beratkirik Goto Github PK

index-arbitrage-case

ipc-bench

Latency benchmarks of Unix IPC mechanisms

itch

Create and Parse NASDAQ Itch Messages in Python

itch-order-book

Fast implementation of an ITCH order book

jump

jump trading tech assignment

learning

libtrading

Libtrading, an ultra low-latency trading connectivity library for C and C++.

libuv-chat

Something something libuv something

limit-order-book

bitstamp real time console based limit order book

lob_algotrading

Some codes used for the numerical examples proposed in https://hal.archives-ouvertes.fr/hal-01514987v2 and https://arxiv.org/abs/1705.01446

lowlatencyworkshop

Seed code for Low Latency C++ Workshop

market-microstructure

marketmicrostructure

Theory study and practice about market microstructure

micropriceindicator

This repository serves to share the replicated results listed in the paper by Sasha Stoikov - The Micro-Price. As opposed to data used in the paper for US equities BAC and CVX, I am using the data for the Crypto pair ETHBTC. The data was pulled by me from Binance by subscribing to three different streams - Market Trades, Partial Depth and Orderbook Snapshot. Then these were combined to form the order-book and analysis done on the same.

microstructure

Market microstructure research

mm-glosten-milgrom

A study of the Glosten and Milgrom model for market making

mmyalgo

moex_hft

moscow exchange hft oriented terminal unfinished

mpmcqueue

A bounded multi-producer multi-consumer lock-free queue written in C++11

mse448project

Market Making / Stat Arb strategy

mth-9879

Baruch course - Market Microstructure

mytest

nanolog

Low Latency C++11 Logging Library

nasdaq-itch5.0-parser

oandamomentum

Building a time series momentum strategy for Oanda by following this guide: https://www.oreilly.com/learning/algorithmic-trading-in-less-than-100-lines-of-python-code

ob-analytics

Limit order book event processing and visualisation

opentrade

An open source OEMS, and intraday algorithmic trading platform in modern C++ for professional quant

option-valuation-python

An option valuation webapp in Python

options-2-trees

Interactive visualization of the CRR binomial options pricing model

options-market-making