high-frequency-data

VisualHFT Terminal: open-source observability and decision terminal for electronic trading desks. Live Level 2 order books, microstructure analytics, and quantitative execution monitoring.

We release `LOBFrame', a novel, open-source code base which presents a renewed way to process large-scale Limit Order Book (LOB) data.

Build your own historical Limit Order Book dataset

[Eurographics 2025 Short] Official PyTorch Implementation for the "3D Gabor Splatting: Reconstruction of High-frequency Surface Texture using Gabor Noise" paper

Companion to publication "Understanding Jumps in High Frequency Digital Asset Markets". Contains scalable implementations of Lee / Mykland (2012), Ait-Sahalia / Jacod (2012) and Ait-Sahalia / Jacod / Li (2012) Jump tests for noisy high frequency data

Code and documents from Econ 690 at Duke

C++/Python microstructure research engine for event-driven limit order book prediction and reproducible quantitative experiments.

Research project on forecasting BTC/USD market liquidity from high-frequency trades with a custom PyTorch LSTM.

High-frequency broadband activity detected noninvasively in infants distinguishes wake from sleep states (2025)

High-frequency broadband activity detected noninvasively in infants distinguishes wake from sleep states: Part 2 (2025)

Forecasting GDP using MIDAS regressions with mixed-frequency macroeconomic indicators; includes data preparation, model estimation, and evaluation.

The SIMATIC library "LEdgeBuffer" allows creating a local buffer in the PLC to sample high speed signals. This buffer and the recording job can be accessed and controled via OPC-UA.

End-to-End Python replication of Camara & Aublin's (2025) monetary spillover analysis methodology. Implements rotational-angle decomposition, Bayesian VAR with Normal-Wishart priors, sign restrictions for shock identification, and a full robustness suite for international macroeconomic analysis.

SIMOTION Trace connector is a web-based application running on SIEMENS Industrial Edge

High frequency dynamics signal processing and analysis.

A rapid theta network mechanism for flexible information encoding (2023)

DroxenBot is a research project exploring the design of scalable, event-driven architectures for real-time blockchain data ingestion and autonomous decision systems. The project investigates how intelligent agents can operate reliably in high-velocity, noisy environments using distributed systems and rule-based heuristic techniques.

Snap Packages Installer, a package management utility designed to install, update, and manage containerized software applications across Linux distributions. It provides a seamless user experience to help system administrators handle dependencies, configure sandbox environments, and deploy universal packages effortlessly.

Gabor Filter Python, an image processing utility designed to analyze texture patterns, detect edges, and extract frequency features using Gabor kernels. It provides a seamless user experience to help developers perform computer vision tasks, filter visual noise, and analyze spatial image characteristics efficiently.