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zcakhaa / DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books

This jupyter notebook is used to demonstrate our recent work, "DeepLOB: Deep Convolutional Neural Networks for Limit Order Books", published in IEEE Transactions on Singal Processing. We use FI-2010 dataset and present how model architecture is constructed here. The FI-2010 is publicly avilable and interested readers can check out their paper.
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Question about the label in code #10

Open isjjhang opened 3 years ago

isjjhang commented 3 years ago

Sorry to take up your time, I have a question about the label that you choose, why is the 3rd column, since in paper "Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods" page 13 saying that these 5 labels are based on k=1, 2, 3, 5 and 10, not for 100 as the "lookback" in your code, or there are some mistakes I have made......

截屏2021-04-15 下午3 18 53 截屏2021-04-15 下午3 22 55
zcakhaa commented 3 years ago

The third column corresponds to k=5, but the author downsampled the data at every 10 updates, which means k=5 represents 50 tick changes. In the literature, some people like to use k=50 to represent the actual tick change. I just follow the convention here.

From: isjjhang @.> Sent: Thursday, April 15, 2021 7:26 AM To: zcakhaa/DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books @.> Cc: Subscribed @.***> Subject: [zcakhaa/DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books] Question about the label in code (#10)

Sorry to take up your time, I have a question about the label that you choose, why is the 3rd column, since in paper "Benchmark Dataset for Mid-Price Forecasting of Limit Order Book Data with Machine Learning Methods" page 13 saying that these 5 labels are based on k=1, 2, 3, 5 and 10, not for 100 as the "lookback" in your code, or there are some mistakes I have made...... [??2021-04-15 ??3 18 53]https://user-images.githubusercontent.com/41860802/114829678-f6553c80-9dfd-11eb-96ac-fb8a2613fcc0.png [??2021-04-15 ??3 18 53]https://user-images.githubusercontent.com/41860802/114830192-901ce980-9dfe-11eb-82db-2701f4faf032.png

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isjjhang commented 3 years ago

Thanks for your answer!