Now that there is a way of creating a synthetic order book progression, order book metrics can now be created in order to have a end-to-end example of generating an orderbook, performing a EDA with its synthetic evolution, and even train and test a naive set of models.
Problem
There is not enough of a set of metrics calculated for any given orderbook
Solution
Expand the market metrics calculation, by implementing a list of extra metrics as they are classified as relevant by the academic literature in the projects references.
Success criteria
There is a list of the basic operations and calculations to be performed using an static order book, that is, these metrics can be calculated with a single order book and do not depend on a progression of it.
Now that there is a way of creating a synthetic order book progression, order book metrics can now be created in order to have a end-to-end example of generating an orderbook, performing a EDA with its synthetic evolution, and even train and test a naive set of models.
Problem
There is not enough of a set of metrics calculated for any given orderbook
Solution
Expand the market metrics calculation, by implementing a list of extra metrics as they are classified as relevant by the academic literature in the projects references.
Success criteria
There is a list of the basic operations and calculations to be performed using an static order book, that is, these metrics can be calculated with a single order book and do not depend on a progression of it.