I am trying to implement machine learning to predict the movement of bid and ask price but is unable to find the proper feature for training set. I am using Support Vector Machine for binary classification.
Features could include:
- Bid-ask spread
- Bid-ask volume imbalance
- Signed transaction volume
The sign in the Signed transaction volume is positive if the buyer has issued a market order and negative if the seller issued a market order.
A great introductory plain English paper on high frequency trading machine learning applications can be found here.
A good blog post with information relevant to the subject can be found here.