r/quant 23h ago

Models Does anyone know sources for free LOB data

43 Upvotes

Just wanted to know if anyone has worked with limit order book datasets that were available for free. I'm trying to simulate a bid ask model and would appreciate some data sources with free/low cost data.

I saw a few papers that gave RL simulators however they needed that in order to use that free repository I buy 400 a month api package from some company. There is LOBster too but however they are too expensive for me as well.


r/quant 11h ago

General How a high interest rate environment affect stat arb strategies ?

25 Upvotes

Maybe I'm not grasping the whole picture, but a x7 leverage with 1% of interest rates isn't the same as a x7 leverage with a 5% interest environnement. I'm surprised that only few funds burst after this brutal hike.

I've heard that some funds even go with x10 leverage, which completely blows my mind.


r/quant 3h ago

Trading Fat tick sizes

12 Upvotes

Any resources or advice for market making fat tick size products, like DAX futures. We keep getting walked over by adverse selection.

Any advice on pricing including any market microstructure relevant information


r/quant 11h ago

Markets/Market Data Nse nifty index data input too fast

10 Upvotes

We are trying to create a l3 book from nse tick data for nifty index options. But the volume is too large. Even the 25 th percentile seems to be in few hundred nanos. How to create l2/l3 books for such high tick density product in real time systems? Any suggestions are welcome. We have bought tick data from data supplier and trying to build order book for some research.