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#

vwap

Here are 38 public repositories matching this topic...

High-performance limit order book engine with C++ core and Python SDK. Processes 20M+ msgs/sec with us latency. Supports real crypto/equity data replay, spread/imbalance/impact analytics, and backtesting of VWAP, TWAP, POV, and market-making strategies with reproducible PnL and risk metrics.

  • Updated Aug 30, 2025
  • C++

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