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L1DataMovementPrediction

Task

Task is to predict the type of the first event that will happen in the next 1/3/5 seconds.

0 -- No price change

1 -- Bid price decreased

2 -- Ask price increased

A multi-label, multi-class classification problem for an intra-day L1 order book data of a single security.

Features

timestamp str datetime string

bid_price float price of current bid in the market

bid_qty float quantity currently available at the bid price

bid_price float price of current ask in the market

ask_qty float quantity currently available at the ask price

trade_price float last traded price

sum_trade_1s float sum of quantity traded over the last second

bid_advance_time float seconds since bid price last advanced

ask_advance_time float seconds since ask price last advanced

last_trade_time float seconds since last trade

Data is anonymized and details are confidential

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A multi-label, multi-class classifier for an intra-day L1 order book data of a single security.

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