StarRankExplorer
返回排行榜

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

Jupyter Notebook

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

high-frequency-tradinglimit-order-bookpythonmachine-learningfeature-selectionfeature-engineeringbacktesting-trading-strategiesmodel-selectiontrading-strategiesquantitative-tradingalgorithmic-tradinginvestment
Star 增长趋势
Star
2.3k
Forks
696
周增长
—
Issues
5
1k2k
2016年12月2020年2月2023年5月2026年7月
README

Modeling High-Frequency Limit Order Book Dynamics Using Machine Learning

  • Framework to capture the dynamics of high-frequency limit order books.

Overview

In this project I used machine learning methods to capture the high-frequency limit order book dynamics and simple trading strategy to get the P&L outcomes.

  • Feature Extractor

    • Rise Ratio

    • Depth Ratio

      [Note] : [Feature_Selection] (Feature_Selection)

  • Learning Model Trainer

    • RandomForestClassifier
    • ExtraTreesClassifier
    • AdaBoostClassifier
    • GradientBoostingClassifier
    • SVM

  • Use best model to predict next 10 seconds

  • Prediction outcome

  • Profit & Loss

    [Note] : [Model_Selection] (Model_Selection)

相关仓库
nkaz001/hftbacktest

Free, open source, a high frequency trading and market making backtesting and trading bot, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books(Level-2 and Level-3), with real-world crypto trading examples for Binance and Bybit

Rustcrates.ioMIT Licensebacktestinghigh-frequency-trading
4.3k838
barter-rs/barter-rs

Open-source Rust framework for building event-driven live-trading & backtesting systems

Rustcrates.ioMIT Licensealgo-tradingalgorithmic-trading
github.com/orgs/barter-rs/repositories
2.2k353
ivopetiz/algotrading

Algorithmic trading framework for cryptocurrencies.

PythonPyPIMIT Licensecryptocryptocurrency
1.6k202
Crypto-toolbox/HFT-Orderbook

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

CMIT Licensepython3high-frequency-trading
1.4k311
visualHFT/VisualHFT

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.

C#Apache License 2.0analyticsmarket-analytics
1.2k238
51bitquant/bitquant

51bitquant Python数字货币量化交易视频 CCXT框架 爬取交易所数据 比特币量化交易 交易机器人51bitquant tradingbot cryptocurrency quantitative trading btc trading

PythonPyPIMIT License51bitquantquantitative-finance
space.bilibili.com/401686908/video
1.2k316
AlexWan/OsEngine

Open Source algo trading platform

C#Othertrading-bottrading-strategies
o-s-a.net
1k439