any idea where i can get kind of data used for free?

[lorrp1]

Hello, great work, do you have any idea where i can get the data same data used for free?

or could you provide the data used in the paper as an example?

thanks

[jfenner]

Unfortunately not. I used this more as a training exercise to develop my own algorithm and gathered data from sources such as Alpaca.

[lorrp1]

would it be possible to reproduce with just tick data with: volumes, ask/sell price?

[jfenner]

You could try it. The algorithm is based on imbalance of the order books, so the more book data you have the better.