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Various implementations of limit order books (matching engines)
High-frequency trading in a limit order book
If you are professionals, retailers or even organisms trading on a financial market, you know that data given on online platforms is not precise enough. Banks and huge financial institutions use po…
This notebook contains an independently developed Keras/Tensorflow implementation of the CNN-LSTM model for Limit Order Book forecasting originally proposed by Zhang et al. (https://arxiv.org/pdf/1…
A C++ ultra low latency trading engine with O(1) performance of order execution, order update, order cancel, O(log(n)) for order book analyses
Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.
Limit Order Book data analysis and modeling using LSTM network
Deep Reinforcement Learning toolkit: record and replay cryptocurrency limit order book data & train a DDQN agent
High performance components for building Trading Platform such as ultra fast matching engine, order book processor
Limit Order Book Implemented in Python
Order Book Matching Engine for Stock Exchanges (1us latency for matching)
Python implementation of fast limit-order book.
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 explo…
Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C
Modeling high-frequency limit order book dynamics with support vector machines
Example Order Book Imbalance Algorithm
Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov
This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", published in IEEE Transactions on Singal Processing. We use FI-201…
A C++ and Python implementation of the limit order book.
This is the code repo for Kaggle competition: Optiver-Trading at the close.
🥳 winner of the Optiver challenge: making your own trading bot 🤖
Code for the 15th place submission at Trading at the Close competition