Git Product home page Git Product logo

alphatrade's Introduction

JAX-LOB

JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading

Architecture of the package:

  • gymnax_exchange: the GPU version of rl_environment
    • jaxob: Jax limit order book
    • jaxen: Jax trading_environment
    • jaxrl: Jax training loop

Dependencies

pip install jax[cuda]==0.4.11 -f https://storage.googleapis.com/jax-releases/jax_cuda_releases.html jaxlib==0.4.11 -f https://storage.googleapis.com/jax-releases/jax_cuda_releases.html distrax brax chex flax optax gymnax wandb  

Installation

To install the latest version of Jaxlob, run:

pip install jaxlob

Citation

If you find this project useful, please cite:

@misc{frey2023jaxlob,
      title={JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading}, 
      author={Sascha Frey and Kang Li and Peer Nagy and Silvia Sapora and Chris Lu and Stefan Zohren and Jakob Foerster and Anisoara Calinescu},
      year={2023},
      eprint={2308.13289},
      archivePrefix={arXiv},
      primaryClass={q-fin.TR}
}

Contribution

  • Anyone who might contribute codes to this repository, please email me: [email protected]

alphatrade's People

Contributors

kangoxford avatar peernagy avatar saschafrey avatar

Stargazers

 avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar

Watchers

 avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar  avatar

alphatrade's Issues

GRU Model Error

Running the GRU Model i get this error:

TypeError: The RNNCellBase API has changed, the error you are experiencing might be caused by this change. Please update your code to the new API, for more information on how to do this please check out the RNNCellBase migration guide: https://flax.readthedocs.io/en/latest/guides/rnncell_upgrade_guide.html

orderbook

image

Why did you need to revise the CPU version order book?

Recommend Projects

  • React photo React

    A declarative, efficient, and flexible JavaScript library for building user interfaces.

  • Vue.js photo Vue.js

    ๐Ÿ–– Vue.js is a progressive, incrementally-adoptable JavaScript framework for building UI on the web.

  • Typescript photo Typescript

    TypeScript is a superset of JavaScript that compiles to clean JavaScript output.

  • TensorFlow photo TensorFlow

    An Open Source Machine Learning Framework for Everyone

  • Django photo Django

    The Web framework for perfectionists with deadlines.

  • D3 photo D3

    Bring data to life with SVG, Canvas and HTML. ๐Ÿ“Š๐Ÿ“ˆ๐ŸŽ‰

Recommend Topics

  • javascript

    JavaScript (JS) is a lightweight interpreted programming language with first-class functions.

  • web

    Some thing interesting about web. New door for the world.

  • server

    A server is a program made to process requests and deliver data to clients.

  • Machine learning

    Machine learning is a way of modeling and interpreting data that allows a piece of software to respond intelligently.

  • Game

    Some thing interesting about game, make everyone happy.

Recommend Org

  • Facebook photo Facebook

    We are working to build community through open source technology. NB: members must have two-factor auth.

  • Microsoft photo Microsoft

    Open source projects and samples from Microsoft.

  • Google photo Google

    Google โค๏ธ Open Source for everyone.

  • D3 photo D3

    Data-Driven Documents codes.