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limit-order-book

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A high-frequency trading and market-making backtesting tool 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

  • Updated Jun 21, 2024
  • Rust
VisualHFT

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.

  • Updated Mar 30, 2024
  • C#

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.

  • Updated Mar 9, 2021
  • JavaScript

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.

  • Updated Jan 1, 2023
  • Jupyter Notebook

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