What are you predicting?

[ryanyuansufe]

I am curious what you are prediciting. I can see that you are extracting a lot of features, but what exactly you are predicting? It seems like you have a label named traded? What is “traded”?

[rorysroes]

Hi ryanyuansufe:

In the financial markets, there are very different to the data science competitions such as kaggle which had given the clear objectives or labels to predict. That is, I have to find the prediction problems by myself. In this project, I set up the best limit buy orders to be traded or not in the future to be my label. This approach may involve many issues such as a hedge or market making.

Best regards,
Rory

[rorysroes]

Sure. Why not? 2018-07-04 14:27 GMT+08:00 GeorgeZou <notifications@github.com>:

…

@rorysroes <https://github.com/rorysroes> is this project tradable? — You are receiving this because you were mentioned. Reply to this email directly, view it on GitHub <#1 (comment)>, or mute the thread <https://github.com/notifications/unsubscribe-auth/AG_olfvyRYoJzstjGBIe4rxRjUTvbgz2ks5uDGA_gaJpZM4UlMQ5> .

[mrxoxoxo]

@rorysroes how can I contact you? I have questions regarding https://github.com/rorysroes/SGX-Full-OrderBook-Tick-Data-Trading-Strategy :)