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ReLOBGen: Replayable Limit Order Book Message Generation

This story is from 2026-09-30. It is preserved in the archive; the latest stories are on the live feed.

arXiv:2609.35867v1 Announce Type: new Abstract: We propose ReLOBGen, a method for generating limit order book (LOB) messages that are replayable by construction. Replayability is required for closed-loop market simulation, yet existing LOB message generators may produce non-replayable raw messages,…

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  1. 2026-09-30 04:00 · arXiv cs.LG
    ReLOBGen: Replayable Limit Order Book Message Generation

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