market-data-handler
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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.
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Aug 25, 2023 - Jupyter Notebook
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).
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Mar 26, 2021 - Jupyter Notebook
Imandra Modelling Language CME MDP Model
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May 12, 2020 - Jupyter Notebook
Java Market Data Handler for CME Market Data (MDP 3.0)
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Jan 14, 2018 - Java
Download historic crypto-currency candle data from exchanges
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Sep 14, 2018 - Jupyter Notebook
Market feed importer implementation using Websocket and Socket.io client
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May 3, 2018 - C++
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.
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Sep 26, 2025 - C++
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