Beehamer

ChrisWang1999

IrisQY

High-frequency(milisecond) FX trading data provided by Integral. The dataset contains bid-ask offerings from 5 major liquidity providers for 8 currencies (AUD-USD, EUR-USD, GBP-USD, NZD-USD, USD-JPY, USD-SEK, USD-CAD and USD-CHF). The dataset covers 2019/02/01 to 2019/03/01.

Data Statistics

Training Pipeline

DRL Model Structure

Experiment Results for DRL on EUR-USD

DRL Performance Summary for EUR-USD on Test Set

DQN Model Structure

Experiment Results for DQN on AUD-USD

[1] Yue Deng, Feng Bao, Youyong Kong, Zhiquan Ren, and Qionghai Dai. Deep direct reinforcement learning for financial signal representation and trading. IEEE transactions on neural networks and learning systems, 28(3):653–664, 2016.

[2] Chien Yi Huang. Financial trading as a game: A deep reinforcement learning approach. arXiv preprint arXiv:1807.02787, 2018.

[3] John Moody and Matthew Saffell. Learning to trade via direct reinforcement. IEEE transactions on neural Networks, 12(4):875–889, 2001.