limit-order-book

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

Crypto-toolbox/HFT-Orderbook

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

sadighian/crypto-rl

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

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.

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.

Kautenja/limit-order-book

A C++ and Python implementation of the limit order book.

martinobdl/ITCH

Nasdaq Order Book Reconstructor

nicolezattarin/LOB-feature-analysis

Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.

mjuchli/ctc-executioner

Master Thesis: Limit order placement with Reinforcement Learning

KodAgge/Reinforcement-Learning-for-Market-Making

Using tabular and deep reinforcement learning methods to infer optimal market making strategies

phil8192/ob-analytics

R package intended for visualisation, analysis and reconstruction of limit order book data

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.

fasenderos/nodejs-order-book

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

miroblog/limit_orderbook_prediction

phil8192/limit-order-book

Bitstamp real time console based limit order book

jialuechen/statsmaker

Probabilistic Programming Language for Order Execution and Routing Modeling

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.

abcabhishek/PyLimitOrderBook

Limit Order Book Implemented in Python

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.

matteoprata/LOBCAST

LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈

phil8192/shiny-ob-analytics

obAnalytics Shiny front-end

adlai/scalpl

volatility harvester prototype

KangOxford/Volume-Forecasting

Time Series Prediction of Volume in LOB

orderbooktools/crobat

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

ericbudish/HFT-Races

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

LeonardoBerti00/Axial-LOB-High-Frequency-Trading-with-Axial-Attention

Pytorch implementation of Axial-LOB from 'Axial-LOB: High-Frequency Trading with Axial Attention'

lebedov/nseindia_lob

National Stock Exchange of India Limit Order Book Simulation

pfei-sa/binance-LOB

Build your own historical Limit Order Book dataset

eliquinox/jLOB

L3 Order Book and Matching Engine Implementaion in Java

amankrx/matching-engine-rs

Building a fast matching engine in Rust for efficient processing of an ITCH order book.

p-casgrain/LimitOrderBook.jl

A limit order book matching engine written in Julia

toma-x/exploring-order-book-predictability

Deep learning approach for market price prediction, in JAX

jmcph4/PyOBSim

A Python module for market simulation

Rober-t/apxr

A platform for the testing and optimisation of trading algorithms.

zombie-einstein/bourse

Rust Market Simulation Library with a Python API