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About the developer

rorysroes
648 Stars 303 Forks 157 Commits 3 Opened issues

Description

Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.

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Contributors list

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

    • Rise Ratio

    * Depth Ratio

    [Note] : Feature_Selection

  • Learning Model Trainer

    • RandomForestClassifier
    • ExtraTreesClassifier
    • AdaBoostClassifier
    • GradientBoostingClassifier
    • SVM
  • Use best model to predict next 10 seconds

  • Prediction outcome

  • Profit & Loss

[Note] : Model_Selection

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