Could have order depths as feature. Not sure how to handle the vector format of the order depths. Would need to normalize all stocks based on their ticker size. But what would the 'question' be? Predict stock price in x minutes? Predict price max/min time? Predict big movements in either direction?
Could have order depths as feature. Not sure how to handle the vector format of the order depths. Would need to normalize all stocks based on their ticker size. But what would the 'question' be? Predict stock price in x minutes? Predict price max/min time? Predict big movements in either direction?