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adamlansky

Config files for my GitHub profile.

amberdata-cefi-defi-arbitrage-strategy

corad

CORAD: Correlation-Aware Compression of Massive Time Series using Sparse Dictionary Coding

cta-strategies

Backtest result archive for Momentum Trading Strategies

deeplob-model-implementation-project

This repo contains some codes and outputs of my implementation of DeepLOB model.

dtaidistance

Time series distances: Dynamic Time Warping (fast DTW implementation in C)

factors

issa useless copy pasta, use them at ur own risk

hft

AS MM Inspired Models

hft-orderbook

Limit Order Book for high-frequency trading (HFT), as described by WK Selph, implemented in Python3 and C

hft-price-prediction

A project of using machine learning model (tree-based) to predict short-term instrument price up or down in high frequency trading.

hft-server-settings

Collection of tidbits for HFT server config.

hftbacktest

A high-frequency trading and market-making backtesting tool accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books.

high-frequency-data-and-limit-order-book

lob-modeling

MM Models

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.

mse448project

MM | Stat Arb strategy

orderbook

Matching Engine for Limit Order Book

peregrine

Detects arbitrage opportunities across 131 cryptocurrency exchanges in 50 countries

performance

Collection of documents related tunings for performance of Java low-latency trading systems: from hardware up to application level

pylimitbook

Python implementation of fast limit-order book.

pythonmatchingengine

High performance trading Matching Engine / Market Simulator using Level 3 Market Data for realistic simulation of High Frequency Trading Strategies

redis-matching-engine-server

Implement exchange matching engine by lua script, run in redis

redis_fdw

A PostgreSQL foreign data wrapper for Redis

rotala

Backtesting engine written in Rust

sgx-full-orderbook-tick-data-trading-strategy

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

soft-dtw-divergences

An implementation of soft-DTW divergences.

statarb

submicrotrading

Ultra Low Latency Trading Framework (Fix Engine, OMS, FastFix, ETI, Algo Container)

tectonicdb

Database for L2 orderbook

testfrontend