A walk through the frameworks of Python in Finance. The repository is currently in the development phase. The finalized version will include a full-fledged integration and utilization of Quantopian, GS-Quant, WRDS API and their relevant datasets and analytics.

Julia and Python programs that implement some of the tools described in my book "Stochastic Methods in Asset Pricing" (SMAP), MIT Press 2017 (e.g., the method for computing the price of American call options and the construction of the early exercise premium in the Black-Scholes-Merton framework from section 18.4 in SMAP).

Imandra Modelling Language CME MDP Model

Download historic crypto-currency candle data from exchanges

Java Market Data Handler for CME Market Data (MDP 3.0)

Market feed importer implementation using Websocket and Socket.io client

Low-latency market data feed handler.

Low-latency system that consumes historical market data from Databento, passes it through a lock-free ring buffer, and processes it in a separate thread to compute a simple real-time statistic.

High-throughput UDP market feed ingestion with recvmmsg batching and SPSC handoff for minimal-copy processing L2 order book builder driving an in-process matching engine and OrderManager with basic pre-trade risk checks