#Market-microstructure
Showing 14 of 14 repositories tagged #market-microstructure, ranked by stars
Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
VisualHFT is a WPF/C# desktop GUI that shows market microstructure in real time. You can track advanced limit‑order‑book dynamics and execution quality, then use its modular plugins to shape the analysis to your workflow.
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.
Algo Library for Order Flow Inference and TCA
Sub-microsecond bare-metal execution engine with deterministic replay, lock-free order path, and hardware-timestamped latency measurement.
crypto trading bot liquidity order book market microstructure algorithmic trading quant Python Node.js websocket Binance crypto signals HFT order flow sweep detection depth analysis
High-performance limit order book engine with C++ core and Python SDK. Processes 20M+ msgs/sec with µs latency. Supports real crypto/equity data replay, spread/imbalance/impact analytics, and backtesting of VWAP, TWAP, POV, and market-making strategies with reproducible PnL and risk metrics.
Exchange-grade CLOB matching engine + microstructure analytics in C++20
Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.
A high-frequency tool that monitors the "Bid-Ask" spread and order book depth to predict the next 10-second price move.
The ultimate collection of institutional trading resources: order flow, market microstructure, options GEX, and algorithmic frameworks.
Decentralized exchange infrastructure on Solana: on-chain order book, real-time WebSocket streaming, REST API, Geyser indexer, and Rust SDK. Non-custodial and optimized for high-frequency trading.
机构级 A股量化系统 - Hermes 多智能体 + Barra 中性化 + Level2 微结构 + 15 个圈内 tricks 完整实现
Executive Programme in Algorithmic Trading by QuantInsti