high-frequency-data topic
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high-frequency-data repositories
VisualHFT
672
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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...
binance-LOB
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Build your own historical Limit Order Book dataset
LOBFrame
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We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.
hf.econometrics
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Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod /...