How do we integrate the LOB data with the tape data

[JackDI1]

Last traded price is a commonly quoted feature of a security, This may be all we need from the Tapes?

[JackDI1]

@admrply Am I right in thinking we have come to the conclusion that we don't need to integrate the 2 data sets?

[JackDI1]

I think we can utilise the tapes data once we have a model to determine if the trends in mid-price are actually observed as trends in the tape data

[JackDI1]

Some of the features created by @SamanthaStarling utilise close price. We could potentially extract close and open prices from the tape data as the close price is the last transaction price and the open is the first.