market-microstructure-analysis

This is my github repository where I post trading strategies, tutorials and research on quantitative finance with R, C++ and Python. Some of the topics explored include: machine learning, high frequency trading, NLP, technical analysis and more. Hope you enjoy it!

BTC order book microstructure analysis: OBI, CVD, and spread statistics from 38 days of Binance data

Market Microstructure & Liquidity Simulator for B3 using Mean Field Games (MFG). High-performance numerical solver for coupled HJB-Fokker-Planck systems to model price formation and HFT dynamics.

An Agent-based limit order book simulator with price-time priority matching, Poisson order arrivals, 3 trader types, and a live Batman-style terminal dashboard. Implements Glosten-Milgrom and Cont-Kukanov-Stoikov OFI amongst others.

Financial data pipeline and interactive analytics dashboard for SEC market microstructure metrics.

Tick-by-tick futures microstructure engine.

Institutional-grade Almgren-Chriss (2000) optimal trade execution simulator calibrated to Nifty 50 Futures block orders

A dealer gamma level is a zone, not a line — 1,090 sessions of SPY, SPX, QQQ and NDX measuring how precisely gamma walls and the gamma flip can be known.

FI-2010 limit order book mid-price classification — LSTM, CNN, DeepLOB, Transformer on real HFT data (research benchmark)

Analytical framework and visual execution suite evaluating high-frequency market microstructure, limit order book matching matrices, and behavioral liquidity dynamics.

Read-only Bybit USDT perpetual crypto screener for discovering and ranking coins with unusual activity, capital flow, momentum, VWAP, orderbook, and absorption signals.