DeepMarket
DeepMarket is a framework for performing Limit Order Book simulation with Deep Learning. This is also the official repository for the paper 'TRADES: Generating Realistic Market Simulations with Diffusion Models'.
파일 탐색기
최종 버전 다운로드 (.zip)- launch.json
- __init__.py
- EtfArbAgent.py
- EtfMarketMakerAgent.py
- EtfPrimaryAgent.py
- PPFL_ClientAgent.py
- PPFL_ServiceAgent.py
- PPFL_TemplateClientAgent.py
- __init__.py
- ExampleExperimentalAgent.py
- ImpactAgent.py
- MarketReplayAgent.py
- MomentumAgent.py
- QLearningAgent.py
- ShockAgent.py
- SubscriptionAgent.py
- SumClientAgent.py
- SumServiceAgent.py
- ExecutionAgent.py
- POVExecutionAgent.py
- TWAPExecutionAgent.py
- VWAPExecutionAgent.py
- AdaptiveMarketMakerAgent.py
- MarketMakerAgent.py
- POVMarketMakerAgent.py
- SpreadBasedMarketMakerAgent.py
- __init__.py
- Agent.py
- ExchangeAgent.py
- FinancialAgent.py
- FundamentalTrackingAgent.py
- HeuristicBeliefLearningAgent.py
- NoiseAgent.py
- OrderBookImbalanceAgent.py
- TradingAgent.py
- ValueAgent.py
- WorldAgent.py
- ZeroIntelligenceAgent.py
- book_plot.py
- dump.py
- event_midpoint.py
- event_ticker.py
- intraday_index.py
- midpoint_plot.py
- plot_exchange.py
- profile.py
- quote_plot.py
- read_agent_logs.py
- sparse_fundamental.py
- sparse_midpoint.py
- sparse_ticker.py
- stats.py
- ticker_plot.py
- __init__.py
- execution.py
- exp_agent_demo.py
- hist_fund_diverse.py
- hist_fund_value.py
- impact.py
- loop_obi.py
- marketreplay.py
- obi_rmsc02.py
- parallel.py
- ppfl_icaif20.py
- ppfl_template.py
- qlearning.py
- random_fund_diverse.py
- random_fund_value.py
- rmsc01.py
- rmsc02.py
- rmsc03.py
- rmsc04.py
- sparse_zi_100.py
- sparse_zi_1000.py
- sum.py
- twoSymbols.py
- value_noise.py
- world_agent_sim.py
- __init__.py
- simple_agent.cfg
- SimpleAgent.py
- util.py
- 20140128_ohlc_1m.bgz
- ct_20140128.bgz
- sample_orders_file.csv
- synthetic_fundamental.bz2
- Message.py
- LatencyModel.py
- abm_market_impact.py
- marketreplay_market_impact.py
- aggregation_normality.py
- autocorrelation.py
- kurtosis.py
- metric.py
- minutely_returns.py
- returns_volatility_correlation.py
- volatility_clustering.py
- volume_volatility_correlation.py
- pov_plot_config.example.json
- rmsc03_demo_multiday.json
- pov_single_day_config.example.json
- rmsc03_demo_single_day.json
- world_agent_sim_single_day.json
- aggregate_stats_schema.md
- market_replay_TSLA_2015-01-29_11-00-00_pov_0.1_40.png
- asset_returns_stylized_facts.py
- execution_aggregate_statistics.py
- get_quotes.py
- impact_multiday_pov.py
- impact_single_day_pov.py
- order_flow_stylized_facts.py
- plot_aamas2020_asset_return_stylized_facts.sh
- realism_utils.py
- mm_search_params.example.sh
- adaptive_mm_search.sh
- book.sh
- capture_profile.sh
- dump.sh
- execution.sh
- experimental_agent_demo.sh
- hardware_macos.sh
- hardware_ubuntu.sh
- hist_fund_diverse.sh
- hist_fund_value.sh
- impact_baseline.sh
- impact_study.sh
- loop_obi.sh
- marketreplay.sh
- obi_rmsc02.sh
- parallel.sh
- random_fund_diverse.sh
- random_fund_value.sh
- rmsc01.sh
- rmsc02.sh
- rmsc03_demo.sh
- run_aamas2020_configs.sh
- run_aamas2020_order_flow_stylized_facts.sh
- sparse_zi_100.sh
- sparse_zi_1000.sh
- stats.sh
- timeit.sh
- world_agent_sim.sh
- hist_fund_diverse.txt
- hist_fund_value.txt
- obi_rmsc02.txt
- random_fund_diverse.txt
- random_fund_value.txt
- rmsc01.txt
- rmsc02.txt
- sparse_zi_100.txt
- sparse_zi_1000.txt
- diffieHellman.py
- logReg.py
- __init__.py
- clean_ohlc_price_series.py
- convert_order_book.py
- convert_order_stream.py
- mid_price_from_orderbook.py
- prepare_abides_data_for_plotting.py
- prepare_dow_data_for_plotting.py
- QTable.py
- __init__.py
- DataOracle.py
- ExternalFileOracle.py
- MeanRevertingOracle.py
- SparseMeanRevertingOracle.py
- __init__.py
- BasketOrder.py
- __init__.py
- LimitOrder.py
- MarketOrder.py
- Order.py
- plot_09.30_12.00.json
- chart_fundamental.py
- chart_fundamental.sh
- liquidity_telemetry.py
- liquidity_telemetry.sh
- rmsc03_two_hour.png
- world_agent_sim.png
- __init__.py
- grid_search.py
- make_grid.py
- OrderBook.py
- random_search.py
- simulation_run_stats.py
- util.py
- .gitignore
- abides.py
- Kernel.py
- LICENSE.txt
- README.md
- setup.py
- val_ema=-1.0419_epoch=0_TSLA_lr_0.001_seq_size_256_seed_30.ckpt
- val_ema=-1.05518_epoch=1_INTC_CGAN_lr_0.001_seq_size_256_seed_30.ckpt
- INTC.zip
- INTC_2015-01-29.csv
- INTC_2015-01-30.csv
- TSLA_2015-01-29.csv
- TSLA_2015-01-30.csv
- architecture.jpg
- simulations-1.png
- simulations.jpg
- predictive_lstm.py
- comparison_core_coef_lags.py
- comparison_correlation_coefficient.py
- comparison_distribution_log_interarrival_times.py
- comparison_distribution_market_spread.py
- comparison_distribution_order_type.py
- comparison_log_return_frequency.py
- comparison_midprice.py
- comparison_multiple_days_midprice.py
- comparison_volume_distribution.py
- PCA_plots.py
- responsiveness.py
- Embedders.py
- Sampler.py
- TRADES.py
- TRADES_hparam.py
- Transformer.py
- diffusion_engine.py
- DiffusionAB.py
- gaussian_diffusion.py
- AbstractAugmenter.py
- MLPAugmenter.py
- cgan.py
- CGAN_hparam.py
- gan_engine.py
- DataModule.py
- LOBDataset.py
- LOBSTERDataBuilder.py
- utils.py
- utils_data.py
- utils_gan.py
- utils_models.py
- .gitattributes
- .gitignore
- Appendix.pdf
- configuration.py
- constants.py
- LICENSE
- main.py
- README.md
- requirements.txt
- run.py
// repository documentation
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