Skip to content

Instantly share code, notes, and snippets.

View Kautenja's full-sized avatar
:octocat:
$(git status)

Christian Kauten Kautenja

:octocat:
$(git status)
View GitHub Profile
@halfelf
halfelf / how_to_build_a_fast_limit_order_book.md
Created February 11, 2019 02:18
How to Build a Fast Limit Order Book

https://web.archive.org/web/20110219163448/http://howtohft.wordpress.com/2011/02/15/how-to-build-a-fast-limit-order-book/

The response to my first few posts has been much larger than I’d imagined and I’d like to thank everyone for the encouragement.

If you’re interested in building a trading system I recommend first reading my previous post on general ideas to keep in mind.

My first really technical post will be on how to build a limit order book, probably the single most important component of a trading system. Because the data structure chosen to represent the limit order book will be the primary source of market information for trading models, it is important to make it both absolutely correct and extremely fast.

To give some idea of the data volumes, the Nasdaq TotalView ITCH feed, which is every event in every instrument traded on the Nasdaq, can have data rates of 20+ gigabytes/day with spikes of 3 megabytes/second or more. The individual messages average about 20 bytes each so this means handling

@EliasHasle
EliasHasle / Retro_SMB_Wrapper.py
Last active April 14, 2019 14:53
Retro SuperMarioBros-Nes wrapper that skips busy frames and converts to discrete action space (alpha, not thoroughly tested)
#Inspired by
#https://github.com/Kautenja/nes-py/blob/master/nes_py/wrappers/binary_to_discrete_space_env.py
#and
#https://github.com/openai/retro-baselines/blob/master/agents/sonic_util.py
#but copying directly from neither.
#Requires retro.
#Requires SuperMarioBros NES rom (USA/Japan). Once you have it, can be imported to retro:
#> python -m retro.import directory_name
#(identifies the ROM if it is there and has the .nes extension.)
@zhanwenchen
zhanwenchen / Install NVIDIA Driver and CUDA.md
Last active March 13, 2024 23:42 — forked from wangruohui/Install NVIDIA Driver and CUDA.md
Install NVIDIA CUDA 9.0 on Ubuntu 16.04.4 LTS
@wassname
wassname / keras_weighted_categorical_crossentropy.py
Last active December 19, 2023 18:17
Keras weighted categorical_crossentropy (please read comments for updated version)
"""
A weighted version of categorical_crossentropy for keras (2.0.6). This lets you apply a weight to unbalanced classes.
@url: https://gist.github.com/wassname/ce364fddfc8a025bfab4348cf5de852d
@author: wassname
"""
from keras import backend as K
def weighted_categorical_crossentropy(weights):
"""
A weighted version of keras.objectives.categorical_crossentropy
@wangruohui
wangruohui / Install NVIDIA Driver and CUDA.md
Last active June 29, 2024 09:06
Install NVIDIA Driver and CUDA on Ubuntu / CentOS / Fedora Linux OS
@ygotthilf
ygotthilf / jwtRS256.sh
Last active June 27, 2024 16:13
How to generate JWT RS256 key
ssh-keygen -t rsa -b 4096 -m PEM -f jwtRS256.key
# Don't add passphrase
openssl rsa -in jwtRS256.key -pubout -outform PEM -out jwtRS256.key.pub
cat jwtRS256.key
cat jwtRS256.key.pub
@PurpleBooth
PurpleBooth / README-Template.md
Last active June 30, 2024 00:35
A template to make good README.md

Project Title

One Paragraph of project description goes here

Getting Started

These instructions will get you a copy of the project up and running on your local machine for development and testing purposes. See deployment for notes on how to deploy the project on a live system.

Prerequisites

@craffel
craffel / draw_neural_net.py
Created January 10, 2015 04:59
Draw a neural network diagram with matplotlib!
import matplotlib.pyplot as plt
def draw_neural_net(ax, left, right, bottom, top, layer_sizes):
'''
Draw a neural network cartoon using matplotilb.
:usage:
>>> fig = plt.figure(figsize=(12, 12))
>>> draw_neural_net(fig.gca(), .1, .9, .1, .9, [4, 7, 2])
@niw
niw / libpng_test.c
Last active June 19, 2024 10:32
How to read and write PNG file using libpng. Covers trivial method calls like png_set_filler.
/*
* A simple libpng example program
* http://zarb.org/~gc/html/libpng.html
*
* Modified by Yoshimasa Niwa to make it much simpler
* and support all defined color_type.
*
* To build, use the next instruction on OS X.
* $ brew install libpng
* $ clang -lz -lpng16 libpng_test.c
@jamiees2
jamiees2 / astar.py
Created May 7, 2013 11:20
A* Algorithm implementation in python.
# Enter your code here. Read input from STDIN. Print output to STDOUT
class Node:
def __init__(self,value,point):
self.value = value
self.point = point
self.parent = None
self.H = 0
self.G = 0
def move_cost(self,other):
return 0 if self.value == '.' else 1