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Daniel's Projects

avellaneda-stoikov-1 icon avellaneda-stoikov-1

Python code for High-frequency trading in a limit order book by Marco Avellaneda and Sasha Stoikov

ham icon ham

Hybrid attention module

high-frequency icon high-frequency

High Frequency Analysis Based On Level-2 Data(Limit Order Book& Transaction Data)

hist icon hist

The source code and data of the paper "HIST: A Graph-based Framework for Stock Trend Forecasting via Mining Concept-Oriented Shared Information".

lob-feature-analysis icon lob-feature-analysis

Feature engineering of a Limit Order Book. Extraction of features from a LOB in order to analyse the behaviour of trade market.

mpc icon mpc

process communication with memory mapped file,probably could be used in trading system

mpmcqueue icon mpmcqueue

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

nanolog icon nanolog

Fork from NanoLog. Output txt format logs directly for hft.

onepy icon onepy

Python Backtesting library for OnePiece in trading.

openfe icon openfe

OpenFE: automated feature generation with expert-level performance

str icon str

A SIMD optimized fixed-length string class along with an adaptive hash table for fast searching

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