Limit, Market and Cancellation Orders with 1 second timestamp

Goal : Using deep learning to build a ML model which would predict the right places where a stock price will increase, decrease or stay stable.

For the current question, assume the labels are well defined.

As features I used the limit order book, but I did not get a lot of success. So I realised that I didn't have all the features to accomplish my goal. In reading the following paper [login to view URL] on page 8, I didn't consider the market and cancellation orders. A setback I got is I did not find a vendor to provide the market orders separately from the limit orders. So in the moment I have the full market depth from algoseek. You can find a sample here [login to view URL]

Subtask 1 : Extract the market orders from the full market depth/tick data.

Subtask 2 : I need to feed a NN model with limit, market and cancellation orders. You role is to reformat the full market depth/tick data so that I can get the limit, market and cancellation orders with a 1 second timestamp.

Skills: Finance, Financial Analysis, Financial Research, Machine Learning (ML), Programming

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About the Employer:
( 59 reviews ) Ste-Julie, Canada

Project ID: #17547934

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Hi. Here are proposed milestones: M1. Scope: 3 hours - Deeper analysis of the algoseek data format - Reviewing relevant parts of the article: [login to view URL] - Developing a method to ad More

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