Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
Framework to capture the dynamics of high-frequency limit order books.
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
Use best model to predict next 10 seconds
Prediction outcome
Profit & Loss
[Note] : [Model_Selection] (Model_Selection)