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jfenner / Order-Imbalance-Trading-Simulation-R-Code

Order Imbalance Trading Simulation R Code
GNU General Public License v2.0
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any idea where i can get kind of data used for free? #1

Open lorrp1 opened 4 years ago

lorrp1 commented 4 years ago

Hello, great work, do you have any idea where i can get the data same data used for free?

or could you provide the data used in the paper as an example?

thanks

jfenner commented 4 years ago

Unfortunately not. I used this more as a training exercise to develop my own algorithm and gathered data from sources such as Alpaca.

lorrp1 commented 4 years ago

would it be possible to reproduce with just tick data with: volumes, ask/sell price?

jfenner commented 4 years ago

You could try it. The algorithm is based on imbalance of the order books, so the more book data you have the better.