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My idea:

CNN takes following input

Market Depth

My previous position price and position size when MM for current snapshot

Market book for past 10 to 30 snapshots

output:

Time taken to close both positions, long and short

Price change.

Are there any papers resembling my idea?

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  • $\begingroup$ Do you have the training data for this? $\endgroup$
    – Attack68
    Commented Mar 24, 2019 at 7:32
  • $\begingroup$ @Attack68 yes, my client has agreed to test with current basic software he uses, and I will add code to log everything regarding order fullfillment and market book $\endgroup$
    – FX_NINJA
    Commented Mar 24, 2019 at 10:09

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