Data collection, enhancement, and metrics calculation.
Repository containing code for QuantDAO’s JDT data collection task.
Data is collected from the exchanges listed below, normalised, LOB constructed, and metrics calculated.
Rayman: We need to choose 6 of these to work on.
Rayman: Richard wants L3 Order Book granularity… But this isn’t possible as the Websockets don’t provide a proper order_id for each order. Therefore it’s impossible to match trades data exactly to order book update data. We wouldn’t know how to interpret the number of cancellations and orders within a single order book price level quantity change. Please clarify with him today (18/01/2022), as I won’t be awake till pretty late.
These packages must be manually installed if not installed already.
pip install numpy
TBC once implementation is better defined.