Ollie Olby
Publications
FlowLOB: Efficient and Controllable Limit Order Book Generation with Flow Matching
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.
LOB-ID: Evaluating Synthetic Market Data by Inception Distances
Generative models of limit orderbook (LOB) data have advanced rapidly, but their evaluation often focuses on stylised facts and selected market statistics. These measures provide useful diagnostics but may not capture the joint temporal and cross-level structure of order-book trajectories. We introduce LOB-ID, an embedding-based framework that adapts the Fréchet Inception Distance (FID) and Monge Inception Distance (MIND) to LOB data. To obtain domain-specific embeddings, we train the DeepLOB architecture on four months of Level-2 order-book data for five equities. We show that LOB-ID is stable across time, instruments, and embedding checkpoints, and rises monotonically under controlled distortions. We then construct a moment-matching attack against FID and a deep-book perturbation that evades statistic-based evaluation. MIND remains substantially more sensitive to both distortions. Finally, we score five generative LOB models, spanning stochastic baselines and deep learning approaches, and find that LOB-ID ranks them in line with the joint temporal and cross-level structure each captures by construction.