Market Data

We provide a variety of market data for FinRL Contests, including:

OHLCV data: daily open, high, low, close, volume data for stocks.

Limit Order Book (LOB) data: second-level LOB data for Bitcoin.

Financial news data: financial news for different stocks.

OHLCV data

For stock trading tasks, we use daily OHLCV data, a rich source for learning financial market behaviors and trends. It’s a list of five most common types of data in financial analysis:

Open: the price at which the stock opened for trading on a trading day.

High: the highest price at which the stock traded during a trading day.

Low: the lowest price at which the stock traded during a trading day.

Close: the price at which the stock closed at the end of a trading day.

Volume: the total number of shares traded during a trading day.

To download the OHLCV data, we can use yfinance. The data is stored in a CSV file, which can be easily read and processed.

import yfinance as yf
tickers = ['AAPL', 'MSFT', 'GOOG', 'AMZN', 'TSLA']
start_date = '2020-01-01'
end_date = '2025-01-01'
data = yf.download(
    tickers=tickers,
    start=start_date,
    end=end_date,
    group_by='ticker',
    interval='1d',  # Daily data
)
data.to_csv('ohlcv_data.csv')

Limit Order Book (LOB) data

Financial news data - FNSPID [1]

The Financial News and Stock Price Integration Dataset (FNSPID) is a comprehensive financial news dataset. It contains historical stock prices and over 15 million time-aligned financial news articles related to Nasdaq-listed companies, spanning from 1999 to 2023.

Here is a preview of the dataset:

Date	Article_title	Stock_symbol	Url	Publisher	Author	Article	Lsa_summary	Luhn_summary	Textrank_summary	Lexrank_summary
2020-06-05 06:30:54 UTC	Stocks That Hit 52-Week Highs On Friday	A	https://www.benzinga.com/news/20/06/16190091/stocks-that-hit-52-week-highs-on-friday	Benzinga Insights	null	null	null	null	null	null
2020-06-03 06:45:20 UTC	Stocks That Hit 52-Week Highs On Wednesday	A	https://www.benzinga.com/news/20/06/16170189/stocks-that-hit-52-week-highs-on-wednesday	Benzinga Insights	null	null	null	null	null	null
2020-05-26 00:30:07 UTC	71 Biggest Movers From Friday	A	https://www.benzinga.com/news/20/05/16103463/71-biggest-movers-from-friday	Lisa Levin	null	null	null	null	null	null

Feature Engineering

We also provide 10 market indicators, which are explained below.

Indicator	Name	Description
macd	Moving Average Convergence Divergence	A trend-following momentum indicator that shows the relationship between two exponential moving averages (EMAs) of a stock’s price. Traders use the MACD to identify potential trend changes, divergence between price and momentum, and overbought or oversold conditions.
boll_ub	Bollinger Bands Upper Band	Bollinger Bands are used to visualize the volatility and potential price levels of a stock. The upper band represents the upper volatility boundary, showing where the price might find resistance.
boll_lb	Bollinger Bands Lower Band	The lower band represents the lower volatility boundary and shows where the price might find support.
rsi_30	Relative Strength Index for 30 periods	A momentum oscillator that measures the speed and change of price movements. RSI oscillates between zero and 100.
cci_30	Commodity Channel Index for 30 periods	A versatile indicator that can be used to identify a new trend or warn of extreme conditions. It measures the current price level relative to an average price level over a given period of time.
dx_30	Directional Movement Index for 30 periods	An indicator that assesses the strength and direction of a trend by comparing highs and lows over time.
close_30	30-Period Simple Moving Average of Closing Prices	Represents the average closing price over the last 30 periods. This moving average smooths price data to help identify trends and potential support/resistance levels.
close_60	60-Period Simple Moving Average of Closing Prices	Represents the average closing price over the last 60 periods. Like the 30-period average, it helps visualize longer-term trends and support/resistance zones.
vix	Volatility Index	Often referred to as the “fear index”, it represents the market’s expectation of 30-day forward-looking volatility. Calculated from prices of selected stock option contracts on the S&P 500 Index.
turbulance	Turbulence	A risk control measure used in FinRL that quantifies extreme asset price fluctuations, useful for handling worst-case market scenarios like the 2007–2008 financial crisis.

Factor mining

LLM-Generated Signals

We can leverage LLMs to extract signals from the news articles. These signals can be used to enhance the trading strategy and improve the performance of the trading agent. The LLM-generated signals include sentiment scores, risk levels, and other relevant information extracted from the financial news.

Sentiment scores. LLM assigns a sentiment score of 1 to 5 according to the news, with 1 for negative and 5 for positive.

Prompt:
You are a financial expert with sentiment analysis and stock recommendation experience. Based on a specific stock, score for range from 1 to 5, where 1 is negative, 2 is somewhat negative, 3 is neutral, 4 is somewhat positive, 5 is positive

Risk levels. LLM assigns a risk level of 1 to 5 from the news, with 1 for very low risk and 5 very high risk.

Prompt:
You are a financial expert specializing in risk assessment. Based on a specific stock, provide a risk score from 1 to 5, where: 1 indicates very low risk, 2 indicates low risk, 3 indicates moderate risk (default if the news lacks any clear indication of risk), 4 indicates high risk, and 5 indicates very high risk.

References