ReLOBGen: Replayable Limit Order Book Message Generation
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, i.e., messages inconsistent with the current market state. These generators therefore rely on post-hoc correction or rejection followed by resampling, which may alter the replayed message distribution or increase inference cost. ReLOBGen instead ensures replayability during generation: it selects the referenced order from the resting orders in the current LOB and then generates the remaining message fields to be consistent with that order an...
| Authors | Junoh Kang, Kiseop Lee, Bohyung Han |
|---|---|
| Primary category | cs.LG |
| Published | 26 September 2026 |
| Last updated at source | 26 September 2026 |
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