Crypto Lead-Lag Arbitrage Model
Projects
3 projects · 131 items- End-to-End Market SimulatorApplication, Case study, 19 files
- Crypto Lead-Lag Arbitrage ModelApplication, Case study, 80 files
- ApplicationLive application
- Case studyCase study page
- DEPLOY_RAILWAY.mdMarkdown document · 3.4 KB
- ProcfileProcess file · 42 bytes
- config.pyPython source · 11 KB
- connectors/__init__.pyPython source · 301 bytes
- connectors/base.pyPython source · 8.3 KB
- connectors/binance.pyPython source · 4.8 KB
- connectors/bybit.pyPython source · 2.7 KB
- connectors/coinbase.pyPython source · 3.2 KB
- connectors/okx.pyPython source · 2.9 KB
- engine/__init__.pyPython source · 602 bytes
- engine/arbitrage_detector.pyPython source · 21 KB
- engine/execution/__init__.pyPython source · 193 bytes
- engine/execution/udp_dispatcher.pyPython source · 8.5 KB
- engine/lead_lag_brain.pyPython source · 29 KB
- engine/models/__init__.pyPython source · 1.7 KB
- engine/models/base.pyPython source · 7.2 KB
- engine/models/jumps/__init__.pyPython source · 404 bytes
- engine/models/jumps/jump_detection.pyPython source · 14 KB
- engine/models/manager.pyPython source · 11 KB
- engine/models/microstructure/__init__.pyPython source · 463 bytes
- engine/models/microstructure/price_impact.pyPython source · 12 KB
- engine/models/options/__init__.pyPython source · 455 bytes
- engine/models/options/black_scholes.pyPython source · 12 KB
- engine/models/regime/__init__.pyPython source · 478 bytes
- engine/models/regime/hamilton_filter.pyPython source · 15 KB
- engine/models/risk/__init__.pyPython source · 416 bytes
- engine/models/risk/var_es.pyPython source · 20 KB
- engine/models/stat_arb/__init__.pyPython source · 451 bytes
- engine/models/stat_arb/kalman_filter.pyPython source · 14 KB
- engine/models/volatility/__init__.pyPython source · 546 bytes
- engine/models/volatility/garch.pyPython source · 15 KB
- engine/models/volatility/realized_vol.pyPython source · 8.0 KB
- engine/normalizer.pyPython source · 1.6 KB
- engine/paper_trader.pyPython source · 25 KB
- engine/spread_calculator.pyPython source · 4.4 KB
- engine/trade_logger.pyPython source · 24 KB
- executor/Cargo.tomlCargo manifest · 1.3 KB
- executor/src/config.rsRust source · 4.9 KB
- executor/src/exchange.rsRust source · 16 KB
- executor/src/main.rsRust source · 6.0 KB
- executor/src/signal.rsRust source · 8.1 KB
- executor/src/signer.rsRust source · 4.2 KB
- main.pyPython source · 10 KB
- models/__init__.pyPython source · 43 bytes
- models/tick.pyPython source · 1.4 KB
- railway.tomlTOML configuration · 212 bytes
- requirements.txtPython requirements · 259 bytes
- research/lead_lag_analysis.mdMarkdown document · 7.2 KB
- run_dashboard.pyPython source · 17 KB
- runtime.txtRuntime version · 14 bytes
- rust-order-manager/Cargo.lockCargo lockfile · 64 KB
- rust-order-manager/Cargo.tomlCargo manifest · 1.4 KB
- rust-order-manager/src/auth/binance.rsRust source · 2.1 KB
- rust-order-manager/src/auth/bybit.rsRust source · 2.1 KB
- rust-order-manager/src/auth/coinbase.rsRust source · 2.2 KB
- rust-order-manager/src/auth/hmac.rsRust source · 933 bytes
- rust-order-manager/src/auth/mod.rsRust source · 275 bytes
- rust-order-manager/src/config/mod.rsRust source · 4.5 KB
- rust-order-manager/src/exchange/binance.rsRust source · 7.0 KB
- rust-order-manager/src/exchange/bybit.rsRust source · 8.1 KB
- rust-order-manager/src/exchange/coinbase.rsRust source · 7.6 KB
- rust-order-manager/src/exchange/mod.rsRust source · 396 bytes
- rust-order-manager/src/exchange/traits.rsRust source · 1.8 KB
- rust-order-manager/src/main.rsRust source · 5.6 KB
- rust-order-manager/src/order/manager.rsRust source · 18 KB
- rust-order-manager/src/order/mod.rsRust source · 141 bytes
- rust-order-manager/src/order/position.rsRust source · 2.0 KB
- rust-order-manager/src/protocol/codec.rsRust source · 5.5 KB
- rust-order-manager/src/protocol/messages.rsRust source · 3.1 KB
- rust-order-manager/src/protocol/mod.rsRust source · 238 bytes
- rust-order-manager/src/report/mod.rsRust source · 9.0 KB
- test_lead_lag.pyPython source · 8.7 KB
- utils/__init__.pyPython source · 127 bytes
- utils/logger.pyPython source · 2.3 KB
- web/__init__.pyPython source · 476 bytes
- web/server.pyPython source · 32 KB
- web/static/css/dashboard.cssStylesheet · 20 KB
- web/static/js/dashboard.jsJavaScript source · 40 KB
- web/templates/dashboard.htmlHTML template · 38 KB
- web/templates/quant_models.htmlHTML template · 30 KB
- Integrated Options Modelling PlatformApplication, Case study, 23 files
Crypto Lead-Lag Arbitrage Model
Projects
Live BTC lead-lag arbitrage model by Jeeve Singh, reading Binance, Coinbase, Bybit and OKX order books to run reactive and predictive signals.
Open case studyProjects
Work
Software projects with live applications and their source files.
Back to Crypto Lead-Lag Arbitrage ModelApplication
Projects / Crypto Lead-Lag Arbitrage Model
Live BTC lead-lag arbitrage model by Jeeve Singh, reading Binance, Coinbase, Bybit and OKX order books to run reactive and predictive signals.
Launch AppBack to Crypto Lead-Lag Arbitrage ModelCase study
Projects / Crypto Lead-Lag Arbitrage Model
The full write-up of Crypto Lead-Lag Arbitrage Model.
Open case studyBack to Crypto Lead-Lag Arbitrage ModelDEPLOY_RAILWAY.md
Crypto Lead-Lag Arbitrage Model / Files
Step-by-step guide to deploying the model on Railway.
Download fileBack to Crypto Lead-Lag Arbitrage ModelProcfile
Crypto Lead-Lag Arbitrage Model / Files
Process definition used by the Railway deployment.
Download fileBack to Crypto Lead-Lag Arbitrage Modelconfig.py
Crypto Lead-Lag Arbitrage Model / Files
Configuration for the Crypto Arbitrage Model.
Download fileBack to Crypto Lead-Lag Arbitrage Modelconnectors/__init__.py
Crypto Lead-Lag Arbitrage Model / Files
Python package marker.
Download fileBack to Crypto Lead-Lag Arbitrage Modelconnectors/base.py
Crypto Lead-Lag Arbitrage Model / Files
Base WebSocket connector with reconnection and heartbeat logic.
Download fileBack to Crypto Lead-Lag Arbitrage Modelconnectors/binance.py
Crypto Lead-Lag Arbitrage Model / Files
Binance WebSocket connector for bookTicker stream.
Download fileBack to Crypto Lead-Lag Arbitrage Modelconnectors/bybit.py
Crypto Lead-Lag Arbitrage Model / Files
Bybit V5 WebSocket connector for spot orderbook (top-of-book).
Download fileBack to Crypto Lead-Lag Arbitrage Modelconnectors/coinbase.py
Crypto Lead-Lag Arbitrage Model / Files
Coinbase WebSocket connector for ticker channel.
Download fileBack to Crypto Lead-Lag Arbitrage Modelconnectors/okx.py
Crypto Lead-Lag Arbitrage Model / Files
OKX WebSocket connector for best bid/offer (BBO) channel.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/__init__.py
Crypto Lead-Lag Arbitrage Model / Files
Python package marker.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/arbitrage_detector.py
Crypto Lead-Lag Arbitrage Model / Files
Arbitrage detection engine.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/execution/__init__.py
Crypto Lead-Lag Arbitrage Model / Files
Execution module for live trading via Rust order manager.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/execution/udp_dispatcher.py
Crypto Lead-Lag Arbitrage Model / Files
UDP Signal Dispatcher for Rust Order Manager.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/lead_lag_brain.py
Crypto Lead-Lag Arbitrage Model / Files
Lead-Lag Arbitrage Brain.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/__init__.py
Crypto Lead-Lag Arbitrage Model / Files
Quantitative Financial Models for Cryptocurrency Markets.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/base.py
Crypto Lead-Lag Arbitrage Model / Files
Base model interface for quantitative financial models.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/jumps/__init__.py
Crypto Lead-Lag Arbitrage Model / Files
Jump detection models for cryptocurrency price dynamics.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/jumps/jump_detection.py
Crypto Lead-Lag Arbitrage Model / Files
Jump Detection Models for Cryptocurrency Price Dynamics.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/manager.py
Crypto Lead-Lag Arbitrage Model / Files
Model Manager - Orchestrates all quantitative models.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/microstructure/__init__.py
Crypto Lead-Lag Arbitrage Model / Files
Market microstructure models for cryptocurrency order books.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/microstructure/price_impact.py
Crypto Lead-Lag Arbitrage Model / Files
Market Microstructure Models for Cryptocurrency Order Books.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/options/__init__.py
Crypto Lead-Lag Arbitrage Model / Files
Options pricing models for cryptocurrency derivatives.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/options/black_scholes.py
Crypto Lead-Lag Arbitrage Model / Files
Black-Scholes-Merton Option Pricing Model.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/regime/__init__.py
Crypto Lead-Lag Arbitrage Model / Files
Regime detection models for cryptocurrency markets.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/regime/hamilton_filter.py
Crypto Lead-Lag Arbitrage Model / Files
Hamilton Filter for Markov-Switching Regime Detection.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/risk/__init__.py
Crypto Lead-Lag Arbitrage Model / Files
Risk measurement models for cryptocurrency portfolios.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/risk/var_es.py
Crypto Lead-Lag Arbitrage Model / Files
Value at Risk (VaR) and Expected Shortfall (ES) Risk Measures.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/stat_arb/__init__.py
Crypto Lead-Lag Arbitrage Model / Files
Statistical arbitrage models for cryptocurrency pairs trading.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/stat_arb/kalman_filter.py
Crypto Lead-Lag Arbitrage Model / Files
Kalman Filter for Dynamic Hedge Ratio Estimation.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/volatility/__init__.py
Crypto Lead-Lag Arbitrage Model / Files
Volatility models for cryptocurrency markets.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/volatility/garch.py
Crypto Lead-Lag Arbitrage Model / Files
GARCH Family Volatility Models.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/models/volatility/realized_vol.py
Crypto Lead-Lag Arbitrage Model / Files
Realized Volatility Estimators.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/normalizer.py
Crypto Lead-Lag Arbitrage Model / Files
Symbol normalization between exchanges.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/paper_trader.py
Crypto Lead-Lag Arbitrage Model / Files
Paper trading simulator for tracking hypothetical P&L.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/spread_calculator.py
Crypto Lead-Lag Arbitrage Model / Files
Fee-adjusted spread calculation.
Download fileBack to Crypto Lead-Lag Arbitrage Modelengine/trade_logger.py
Crypto Lead-Lag Arbitrage Model / Files
Comprehensive Trade Logger.
Download fileBack to Crypto Lead-Lag Arbitrage Modelexecutor/Cargo.toml
Crypto Lead-Lag Arbitrage Model / Files
Rust crate manifest listing dependencies and release settings.
Download fileBack to Crypto Lead-Lag Arbitrage Modelexecutor/src/config.rs
Crypto Lead-Lag Arbitrage Model / Files
Configuration management.
Download fileBack to Crypto Lead-Lag Arbitrage Modelexecutor/src/exchange.rs
Crypto Lead-Lag Arbitrage Model / Files
Exchange client implementations.
Download fileBack to Crypto Lead-Lag Arbitrage Modelexecutor/src/main.rs
Crypto Lead-Lag Arbitrage Model / Files
Ultra-Low-Latency Order Executor.
Download fileBack to Crypto Lead-Lag Arbitrage Modelexecutor/src/signal.rs
Crypto Lead-Lag Arbitrage Model / Files
Trading signal definitions and parsing.
Download fileBack to Crypto Lead-Lag Arbitrage Modelexecutor/src/signer.rs
Crypto Lead-Lag Arbitrage Model / Files
Cryptographic signing for exchange authentication.
Download fileBack to Crypto Lead-Lag Arbitrage Modelmain.py
Crypto Lead-Lag Arbitrage Model / Files
Crypto Arbitrage Detection System.
Download fileBack to Crypto Lead-Lag Arbitrage Modelmodels/__init__.py
Crypto Lead-Lag Arbitrage Model / Files
Python package marker.
Download fileBack to Crypto Lead-Lag Arbitrage Modelmodels/tick.py
Crypto Lead-Lag Arbitrage Model / Files
Normalized tick data model.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrailway.toml
Crypto Lead-Lag Arbitrage Model / Files
Railway deployment configuration.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrequirements.txt
Crypto Lead-Lag Arbitrage Model / Files
Python packages the project depends on.
Download fileBack to Crypto Lead-Lag Arbitrage Modelresearch/lead_lag_analysis.md
Crypto Lead-Lag Arbitrage Model / Files
Research notes on how altcoins follow BTC moves, the beta model behind the predictive signal and its data sources.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrun_dashboard.py
Crypto Lead-Lag Arbitrage Model / Files
Crypto Arbitrage Dashboard - Combined Runner.
Download fileBack to Crypto Lead-Lag Arbitrage Modelruntime.txt
Crypto Lead-Lag Arbitrage Model / Files
Python runtime version used for deployment.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/Cargo.lock
Crypto Lead-Lag Arbitrage Model / Files
Cargo lockfile pinning the exact crate versions.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/Cargo.toml
Crypto Lead-Lag Arbitrage Model / Files
Rust crate manifest listing dependencies and release settings.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/auth/binance.rs
Crypto Lead-Lag Arbitrage Model / Files
Binance API authentication.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/auth/bybit.rs
Crypto Lead-Lag Arbitrage Model / Files
Bybit V5 API authentication.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/auth/coinbase.rs
Crypto Lead-Lag Arbitrage Model / Files
Coinbase Advanced Trade API authentication.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/auth/hmac.rs
Crypto Lead-Lag Arbitrage Model / Files
HMAC-SHA256 signing utility.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/auth/mod.rs
Crypto Lead-Lag Arbitrage Model / Files
Exchange authentication and signing.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/config/mod.rs
Crypto Lead-Lag Arbitrage Model / Files
Configuration loading from environment variables.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/exchange/binance.rs
Crypto Lead-Lag Arbitrage Model / Files
Binance exchange client.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/exchange/bybit.rs
Crypto Lead-Lag Arbitrage Model / Files
Bybit V5 exchange client.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/exchange/coinbase.rs
Crypto Lead-Lag Arbitrage Model / Files
Coinbase Advanced Trade exchange client.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/exchange/mod.rs
Crypto Lead-Lag Arbitrage Model / Files
Exchange clients for order submission.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/exchange/traits.rs
Crypto Lead-Lag Arbitrage Model / Files
Exchange client trait definition.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/main.rs
Crypto Lead-Lag Arbitrage Model / Files
Crypto Order Manager - High-performance order execution.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/order/manager.rs
Crypto Lead-Lag Arbitrage Model / Files
Order manager - processes signals and submits orders.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/order/mod.rs
Crypto Lead-Lag Arbitrage Model / Files
Order management and execution.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/order/position.rs
Crypto Lead-Lag Arbitrage Model / Files
Position tracking.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/protocol/codec.rs
Crypto Lead-Lag Arbitrage Model / Files
Binary codec for parsing UDP messages.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/protocol/messages.rs
Crypto Lead-Lag Arbitrage Model / Files
Message definitions for the binary protocol.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/protocol/mod.rs
Crypto Lead-Lag Arbitrage Model / Files
Binary protocol for Python-Rust communication.
Download fileBack to Crypto Lead-Lag Arbitrage Modelrust-order-manager/src/report/mod.rs
Crypto Lead-Lag Arbitrage Model / Files
P&L reporting back to Python via UDP.
Download fileBack to Crypto Lead-Lag Arbitrage Modeltest_lead_lag.py
Crypto Lead-Lag Arbitrage Model / Files
Test script to verify the lead-lag model works correctly.
Download fileBack to Crypto Lead-Lag Arbitrage Modelutils/__init__.py
Crypto Lead-Lag Arbitrage Model / Files
Python package marker.
Download fileBack to Crypto Lead-Lag Arbitrage Modelutils/logger.py
Crypto Lead-Lag Arbitrage Model / Files
Non-blocking logging setup using QueueHandler.
Download fileBack to Crypto Lead-Lag Arbitrage Modelweb/__init__.py
Crypto Lead-Lag Arbitrage Model / Files
Web dashboard package.
Download fileBack to Crypto Lead-Lag Arbitrage Modelweb/server.py
Crypto Lead-Lag Arbitrage Model / Files
Real-time Web Dashboard Server.
Download fileBack to Crypto Lead-Lag Arbitrage Modelweb/static/css/dashboard.css
Crypto Lead-Lag Arbitrage Model / Files
Dashboard Stylesheet.
Download fileBack to Crypto Lead-Lag Arbitrage Modelweb/static/js/dashboard.js
Crypto Lead-Lag Arbitrage Model / Files
Real-time Dashboard JavaScript.
Download fileBack to Crypto Lead-Lag Arbitrage Modelweb/templates/dashboard.html
Crypto Lead-Lag Arbitrage Model / Files
HTML template for Crypto Arbitrage.
Download fileBack to Crypto Lead-Lag Arbitrage Modelweb/templates/quant_models.html
Crypto Lead-Lag Arbitrage Model / Files
HTML template for Analytics - CryptoArb.
Download file