I have some orderbook data, including 5 ask prices, 5 bid prices, amount of asks and bids for every price, and midprice which is equal to (best bid + best ask)/ 2.
I would like to predict absolute change of price in a few days.
Let's say my target is:
target[i] = midprice[i+4] - midprice[i]
Which features could impact the target value?
I've tried volatility, rate of change of midprice, absolute change of midprice, order amounts change and different combinations of ROC and MA. So far, nothing has worked better than just taking all the amounts separately