market-microstructure

There are 25 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.

    Language:Jupyter Notebook2.1k1016685
  • VisualHFT

    visualHFT/VisualHFT

    VisualHFT is a WPF/C# desktop GUI that shows market microstructure in real time. You can track advanced limit‑order‑book dynamics and execution quality, then use its modular plugins to shape the analysis to your workflow.

    Language:C#9233816187

  • 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.

    Language:Python1875141

  • 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.

    Language:Jupyter Notebook1497131

  • jialuechen/pytca

    Python Library for Transaction Cost Analysis and Market Simulation

    Language:Python137456

  • 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.

    Language:Python1233126

  • orderbooktools/crobat

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

    Language:Jupyter Notebook536114

  • coorung/Finance-World

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

    Language:Jupyter Notebook41504

  • 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.

    Language:R40147

  • drewstone/gym-trading

    Reinforcement learning environment for trading

    Language:Python15306
  • financial_response_spread_year

    juanhenao21/financial_response_spread_year

    Price response function and spread impact analysis in correlated financial markets

    Language:Jupyter Notebook152104

  • 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)>.

    Language:Jupyter Notebook9113

  • jmcph4/ironbook

    Fast price-time-quantity LOB in C11

    Language:C6203

  • kidwai/papers

    some useful papers.

    5000

  • IteraLabs/atelier

    Rust Engine for High Frequency, Synthetic and Historical, Market Microstructure Modeling.

    Language:Rust4001

  • sjdKRM/EPAT

    Executive Programme in Algorithmic Trading by QuantInsti

    Language:Jupyter Notebook4201

  • emmajy-li/empirical-assignment

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

    Language:R3001

  • juanhenao21/forex_response_spread_year

    Price response function and spread impact analysis in foreign exchange markets

    Language:TeX21200

  • simonsays1980/bayespin

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

    Language:R2102

  • B0R0koko/pumps_and_dumps

    Language:Jupyter Notebook1

  • 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.

    Language:Haskell1002

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

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

    Language:Jupyter Notebook1100

  • SakethAleti/Senior-Thesis-PFOF

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

    Language:Jupyter Notebook1100

  • Tommylee1013/QUANTIFI

    Quantifi Sogang

    Language:Python1100

  • adeleravagnani/non-markovian-zero-intelligence-lob-model

    Non-Markovian Zero Intelligence LOB model

    Language:Python