# orderbook_modeling

**Repository Path**: mdtry/orderbook_modeling

## Basic Information

- **Project Name**: orderbook_modeling
- **Description**: Example of order book modeling.
- **Primary Language**: Unknown
- **License**: Not specified
- **Default Branch**: master
- **Homepage**: None
- **GVP Project**: No

## Statistics

- **Stars**: 0
- **Forks**: 2
- **Created**: 2021-09-13
- **Last Updated**: 2021-09-13

## Categories & Tags

**Categories**: Uncategorized

**Tags**: None

## README

# orderbook_modeling
1. orderbook_gradient_boosting.ipynb - the main file of research contained a full-cycle research (getting data, visualization, feature engineering, modeling, fine-tuning of the algorithm, quality estimation, and so on.).
2. data - folder with order book data. You should extract the files from archive to data folder.


Detailed article about order book modeling here https://towardsdatascience.com/application-of-gradient-boosting-in-order-book-modeling-3cd5f71575a7