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mjuchli / ctc-executioner

Master Thesis: Limit order placement with Reinforcement Learning
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[Analysis] Understanding order book event data #7

Closed mjuchli closed 6 years ago

mjuchli commented 6 years ago

The goal is to get an understanding of order book event data. With that, I will hopefully be able to get an intention on what features (e.g. signals) might be extracted and being fed to the reinforcement learner.

A good starting point might be to replicate: http://rickyhan.com/jekyll/update/2017/09/24/visualizing-order-book.html An even more detailed analysis has been done here: http://parasec.net/transmission/order-book-visualisation/

mjuchli commented 6 years ago

Plots of data created: https://github.com/backender/ctc-executioner/commit/fd051860902ce774eeb0ed7e0bd9012ed393d7ac

Reason about the information content within the notebook and discuss with Marco during meeting.

mjuchli commented 6 years ago

Order book states are now represented as feature.

Next, incorporate Order flow imbalance (mentioned in http://www.ieor.berkeley.edu/~xinguo/papers/GuoINFORMS.pdf) and describe progress in #4