About This Site
Vonde Consulting Ltd provides the data science consultancy service and solutions for high frequency financial data analysis, including level-3 message data processing, strategy back testing and signal detecting etc.
Monthly Archives: May 2020
The new LOBSTER engine working on AWS cloud, can output order book data in either Parquet or CSV format . For the sake of efficiency, it outputs Parquet file by default. For Spark and Python users, loading the parquet files … Continue reading
Arnaud Amsellem just publishes an exciting research using LOBSTER data. – Using random forest to model limit order book dynamic