Market Microstructure Python Packages

aperiodic

Python SDK for Aperiodic: point-in-time crypto microstructure, liquidity and order-flow metrics as parquet.

wickra-impact

The backtester that knows you would have moved the market: agent-based fills on the real historical L2 order book.

orderflow-metrics

Microstructure order-flow metrics — Order Flow Imbalance (OFI), depth and trade imbalance. Dependency-free TypeScript.

itch-book

NASDAQ TotalView-ITCH 5.0 parser and order book: header-only C++23 core, pip install itch-book for BBO, trades, order-by-order and depth Parquet tables

cleolob

Research-grade limit order book and market microstructure laboratory for simulation, historical L2 validation, execution algorithms, reinforcement learning, and quantitative research.

oracle3

Oracle3: open-source trading engine and MCP server for prediction markets. Finds fee-adjusted no-arbitrage violations across related event contracts and trades them live on Kalshi, Polymarket and Solana, or on paper, under pre-trade risk limits. 13 MCP tools, JSON CLI, agent skills, 600+ tests.

ordersim

Inspectable execution simulator for order-book replay and latency-aware fill simulation

tradetropy

Open-source algorithmic trading framework: backtesting, live trading (CCXT Pro + MT5), replay/paper, order flow and footprint, pattern DSL, Monte Carlo robustness and interactive plotting.

backtest2live

Check a backtest against what live execution would do. Convergence and fill-gap checks, run locally on your own files and public data. Python CLI (bt2live) + Claude Code plugin.

obook

A fast, embeddable limit-order-book & matching engine in Go — plus a microstructure research harness and a WASM-powered animated explainer. MIT.

financialkit

Quantitative-finance toolkit for learning and teaching: options, fixed income, rates, credit, Monte Carlo, PDE, stochastic volatility, risk, portfolios -- built on numpy/scipy.

pytca

Algo Library for Order Flow Inference and TCA

tracebook-sim

Conformance testing, semantic diffing, and minimal reproducible failures for matching engines.

bar-forge

Tick, volume, dollar, and imbalance bars for financial time series, plus strictly causal cross-instrument normalization. NumPy only.

quantfinlib

Fundamental package for quantitative finance with Python.

crobat

Academic python library that records changes to instances of the limit order book for pairs supported on the coinbase exchange.

zpe-ft

Deterministic codec for delayed public market data. 5.94×–10.90× smaller than raw on declared public corpora; RMSE 0.0 ticks on price field. Phase 06 sovereign authority gated on FT-C004 truth.

tracebook-conformance

Conformance testing, semantic diffing, and minimal reproducible failures for matching engines.

flowpylib

Algo Library for Order Flow Inference and TCA