├── .gitattributes
├── README.md
├── data
    └── order_books_data_archive.zip
└── orderbook_gradient_boosting.ipynb


/.gitattributes:
--------------------------------------------------------------------------------
1 | # Auto detect text files and perform LF normalization
2 | * text=auto
3 | 


--------------------------------------------------------------------------------
/README.md:
--------------------------------------------------------------------------------
1 | # orderbook_modeling
2 | 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.).
3 | 2. data - folder with order book data. You should extract the files from archive to data folder.
4 | 
5 | 
6 | Detailed article about order book modeling here https://towardsdatascience.com/application-of-gradient-boosting-in-order-book-modeling-3cd5f71575a7
7 | 


--------------------------------------------------------------------------------
/data/order_books_data_archive.zip:
--------------------------------------------------------------------------------
https://raw.githubusercontent.com/lamres/orderbook_modeling/6c816d4965a32904ce76a4182e4ef48b5c8afa16/data/order_books_data_archive.zip


--------------------------------------------------------------------------------