Markets Execution Data

Synthetic limit order book data describing a series of buy and sell orders of financial instruments (stocks) by various market participants at a public stock exchange. Specifically, this data will contain messages and snapshots of orders over time. The data represents N trading days of simulated data for high liquidity stocks in different market regimes (e.g., trending up/down, high/low volatility).

Sample Order Book Data

Sample Order book data

Sample Order Stream Data

Sample order stream data

References

1. Generating Synthetic Data in Finance: Opportunities, challenges and pitfalls. S Assefa, D Dervovic, M Mahfouz, R Tillman, P Reddy, T Balch and M Veloso. Proceedings of the 1st International Conference on AI in Finance (ICAIF), 2020. Also in NeurIPS 2019 Workshop on AI in Financial Services

2. Get Real: Realism Metrics for Robust Limit Order Book Market Simulations. S. Vyetrenko et al. Proceedings of the 1st International Conference on AI in Finance (ICAIF), 2020.

Would you like to know more about AI Research at J.P. Morgan?

For upcoming workshops and updates, visit: