OrderBook-TickData-Trading-Strategy

Modeling High-Frequency Limit Order Book Dynamics Using Machine Learning

• Framework to capture the dynamics of high-frequency limit order books.

Overview

In this project I used machine learning methods to capture the high-frequency limit order book dynamics and simple trading strategy to get the P&L outcomes.

• Feature Extractor

* Depth Ratio [Note] : [FeatureSelection] (FeatureSelection)

• Learning Model Trainer

• Use best model to predict next 10 seconds

• Prediction outcome

• Profit & Loss