LOBSTER: high-frequency, easy-to-use and latest limit order book data for your research.
Clawing in the Jungle | May 7, 2020
Arnaud Amsellem just publishes an exciting research using LOBSTER data. – Using random forest to model limit order book dynamicgo to blog.
MathWorks Publishes Machine Learning Applications Using LOBSTER Data | March 19, 2020
go to blog.
Evaluate Trading Strategies by Using LOBSTER Data | March 11, 2020
— A short review of a working paper by Balch et.al (2019) from J.P. Morgan Artificial Intelligence Research and Imperial College London
T.H. Balch et.al have published a working paper, “How to Evaluate Trading Strategies: Single Agent Market Replay or Multiple Agent Interactive Simulation?” In the paper, by using LOBSTER data they show how a multi-agent simulator can support two important but distinct methods for assessing a trading strategy: Market Replay (backtesting) and Interactive Agent-Based Simulation (IABS).
In particular, they implement backtesting using three agents: An exchange agent representing the exchange which keeps the order book (e.g., Nasdaq or NYSE), a market replay agent that provides
The experimental agent is configured to participate in the simulation in a manner similar to the market replay agent, with the orders submitted dependent on the experiment carried out. She uses a strategic “greed” parameter to determine what size order to place relative to the available liquidity. In the visualized experiment, the impact agent queries liquidity within 1% of the inside bid (if selling) or ask (if buying) and with greed = 1.0 places an order to capture all of it. [How exactly the greed level is defined is not very clear for me.]
The above two figures show the typical simulation result observed by the authors. They conclude that in the backtesting environment the price trends rather quickly back to the baseline price, eventually reaching that price and remaining there [the authors also point out that whether the price finally stabilized at the baseline price seems to depend on the trading side. Although by looking their figures, I can not see this clearly.] . However, in the IABS experiments, the price stabilizes at a new level in each set of experiments, suggesting that the impact of the order is longer lasting or even permanent.go to blog.
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