market-microstructure topic

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.

ChuaCheowHuan

Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.

rorysroes

:chart: openAlgo is a public repository for various work product relavant to algorithms and the high frequency low latency electronic trading space with a bias toward market microstructure as well as...

mtompkins

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...

silahian

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

orderbooktools

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

coorung

Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio (Sangadiev et al., 2020), etc.

Jeonghwan-Cheon

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 (201...

monty-se

Reinforcement learning environment for trading

drewstone

We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.

FinancialComputingUCL