用流匹配高效生成可调控的订单簿,真实度和速度双优。
FlowLOB: Efficient and Controllable Limit Order Book Generation with Flow Matching

- 基于流匹配建模订单簿轨迹,支持多频率数据训练
- 仅需10步求解即达高保真度,远快于扩散模型
- 零样本迁移至未见标的,可控性与真实性兼备
限价订单簿(LOB)模拟器在兼具真实市场动态、计算高效采样、可调控场景生成及跨标的泛化能力时对从业者最有价值,但现有基于代理与深度生成的模拟器仅部分满足这些需求。本文提出FlowLOB,一种条件流匹配的订单簿轨迹生成器,在多个港交所(HKEX)标的上以0.1秒、1秒、10秒三种采样频率进行训练,采用报价相对表示,并实现零样本迁移至未见标的。由于流模型与扩散模型具有统一形式,我们使用相同数据、架构与预算训练两者,并通过相同固定步数的常微分方程求解器采样,从而实现采样效率与保真度的公平对比。流匹配仅需10步即达到最优质量,而扩散模型需更多函数评估才能接近同等精度。在此高效点下,FlowLOB在两个更细粒度采样频率上,多数分布指标优于两组学习型与两组基于代理的基线模型。通过分布测试验证反事实可控性:改变条件是否使生成统计量趋向真实尾部状态;结果表明,多数设置下FlowLOB满足该标准。真实度与控制效果在保留符号上实现零样本迁移。此外,还进行了网络结构与学习率的消融实验。
原文摘要 · Abstract (English)
Limit order book (LOB) simulators are most useful to practitioners when they combine realistic market dynamics, computationally efficient sampling, controllable scenario generation, and the ability to generalize beyond the instruments seen during training---properties that existing agent-based and deep generative simulators provide only partially. We present \textbf{FlowLOB}, a conditional \textbf{flow}-matching generator of \textbf{LOB} trajectories, trained on multiple Hong Kong Exchange (HKEX) symbols at three sampling frequencies ($0.1$s, $1$s, $10$s) in tick-relative representation that transfers to unseen instruments. Because flow and diffusion models admit a common formulation, we train both with identical data, architecture, and budget, and sample both through the same fixed-step ODE solvers, yielding a controlled comparison of sampling efficiency and fidelity. Flow matching attains its best quality with only $10$ ODE-solver steps, whereas diffusion needs many more function evaluations to approach the same fidelity. At this efficient operating point, FlowLOB improves realism over baselines, two learned and two agent-based models, in most distributional metrics at the two finer sampling frequencies. We evaluate counterfactual controllability with a distributional test that asks whether changing a scenario condition moves the generated statistic toward the corresponding real tail regime; FlowLOB satisfies this criterion in most tested settings. Both realism and control effects transfer zero-shot on a held-out symbol. We additionally conduct ablation studies on the network architecture and the learning rate.
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