6 dépôts
Executes orders using time-weighted average price (TWAP) or volume-weighted average price (VWAP) algorithms.
Distinct from Order Execution Engines: Distinct from Order Execution Engines: focuses specifically on algorithmic order types like TWAP and VWAP, not general order execution.
Explore 6 awesome GitHub repositories matching scientific & mathematical computing · Algorithmic Order Executions. Refine with filters or upvote what's useful.
This project is a futures algorithmic trading system designed to execute high-performance trading strategies through direct API integrations and low-latency message routing. It features a strategy execution engine that automates order placement and manages trade flows based on predefined logic and API triggers. The system utilizes a native trading API bridge and a low-latency message bus to interface internal logic with external exchange APIs while minimizing execution delays. Monitoring is handled through a web-based trading dashboard for real-time activity tracking and remote management. B
Automates the placement and querying of trade orders by bridging strategy logic to the market.
RQAlpha is a Python-native quantitative trading backtesting framework and live trading execution system. It provides an event-driven engine for simulating trading strategies against historical market data, with realistic transaction costs, slippage models, and corporate action handling. The platform supports multi-asset class trading including stocks, futures, options, and REITs, with separate sub-accounts for different asset types and configurable margin requirements. The framework distinguishes itself through a plugin-based extensible architecture that allows users to swap out core componen
Supports TWAP and VWAP algorithmic order types for executing trades in backtesting and live trading.
Executes target positions through swappable algorithm units on a dedicated execution monitor separate from strategy engines.
tqsdk-python est un SDK et framework de trading quantitatif conçu pour développer des stratégies automatisées pour les contrats à terme, les options et les actions en utilisant Python. Il fonctionne comme un moteur de trading algorithmique et une API de données de marché financier, fournissant les outils nécessaires pour backtester des stratégies, analyser des données historiques et exécuter des trades en direct à travers plusieurs comptes de courtage. Le projet se distingue par une bibliothèque d'analyse d'options spécialisée qui calcule les Grecs, la volatilité implicite et les surfaces de volatilité en utilisant le modèle Black-Scholes. Il prend en outre en charge des modèles d'exécution d'ordres complexes, tels que TWAP, Iceberg et POV, pour minimiser l'impact sur le marché lors de l'entrée et de la sortie de position. Le SDK couvre une large surface de capacités, y compris la récupération de données de marché en temps réel et historiques, la gestion des risques quantitatifs et le suivi de portefeuille. Il intègre un modèle d'exécution asynchrone pour le streaming de données et la planification de tâches, parallèlement à des outils pour la simulation de trading multi-actifs et l'analyse de performance. La bibliothèque fournit une interface graphique basée sur le web pour le suivi de stratégie et la visualisation de données.
Implements advanced trading patterns like TWAP and Iceberg orders to minimize market impact.
Binance Connector Python is a client library that provides programmatic access to the Binance cryptocurrency exchange, enabling automated trading and asset management across spot, margin, futures, and options markets. The library wraps the exchange's REST and WebSocket APIs into a Python interface with type-hinted methods, HMAC and RSA authentication, and a unified request-response pipeline for consistent error handling and rate limiting. The connector supports a broad range of exchange operations beyond core trading, including sub-account management, wallet operations, and algorithmic order
Supports placing algorithmic orders like TWAP and iceberg that execute gradually to minimize market impact.
TradeMaster is a reinforcement learning trading framework and algorithmic trading simulator designed for designing and testing quantitative trading strategies. The system provides a platform for developing reinforcement learning agents, managing quantitative portfolios, and optimizing trade execution using financial market data. The project features specialized components for multi-modality data preprocessing, a high-fidelity market environment simulation for strategy backtesting, and a quantitative portfolio manager for capital reallocation across multiple assets. It includes a trade executi
Optimizes the timing and volume of trade executions to minimize market impact and costs.