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rorysroes / SGX-Full-OrderBook-Tick-Data-Trading-Strategy

Star 1.2k

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

python machine-learning trading feature-selection model-selection quant trading-strategies investment market-maker feature-engineering algorithmic-trading backtesting-trading-strategies limit-order-book quantitative-trading orderbook market-microstructure high-frequency-trading market-making orderbook-tick-data
  • Updated Aug 27, 2022
  • Jupyter Notebook

roq-trading / roq-api

Star 328

The Roq C++20 API used for Live Cryptocurrency Algorithmic and High-Frequency Trading as well as for Back-Testing and Historical Simulation

cryptocurrency exchange market-data trading-platform low-latency trading-strategies trading-algorithms hft algorithmic-trading arbitrage order-book matching-engine fix-protocol order-management tick-data backtesting high-frequency-trading fix-engine market-making ultra-low-latency
  • Updated Nov 4, 2022
  • C++

Elenchev / order-book-heatmap

Star 226

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.

d3 heatmap cryptocurrency market-data d3js order-book limit-order-book orderbook high-frequency-trading orderbook-tick-data heapmap
  • Updated Mar 9, 2021
  • JavaScript
VisualHFT

silahian / VisualHFT

Star 125

GUI for enterprise level high frequency trading systems, making focus on visualizing market microstructure analytics, such Limit Order Book dynamic, latencies, execution quality, and other analytics. WPF & C#

csharp trading analytics tca wpf mvvm market-data trading-platform trading-algorithms mvvm-pattern mvvm-architecture limit-order-book wpf-ui wpf-application market-microstructure high-frequency-trading orderbook-tick-data market-analytics high-frequency-data high-frequency-analytics
  • Updated Oct 28, 2022
  • C#

roq-trading / roq-samples

Star 124

How to use the Roq C++20 API for Live Cryptocurrency Algorithmic and High-Frequency Trading as well as for Back-Testing and Historical Simulation

trading flatbuffers trading-bot cryptocurrency exchange market-data trading-platform low-latency trading-strategies trading-algorithms hft algorithmic-trading arbitrage order-book matching-engine order-management tick-data backtesting high-frequency-trading market-making
  • Updated Nov 2, 2022
  • C++

ChuaCheowHuan / gym-continuousDoubleAuction

Star 109

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.

lstm quantitative-finance ray limit-order-book quantitative-trading financial-engineering market-microstructure zero-sum high-frequency-trading gym-environment ppo self-play double-auction multi-agent-reinforcement-learning rllib marl n-player zero-sum-games
  • Updated Sep 30, 2022
  • Jupyter Notebook

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