AlphaTrade

Research in Limit Order Book for Optimal Execution

• perception, predicting, planning&controlling

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

Outlines for our work:

• Converting into Jax

• Baseline Models(TWAP, VWAP), Pre-train(Imitation Learning, GAIL)

• Representing the order book

• Generating Order Flows by Tockenizing with Large Language Models

• Anyone who might conribute codes to this repositry, please send email to me: [email protected]