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ReLOBGen: Replayable Limit Order Book Message Generation

arXiv cs.LG ↗ · yesterday Cached

The paper proposes ReLOBGen, a limit order book message generator that ensures replayability by construction by selecting referenced orders from the current resting book and masking invalid tokens, achieving 100% replayability in 500-message rollouts and a 2.7-3.6x speedup per replayed message over the LOBS5 baseline.

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