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

Related tags

Deep Learning python machine-learning trading feature-selection model-selection quant trading-strategies investment market-maker feature-engineering algorithmic-trading backtesting-trading-strategies limit-order-book quantitative-trading orderbook market-microstructure high-frequency-trading market-making orderbook-tick-data
Overview

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] (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] (Model_Selection)

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Comments
  • Data_Transformation - message_data

    Data_Transformation - message_data

    Hi, I am trying to reproduce your model but I am having difficulty understanding the meaning in the columns in the CN_Futures_2014.01.02 file.

    As I understand this file is the Extraction from the Limited Order Book, but I couldn't understand the QuantityDifference columns (would it be the difference between the limited ask quantity minus the limited bid quantity?) and the BestQuantity column.

    I also noticed that in the file there are many repeated OrderNumber for different timestamps.

    Thank's for your time.

    opened by falberto 5
  • Strategy Questions

    Strategy Questions

    Great project, thanks! My projects in the past were at higher timeframes (hourly, 4hourly, etc). A few quick questions for clarification given this:

    1. you list best accuracy mean of around 96%. Is this the directional accuracy, ie: you predict the market goes the correct way 96% of the time and this is at the 10second market after you do the prediction?
    2. which market are your results page from? Interested to know if you've applied this to FX - EURUSD etc,
    3. you mention placing limit orders. You graph of profits (in ticks) and cumulative profit is showing on very small scalping trades. Interested to know what the trading strategy is. I'm assuming you place a buy limit order at the ask price if you predict the market to be long. you only get in the trade if you are filled at your price. this way you are NOT dealing with any spread. is this correct?
    4. You then just always exit 10 seconds later for a profit/loss. What's the exit method - market order? you will get hit with spread. interested to know how you've set up the trading eval here.

    thanks again, Daniel

    opened by n2535904 0
  • What features do you extract?

    What features do you extract?

    I am very interested in the feature extraction part.I can see the plot of ask/bid price and their volume.But I just wonder what kind of feature you finally get? Or you just draw the plot to see the relationship of them?Can you give a simple explanation of this part?

    Thanks a lot!

    opened by shana9pm 0
  • What are you predicting?

    What are you predicting?

    I am curious what you are prediciting. I can see that you are extracting a lot of features, but what exactly you are predicting? It seems like you have a label named traded? What is “traded”?

    opened by ryanyuansufe 3
Owner
Chang-Shu Chung
Chang-Shu Chung
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