In this project I used machine learning methods to capture the high-frequency limit order book dynamics and simple trading strategy to get the P&L outcomes.
rorysroes / sgx-full-orderbook-tick-data-trading-strategy Goto Github PK
View Code? Open in Web Editor NEWProviding the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.