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Market microstructure analytics platform with lock-free data structures, sub-microsecond order matching, and optimal execution algorithms for systematic trading
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17
commits
Add execution strategy testing example with TWAP, VWAP, and Almgren-Chriss
79d9766View on GitHubAdd real-time market microstructure monitoring example
c1418c5View on GitHubAdd comprehensive CSV parsing and feed handler benchmarks to performance test suite
2538dc0View on GitHubAdd VWAP and Almgren-Chriss execution strategies with comprehensive test suites
699f795View on GitHubAdd lock-free latency histograms to performance_monitor.hpp with nanosecond resolution, percentile calculations (p50/p95/p99/p99.9), and ComponentLatencyTracker for pipeline profiling
c47cdaeView on GitHubIntegrate Data-Parser, TCP-Socket, and Matching-Engine into a unified platform for real-time and historical market microstructure analysis.
8da552cView on GitHubAdd execution cost testing framework to MicrostructureBacktester with historical replay and impact model calibration capabilities.
7ff6873View on GitHubAdd execution algorithm framework with TWAP (Time-Weighted Average Price) strategy for optimal order execution
f3ea79dView on GitHubImplement linear regression-based calibration for market impact models
742aeaaView on GitHubAdd OrderFlowTracker and MicrostructureAnalytics for real-time order flow analysis with FillRouter callback integration.
5783a92View on GitHubAdd MicrostructureOrderBook with integrated analytics maintaining
374d0c6View on GitHub