VisualHFT is a cutting-edge GUI platform for market analysis, focusing on real-time visualization of market microstructure. Built with WPF & C#, it displays key metrics like Limit Order Book dynamics and execution quality. Its modular design ensures adaptability for developers and traders, enabling tailored analytical solutions.

We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.

Build your own historical Limit Order Book dataset

Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data

Python Library for Transaction Cost Analysis (TCA)

Code and documents from Econ 690 at Duke

Replication codes for the paper.

Custom built Decision Tree + Boosted Trees + KernelPLS in python

SIMOTION Trace connector is a web-based application running on SIEMENS Industrial Edge

High frequency dynamics signal processing and analysis.

The SIMATIC library "LEdgeBuffer" allows creating a local buffer in the PLC to sample high speed signals. This buffer and the recording job can be accessed and controled via OPC-UA.

Identyfing stylized facts of online sports betting markets by analysing high frequency data from Betfair UK horse racing markets.