scobre
Unverified Other strategy on Multi by phelps-sg. BotFinder score 18 out of 100.
Scala OrderBook Reconstructor for high-frequency order-flow data
Source: github
BotFinder analysis pending.
scobre
SCala OrderBook REconstructor (SCOBRE) This software allows the user to reconstruct the state of the limit order-book from low-level tick-data provided by the London Stock-Exchange (LSE). The tick-data can be hosted in either mysql, or Apache HBase, and tools are provided for loading to the data into either of these back-ends from the compressed raw files provided by the LSE. Once the data has been loaded, events corresponding to a particular asset and a particular date-range can be replayed through an order-book simulator in order to reconstruct the state of the book. Variables such as the mid-price can then be recorded as a time-series in CSV format. Alternatively the simulator can be run directly from a Python client using an Apache Thrift API. The software is written in Scala and Java, along with various Unix shell scripts which automate the import process. Pre-requisites - Oracle Java JVM 1.7.0 or higher. Note that the default JVM installed on MacOS or Linux needs to be replaced by the Oracle version in order for the software to work correctly. - If running on Windows you will n
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