├── README.md ├── config ├── data_loader.json └── signal.json ├── hft ├── backtester.py ├── data_loader.py ├── signal_utils.py └── utils.py ├── research ├── backtest.py ├── eda.py ├── hmm.py ├── price_dynamics_eda.py ├── signal_cache.py └── signal_research.py └── tests ├── scratch_pad.py ├── test_backtester.py └── test_signal_utils.py /README.md: -------------------------------------------------------------------------------- 1 | # hft 2 | High Frequency Trading Strategies 3 | -------------------------------------------------------------------------------- /config/data_loader.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/armoreal/hft/HEAD/config/data_loader.json -------------------------------------------------------------------------------- /config/signal.json: -------------------------------------------------------------------------------- 1 | { 2 | "n_flexible_half_seconds": 2 3 | } -------------------------------------------------------------------------------- /hft/backtester.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/armoreal/hft/HEAD/hft/backtester.py -------------------------------------------------------------------------------- /hft/data_loader.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/armoreal/hft/HEAD/hft/data_loader.py -------------------------------------------------------------------------------- /hft/signal_utils.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/armoreal/hft/HEAD/hft/signal_utils.py -------------------------------------------------------------------------------- /hft/utils.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/armoreal/hft/HEAD/hft/utils.py -------------------------------------------------------------------------------- /research/backtest.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/armoreal/hft/HEAD/research/backtest.py -------------------------------------------------------------------------------- /research/eda.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/armoreal/hft/HEAD/research/eda.py -------------------------------------------------------------------------------- /research/hmm.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/armoreal/hft/HEAD/research/hmm.py -------------------------------------------------------------------------------- /research/price_dynamics_eda.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/armoreal/hft/HEAD/research/price_dynamics_eda.py -------------------------------------------------------------------------------- /research/signal_cache.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/armoreal/hft/HEAD/research/signal_cache.py -------------------------------------------------------------------------------- /research/signal_research.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/armoreal/hft/HEAD/research/signal_research.py -------------------------------------------------------------------------------- /tests/scratch_pad.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/armoreal/hft/HEAD/tests/scratch_pad.py -------------------------------------------------------------------------------- /tests/test_backtester.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/armoreal/hft/HEAD/tests/test_backtester.py -------------------------------------------------------------------------------- /tests/test_signal_utils.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/armoreal/hft/HEAD/tests/test_signal_utils.py --------------------------------------------------------------------------------