├── .gitignore ├── LICENSE ├── README.md ├── project ├── build.properties └── plugins.sbt └── src ├── main ├── resources │ ├── logback.xml │ └── reference.conf └── scala │ └── com │ └── scalafi │ └── dynamics │ ├── ConfiguredSparkContext.scala │ ├── DecisionTreeDynamics.scala │ ├── FeaturesExtractor.scala │ ├── OpenBook.scala │ ├── OrderLogFunctions.scala │ ├── attribute │ ├── BasicAttribute.scala │ ├── Label.scala │ ├── LabeledPointsExtractor.scala │ ├── TimeInsensitiveAttribute.scala │ └── TimeSensitiveAttribute.scala │ ├── package.scala │ └── svm │ └── SVMOneVersusAll.scala └── test ├── resources └── openbookultraAA_N20130403_1_of_1 └── scala └── com └── scalafi └── dynamics ├── OrderLogFunctionsSpec.scala └── attribute ├── BasicSetSpec.scala ├── LabelSpec.scala ├── LabeledPointsExtractorSpec.scala ├── TimeInsensitiveSetSpec.scala ├── TimeSensitiveSetSpec.scala └── package.scala /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/.gitignore -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/LICENSE -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/README.md -------------------------------------------------------------------------------- /project/build.properties: -------------------------------------------------------------------------------- 1 | sbt.version=0.13.6 -------------------------------------------------------------------------------- /project/plugins.sbt: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/project/plugins.sbt -------------------------------------------------------------------------------- /src/main/resources/logback.xml: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/main/resources/logback.xml -------------------------------------------------------------------------------- /src/main/resources/reference.conf: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/main/resources/reference.conf -------------------------------------------------------------------------------- /src/main/scala/com/scalafi/dynamics/ConfiguredSparkContext.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/main/scala/com/scalafi/dynamics/ConfiguredSparkContext.scala -------------------------------------------------------------------------------- /src/main/scala/com/scalafi/dynamics/DecisionTreeDynamics.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/main/scala/com/scalafi/dynamics/DecisionTreeDynamics.scala -------------------------------------------------------------------------------- /src/main/scala/com/scalafi/dynamics/FeaturesExtractor.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/main/scala/com/scalafi/dynamics/FeaturesExtractor.scala -------------------------------------------------------------------------------- /src/main/scala/com/scalafi/dynamics/OpenBook.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/main/scala/com/scalafi/dynamics/OpenBook.scala -------------------------------------------------------------------------------- /src/main/scala/com/scalafi/dynamics/OrderLogFunctions.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/main/scala/com/scalafi/dynamics/OrderLogFunctions.scala -------------------------------------------------------------------------------- /src/main/scala/com/scalafi/dynamics/attribute/BasicAttribute.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/main/scala/com/scalafi/dynamics/attribute/BasicAttribute.scala -------------------------------------------------------------------------------- /src/main/scala/com/scalafi/dynamics/attribute/Label.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/main/scala/com/scalafi/dynamics/attribute/Label.scala -------------------------------------------------------------------------------- /src/main/scala/com/scalafi/dynamics/attribute/LabeledPointsExtractor.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/main/scala/com/scalafi/dynamics/attribute/LabeledPointsExtractor.scala -------------------------------------------------------------------------------- /src/main/scala/com/scalafi/dynamics/attribute/TimeInsensitiveAttribute.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/main/scala/com/scalafi/dynamics/attribute/TimeInsensitiveAttribute.scala -------------------------------------------------------------------------------- /src/main/scala/com/scalafi/dynamics/attribute/TimeSensitiveAttribute.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/main/scala/com/scalafi/dynamics/attribute/TimeSensitiveAttribute.scala -------------------------------------------------------------------------------- /src/main/scala/com/scalafi/dynamics/package.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/main/scala/com/scalafi/dynamics/package.scala -------------------------------------------------------------------------------- /src/main/scala/com/scalafi/dynamics/svm/SVMOneVersusAll.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/main/scala/com/scalafi/dynamics/svm/SVMOneVersusAll.scala -------------------------------------------------------------------------------- /src/test/resources/openbookultraAA_N20130403_1_of_1: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/test/resources/openbookultraAA_N20130403_1_of_1 -------------------------------------------------------------------------------- /src/test/scala/com/scalafi/dynamics/OrderLogFunctionsSpec.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/test/scala/com/scalafi/dynamics/OrderLogFunctionsSpec.scala -------------------------------------------------------------------------------- /src/test/scala/com/scalafi/dynamics/attribute/BasicSetSpec.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/test/scala/com/scalafi/dynamics/attribute/BasicSetSpec.scala -------------------------------------------------------------------------------- /src/test/scala/com/scalafi/dynamics/attribute/LabelSpec.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/test/scala/com/scalafi/dynamics/attribute/LabelSpec.scala -------------------------------------------------------------------------------- /src/test/scala/com/scalafi/dynamics/attribute/LabeledPointsExtractorSpec.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/test/scala/com/scalafi/dynamics/attribute/LabeledPointsExtractorSpec.scala -------------------------------------------------------------------------------- /src/test/scala/com/scalafi/dynamics/attribute/TimeInsensitiveSetSpec.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/test/scala/com/scalafi/dynamics/attribute/TimeInsensitiveSetSpec.scala -------------------------------------------------------------------------------- /src/test/scala/com/scalafi/dynamics/attribute/TimeSensitiveSetSpec.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/test/scala/com/scalafi/dynamics/attribute/TimeSensitiveSetSpec.scala -------------------------------------------------------------------------------- /src/test/scala/com/scalafi/dynamics/attribute/package.scala: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ezhulenev/orderbook-dynamics/HEAD/src/test/scala/com/scalafi/dynamics/attribute/package.scala --------------------------------------------------------------------------------