ezhulenev / orderbook-dynamics

Modeling high-frequency limit order book dynamics with support vector machines

Modeling high-frequency limit order book dynamics with support vector machines

Based on paper Modeling high-frequency limit order book dynamics with support vector machines

Source code for blog post:

• Stock Price Prediction With Big Data and Machine Learning

Testing

By default tests are running with Spark in local mode

sbt test

Building

In the root directory run:

sbt assembly

The application fat jars will be placed in:

• target/scala-2.10/order-book-dynamics.jar

Running

First you need to run assembly in sbt and then run java cmd

java -Dspark.master=spark://spark-host:7777 order-book-dynamics.jar

orderbook-dynamics's Issues

Duplicates in Windows

I had to install sbt on both my Mac and Windows for this, on the Mac it builds fine but towards the end of the build on Win64 I get

[error] (*:assembly) deduplicate: different file contents found in the following:
[error] C:\Users\at.ivy2\cache\org.eclipse.jetty.orbit\javax.transaction\orbits\javax.transaction-1.1.1.v201105210645.jar:META-INF/ECLIPSEF.RSA
[error] C:\Users\at.ivy2\cache\org.eclipse.jetty.orbit\javax.servlet\orbits\javax.servlet-3.0.0.v201112011016.jar:META-INF/ECLIPSEF.RSA
[error] C:\Users\at.ivy2\cache\org.eclipse.jetty.orbit\javax.mail.glassfish\orbits\javax.mail.glassfish-1.4.1.v201005082020.jar:META-INF/ECLIPSEF.RSA
[error] C:\Users\at.ivy2\cache\org.eclipse.jetty.orbit\javax.activation\orbits\javax.activation-1.1.0.v201105071233.jar:META-INF/ECLIPSEF.RSA

A bit lost with the quad duplication here, it should probably not matter but it does!

Cannot run sample?

I cannot run the sample,

Error: Could not find or load main class order-book-dynamics.jar

• Also, where is the output file and in what format is it in? Could you please provide a little more documentation?