorderbook-tick-datatick-data
  Language:Nim 0