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TLOB-stock-price-trend-prediction

Time Series Forecasting
PyTorch
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TLOB-stock-price-trend-prediction
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import torch
from enum import Enum

class Dataset(Enum):
    LOBSTER = "LOBSTER"
    FI_2010 = "FI-2010"
    

class ModelType(Enum):
    MLPLOB = "MLPLOB"
    TLOB = "TLOB"
    BINCTABL = "BINCTABL"
    DEEPLOB = "DEEPLOB"



# for 15 days of TSLA
TSLA_LOB_MEAN_SIZE_10 = 165.44670902537212
TSLA_LOB_STD_SIZE_10 = 481.7127061897184
TSLA_LOB_MEAN_PRICE_10 = 20180.439318660694
TSLA_LOB_STD_PRICE_10 = 814.8782058033195

TSLA_EVENT_MEAN_SIZE = 88.09459295373463
TSLA_EVENT_STD_SIZE = 86.55913199110894
TSLA_EVENT_MEAN_PRICE = 20178.610720500274
TSLA_EVENT_STD_PRICE = 813.8188032145645
TSLA_EVENT_MEAN_TIME = 0.08644932804905886
TSLA_EVENT_STD_TIME = 0.3512181506722207
TSLA_EVENT_MEAN_DEPTH = 7.365325300819055
TSLA_EVENT_STD_DEPTH = 8.59342838063813

# for 15 days of INTC
INTC_LOB_MEAN_SIZE_10 = 6222.424274871972
INTC_LOB_STD_SIZE_10 = 7538.341086370264
INTC_LOB_MEAN_PRICE_10 = 3635.766219937785
INTC_LOB_STD_PRICE_10 = 44.15649995373795

INTC_EVENT_MEAN_SIZE = 324.6800802006092
INTC_EVENT_STD_SIZE = 574.5781447696605
INTC_EVENT_MEAN_PRICE = 3635.78165265669
INTC_EVENT_STD_PRICE = 43.872407609651184
INTC_EVENT_MEAN_TIME = 0.025201754040915927
INTC_EVENT_STD_TIME = 0.11013627432323592
INTC_EVENT_MEAN_DEPTH = 1.3685517399834501
INTC_EVENT_STD_DEPTH = 2.333747222206966




LOBSTER_HORIZONS = [10, 20, 50, 100]
PRECISION = 32
N_LOB_LEVELS = 10
LEN_LEVEL = 4
LEN_ORDER = 6
LEN_SMOOTH = 10

DATE_TRADING_DAYS = ["2015-01-02", "2015-01-30"]
DEVICE = 'cuda' if torch.cuda.is_available() else 'cpu'
DIR_EXPERIMENTS = "data/experiments"
DIR_SAVED_MODEL = "data/checkpoints"
DATA_DIR = "data"
RECON_DIR = "data/reconstructions"
PROJECT_NAME = ""
SPLIT_RATES = [0.8, 0.1, 0.1]