JAX-LOB: A GPU-Accelerated limit order book simulator to unlock large scale reinforcement learning for trading
gymnax_exchange: theGPUversion of rl_environmentjaxob: Jax limit order bookjaxen: Jax trading_environmentjaxrl: Jax training loop
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
To install the latest version of Jaxlob, run:
pip install jaxlobIf 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}
}
- Anyone who might contribute codes to this repository, please email me: kang@robots.ox.ac.uk