rorysroes/SGX-Full-OrderBook-Tick-Data-Trading-Strategy
Providing the solutions for high-frequency trading (HFT) strategies using data science approaches (Machine Learning) on Full Orderbook Tick Data.
Extracts microstructure features (rise ratio, depth ratio) from limit order book snapshots and trains ensemble classifiers (Random Forest, Gradient Boosting, SVM) to predict 10-second price movements. The pipeline processes SGX tick data through feature engineering and cross-validated model selection stages, then backtests predictions against simulated trading execution to generate P&L metrics.
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Last pushed
Aug 27, 2022
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