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


Time taken to close both positions, long and short

Price change.

Are there any papers resembling my idea?

  • $\begingroup$ 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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