Kearns M, Nevmyvaka Y. Machine learning for market microstructure and high frequency trading. High frequency trading - New realities for traders, markets and regulators, 2013. 1–21. (link) Sirignano, Justin A. “Deep Learning for Limit Order Books.” arXiv preprint arXiv:1601.01987 (2016)....
ib_nope - Automated trading system for NOPE strategy over IBKR TWS. OctoBot - Open source cryptocurrency trading bot for high frequency, arbitrage, TA and social trading with an advanced web interface. bta-lib - Technical Analysis library in pandas for backtesting algotrading and quantitative analy...
本文采用的高频模型,源自Darryl Shen(Linacre College University of Oxford)于2015年5月27日发表的《Order Imbalance Based Strategy in High Frequency Trading》一文(网络上可以找到)。 该模型基于L笔tick数据中的委托量的不平衡因子、委比因子以及中间价回归因子三个因子,预测t0时刻之后的k笔tick数据的中间价的均价...
ib_nope - Automated trading system for NOPE strategy over IBKR TWS. OctoBot - Open source cryptocurrency trading bot for high frequency, arbitrage, TA and social trading with an advanced web interface. bta-lib - Technical Analysis library in pandas for backtesting algotrading and quantitative analy...
optlib - A library for financial options pricing written in Python. tf-quant-finance - High-performance TensorFlow library for quantitative finance. 指标Indicators pandas_talib - 整合Pandas和Talib,用pandas计算技术指标 finta - 用Pandas计算常见的技术指标 ...
1 algorithmic trading winning strategies and their rationale 2 barra handbook US 3 Encyclopedia of Trading Strategies(交易策略百科全书) 4 Inside the Black Box -A Simple Guide to Quantitative and High Frequency Trading(2nd.Edition) 5 NASSIM Taleb-Dynamic Hedging ...
context.center=history_n(symbol=context.main_contract,frequency='1d',end_time=context.now,count=1,fields='close')[0]['close']else:last_date=get_previous_n_trading_dates(exchange='SHSE',date=now_str,n=1)[0]context.center=history_n(symbol=context.main_contract,frequency='1d',end_time=la...
Machine learningfor market microstructure and highfrequency trading. High frequency trading - New realities for traders, markets and regulators, 2013. 1–21. (link) Sirignano, JustinA. “Deep Learning for Limit Order Books.” arXiv preprint arXiv 1601.01987 (2016). (link) Deng,Yue, et al. ...
last_date = get_previous_trading_date(exchange='SHFE', date=context.now) # 调取数据 data = history_n(symbol=context.symbol, frequency='1d', count=context.n + 1, end_time=last_date, fields='close,high,low,bob', df=True) # 计算ATR ...
algorithmic trading winning strategies and their rationale barra handbook US Encyclopedia of Trading Strategies(交易策略百科全书) Inside the Black Box -A Simple Guide to Quantitative and High Frequency Trading(2nd.Edition) NASSIM Taleb-Dynamic Hedging ...