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trading-strategy-simulation

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C++20 HFT simulator for CME futures. Shadow execution algorithm (% of volume, beats VWAP/TWAP). Position-aware order book with queue simulation. MDP3 decoder, iLink 3, PCAP replay. Lock-free actor framework with sub-microsecond dispatch. Distributed via ZMQ. ES/NQ futures backtesting and live trading.

  • Updated May 9, 2026
  • C++

Implemented and adapted selected alphas from the WorldQuant 101 Alphas framework to the cryptocurrency market. Built a 2020–2025 dataset with train/test split, evaluated signals using IC statistics, combined weak alphas via rank normalization, and backtested portfolio strategies, achieving improved Sharpe over an equal-weight benchmark.

  • Updated May 24, 2026
  • Jupyter Notebook
MarketNormalizationEngine

Market data pipeline for downloading, parsing, and normalizing high-frequency data. Converts raw .bi5 files into structured parquet datasets, with support for resampling and feature-ready data preparation for quantitative, research, and machine learning workflows. Currently only supports Forex data.

  • Updated May 26, 2026
  • Python

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