A high frequency trading and market making backtesting and trading bot in Python and Rust, which accounts for limit orders, queue positions, and latencies, utilizing full tick data for trades and order books, with real-world crypto market-making examples for Binance Futures

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

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

Deep Reinforcement Learning toolkit: record and replay cryptocurrency limit order book data & train a DDQN agent

VisualHFT is a cutting-edge GUI platform for market analysis, focusing on real-time visualization of market microstructure. Built with WPF & C#, it displays key metrics like Limit Order Book dynamics and execution quality. Its modular design ensures adaptability for developers and traders, enabling tailored analytical solutions.

OrderBook Heatmap visualizes the limit order book, compares resting limit orders and shows a time & sales log with live market data streamed directly from the Binance WS API. This was a short exploratory project. Keep in mind that a lot of work is needed for this to work in all market conditions.

A C++ and Python implementation of the limit order book.

Nasdaq Order Book Reconstructor

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

Using tabular and deep reinforcement learning methods to infer optimal market making strategies

Master Thesis: Limit order placement with Reinforcement Learning

Ultra-fast Limit Order Book for Node.js written in TypeScript for high-frequency trading (HFT) 🚀🚀

R package intended for visualisation, analysis and reconstruction of limit order book data

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.

We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.

Bitstamp real time console based limit order book

Implementation of various deep learning models for limit order book. DeepLOB (Zhang et al., 2018), TransLOB (Wallbridge, 2020), DeepFolio (Sangadiev et al., 2020), etc.

LOBCAST is a Python-based open-source framework for stock market trend forecasting using Limit Order Book (LOB) data. 🤖📈

Limit Order Book Implemented in Python