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.

Tick-by-tick futures microstructure engine.

Evidence-graded order-flow & footprint skill for Claude. Reads footprint, DOM, profile and CVD screenshots, separates what’s measured from what’s inferred, and shows what flow is actually useful for, without making trade calls.

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

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.

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

Proprietary microstructure monitor for detecting hidden liquidity, order book spoofing, and structural imbalances across 5 major exchanges in real-time.

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.