├── .gitignore ├── BuildLinearData.R ├── BuildLinearModel.R ├── GetMainContract.R ├── LICENSE ├── LinearStrategy.R ├── Order Imbalance Based Strategy in High Frequency Trading.pdf ├── README.md ├── ReadFiles.R ├── RunStrategy.R └── order-imbalance-r-code.Rproj /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jfenner/Order-Imbalance-Trading-Simulation-R-Code/HEAD/.gitignore -------------------------------------------------------------------------------- /BuildLinearData.R: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jfenner/Order-Imbalance-Trading-Simulation-R-Code/HEAD/BuildLinearData.R -------------------------------------------------------------------------------- /BuildLinearModel.R: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jfenner/Order-Imbalance-Trading-Simulation-R-Code/HEAD/BuildLinearModel.R -------------------------------------------------------------------------------- /GetMainContract.R: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jfenner/Order-Imbalance-Trading-Simulation-R-Code/HEAD/GetMainContract.R -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jfenner/Order-Imbalance-Trading-Simulation-R-Code/HEAD/LICENSE -------------------------------------------------------------------------------- /LinearStrategy.R: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jfenner/Order-Imbalance-Trading-Simulation-R-Code/HEAD/LinearStrategy.R -------------------------------------------------------------------------------- /Order Imbalance Based Strategy in High Frequency Trading.pdf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jfenner/Order-Imbalance-Trading-Simulation-R-Code/HEAD/Order Imbalance Based Strategy in High Frequency Trading.pdf -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jfenner/Order-Imbalance-Trading-Simulation-R-Code/HEAD/README.md -------------------------------------------------------------------------------- /ReadFiles.R: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jfenner/Order-Imbalance-Trading-Simulation-R-Code/HEAD/ReadFiles.R -------------------------------------------------------------------------------- /RunStrategy.R: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jfenner/Order-Imbalance-Trading-Simulation-R-Code/HEAD/RunStrategy.R -------------------------------------------------------------------------------- /order-imbalance-r-code.Rproj: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/jfenner/Order-Imbalance-Trading-Simulation-R-Code/HEAD/order-imbalance-r-code.Rproj --------------------------------------------------------------------------------