search

tspooner / rl_markets

Market Making via Reinforcement Learning
https://arxiv.org/abs/1804.04216v1
BSD 3-Clause "New" or "Revised" License
311 stars 105 forks source link

where can I download the data files? #4

Closed rongzhou closed 5 years ago

rongzhou commented 5 years ago

Failed to run it without data, Is it possible to get the original data files? Thanks in advance.

tspooner commented 5 years ago

Hey rongzhou. So this work is about how one can derive strategies directly from data. Unfortunately, I can't give you access to ours as it's very expensive and under strict requirements about sharing.

Sorry about that.

tspooner commented 5 years ago

You will need to source your own L2 data (or better) and code up a parser to integrate in the existing codebase.

mbasso commented 5 years ago

Hi @rongzhou, have you found a solution for this? I'm currently searching for a dataset too