According to Forecasting of Jump Arrivals in Stock Prices: New Attention-based Network Architecture using Limit Order Book Data at page 9, I would be interested in deriving the the price (ask and bid sides) and volume (ask and bid side), but I am struggling how to do it.
Be aware I reconstructed the order book each second from the full market depth. So the idea would be to get the volume and price derivative each second for each side of the market, i.e. ask and bid sides. https://www.algoseek.com/static/files/sample_data/equity_and_etf_etn/IBM.FullDepth.20140128.csv.zip <-- Here a sample of the full market depth.
How can I compute the derivative of the price and the volume with Python?