From 43b6bf5bdad7a5177dad01781466cbe62d45aaa2 Mon Sep 17 00:00:00 2001 From: AntoBr96 Date: Sat, 2 Mar 2024 15:07:49 +0000 Subject: [PATCH] Mior fixes. --- .../orderbooks_processing_logs.txt | 48 ------------------- .../orderbooks_statistics.csv | 25 ---------- .../hyperparameters.yaml | 37 -------------- .../orderbooks_processing_logs.txt | 48 ------------------- .../orderbooks_statistics.csv | 25 ---------- .../hyperparameters.yaml | 37 -------------- .../orderbooks_processing_logs.txt | 48 ------------------- .../orderbooks_statistics.csv | 25 ---------- .../hyperparameters.yaml | 37 -------------- .../hyperparameters.yaml | 38 --------------- .../hyperparameters.yaml | 38 --------------- 11 files changed, 406 deletions(-) delete mode 100644 loggers/results/XYZ_deeplob_2024-03-02_10_16_32_sPiZZcM/data_processing_logs/orderbooks_processing_logs.txt delete mode 100644 loggers/results/XYZ_deeplob_2024-03-02_10_16_32_sPiZZcM/data_processing_logs/orderbooks_statistics.csv delete mode 100644 loggers/results/XYZ_deeplob_2024-03-02_10_16_32_sPiZZcM/hyperparameters.yaml delete mode 100644 loggers/results/XYZ_deeplob_2024-03-02_10_27_42_XDa2aMk/data_processing_logs/orderbooks_processing_logs.txt delete mode 100644 loggers/results/XYZ_deeplob_2024-03-02_10_27_42_XDa2aMk/data_processing_logs/orderbooks_statistics.csv delete mode 100644 loggers/results/XYZ_deeplob_2024-03-02_10_27_42_XDa2aMk/hyperparameters.yaml delete mode 100644 loggers/results/XYZ_deeplob_2024-03-02_10_42_47_TIQAt2N/data_processing_logs/orderbooks_processing_logs.txt delete mode 100644 loggers/results/XYZ_deeplob_2024-03-02_10_42_47_TIQAt2N/data_processing_logs/orderbooks_statistics.csv delete mode 100644 loggers/results/XYZ_deeplob_2024-03-02_10_42_47_TIQAt2N/hyperparameters.yaml delete mode 100644 loggers/results/XYZ_deeplob_2024-03-02_10_51_05_Gko87C3/hyperparameters.yaml delete mode 100644 loggers/results/XYZ_deeplob_2024-03-02_10_53_37_1duKUsR/hyperparameters.yaml diff --git a/loggers/results/XYZ_deeplob_2024-03-02_10_16_32_sPiZZcM/data_processing_logs/orderbooks_processing_logs.txt b/loggers/results/XYZ_deeplob_2024-03-02_10_16_32_sPiZZcM/data_processing_logs/orderbooks_processing_logs.txt deleted file mode 100644 index 6b1d25e..0000000 --- a/loggers/results/XYZ_deeplob_2024-03-02_10_16_32_sPiZZcM/data_processing_logs/orderbooks_processing_logs.txt +++ /dev/null @@ -1,48 +0,0 @@ -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-04_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-04_34200000_57600000_orderbook_10.csv skipped. Initializing rolling z-score normalization. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-05_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-05_34200000_57600000_orderbook_10.csv skipped. Initializing rolling z-score normalization. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-06_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-06_34200000_57600000_orderbook_10.csv skipped. Initializing rolling z-score normalization. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-07_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-07_34200000_57600000_orderbook_10.csv skipped. Initializing rolling z-score normalization. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-10_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-10_34200000_57600000_orderbook_10.csv skipped. Initializing rolling z-score normalization. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-11_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-11_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-12_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-12_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-13_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-13_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-17_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-17_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-18_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-18_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-19_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-19_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-20_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-20_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-21_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-21_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-24_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-24_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-25_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-25_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-26_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-26_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-27_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-27_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-04-28_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-04-28_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-05-01_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-05-01_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-05-02_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-05-02_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-05-03_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-05-03_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-05-04_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-05-04_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-05-05_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-05-05_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/ABBV_2017-05-08_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/ABBV_2017-05-08_34200000_57600000_orderbook_10.csv completed. diff --git a/loggers/results/XYZ_deeplob_2024-03-02_10_16_32_sPiZZcM/data_processing_logs/orderbooks_statistics.csv b/loggers/results/XYZ_deeplob_2024-03-02_10_16_32_sPiZZcM/data_processing_logs/orderbooks_statistics.csv deleted file mode 100644 index ccb047f..0000000 --- a/loggers/results/XYZ_deeplob_2024-03-02_10_16_32_sPiZZcM/data_processing_logs/orderbooks_statistics.csv +++ /dev/null @@ -1,25 +0,0 @@ -Updates (000),Trades (000),Price Changes (000),Price (USD),Spread (bps),Volume (USD MM),Tick Size -204.118,1.73,10.763,68.60298385824072,1.7683850278392181,9.71658078,0.8315349632787766 -322.949,2.804,18.849,69.01334917391685,1.9186028124409986,14.560785935,0.7514383040228777 -248.653,2.643,14.638,68.50032236692302,1.8980187938871762,14.26263395,0.7476605944751508 -227.699,2.852,10.686,68.97606022313897,1.7807298386820365,18.43866757,0.8259643490451636 -224.362,2.849,9.943,68.72090032475054,1.7696693381917448,17.156600949999998,0.8205521048937644 -293.429,3.329,14.808,67.21625813681109,1.8963334824185536,20.064014954999998,0.7512259016484916 -243.859,3.264,10.345,67.6601996981033,1.7690975963350173,19.289526459999998,0.8155381877370584 -237.779,2.664,13.018,68.0008642591607,1.8809727946521,14.12628391,0.7698057216225596 -164.286,1.87,7.751,67.76043522818769,1.7910285635212568,10.028365529999999,0.8622713913507876 -261.663,3.26,17.372,67.0715774579106,2.030095090126936,18.819715225000003,0.7277080866438292 -226.125,2.564,8.439,67.169742179495,1.7315800095224931,14.473473145,0.8583711941458546 -210.134,2.712,8.529,67.29229971251519,1.7110367673662668,16.32199565,0.8621631938725733 -236.832,2.491,15.571,67.37099165982701,1.9450171743548406,14.82527725,0.7295441919270708 -204.491,2.383,13.0,68.34059626305243,1.9506733115358497,14.751748935,0.7472904133835094 -152.443,2.603,7.068,68.94494350690353,1.6829678483676662,15.952390155,0.9013528889918521 -222.228,2.542,13.105,69.04307364265318,1.9328854924443108,15.141131074999999,0.7551865399126827 -175.439,8.033,30.162,70.24062275152946,3.1075094027154058,56.61686655500001,0.3920413143652148 -136.868,2.07,10.413,69.21816051183283,1.9834938169822143,12.554802424999998,0.725206212070926 -144.328,1.675,11.303,69.85981937844313,1.8815502350042441,9.806355120000001,0.7590815138065787 -126.998,2.373,8.153,70.00559862903276,1.7733813569404622,13.693663705,0.7950357795014185 -123.489,2.365,9.053,70.03385082671534,1.9201340016797175,15.767676939999998,0.7252314446909592 -147.501,2.609,12.215,70.6578892152245,1.8693096851544868,15.14897916,0.732641225524657 -106.855,1.719,6.904,70.04748947928003,1.7332788740444725,11.00160688,0.8234570048309606 -105.34,2.175,7.085,69.88906324830974,1.9144706242310765,11.470201484999999,0.7776724441323614 diff --git a/loggers/results/XYZ_deeplob_2024-03-02_10_16_32_sPiZZcM/hyperparameters.yaml b/loggers/results/XYZ_deeplob_2024-03-02_10_16_32_sPiZZcM/hyperparameters.yaml deleted file mode 100644 index 1d484b2..0000000 --- a/loggers/results/XYZ_deeplob_2024-03-02_10_16_32_sPiZZcM/hyperparameters.yaml +++ /dev/null @@ -1,37 +0,0 @@ -general: - dataset: nasdaq - horizons: - - 10 - - 50 - - 100 - include_target_stock_in_training: true - model: deeplob - normalization_window: 5 - stages: - - data_processing - target_stocks: - - XYZ - targets_type: raw - test_ratio: 0.2 - training_ratio: 0.75 - training_stocks: - - XYZ - validation_ratio: 0.05 -model: - balanced_sampling: false - batch_size: 32 - epochs: 100 - history_length: 100 - learning_rate: 6.0e-05 - lighten: false - num_workers: 5 - patience: 10 - prediction_horizon: 10 - shuffling_seed: 428 - threshold: 0.0 -trading: - initial_cash: 1000 - mid_side_trading: mid_to_mid - probability_threshold: 0.65 - simulation_type: with_fees - trading_fee: 0.0001 diff --git a/loggers/results/XYZ_deeplob_2024-03-02_10_27_42_XDa2aMk/data_processing_logs/orderbooks_processing_logs.txt b/loggers/results/XYZ_deeplob_2024-03-02_10_27_42_XDa2aMk/data_processing_logs/orderbooks_processing_logs.txt deleted file mode 100644 index 02b5a7f..0000000 --- a/loggers/results/XYZ_deeplob_2024-03-02_10_27_42_XDa2aMk/data_processing_logs/orderbooks_processing_logs.txt +++ /dev/null @@ -1,48 +0,0 @@ -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-04_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-04_34200000_57600000_orderbook_10.csv skipped. Initializing rolling z-score normalization. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-05_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-05_34200000_57600000_orderbook_10.csv skipped. Initializing rolling z-score normalization. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-06_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-06_34200000_57600000_orderbook_10.csv skipped. Initializing rolling z-score normalization. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-07_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-07_34200000_57600000_orderbook_10.csv skipped. Initializing rolling z-score normalization. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-10_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-10_34200000_57600000_orderbook_10.csv skipped. Initializing rolling z-score normalization. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-11_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-11_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-12_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-12_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-13_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-13_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-17_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-17_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-18_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-18_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-19_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-19_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-20_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-20_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-21_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-21_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-24_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-24_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-25_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-25_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-26_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-26_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-27_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-27_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-04-28_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-04-28_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-05-01_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-05-01_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-05-02_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-05-02_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-05-03_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-05-03_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-05-04_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-05-04_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-05-05_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-05-05_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-05-08_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-05-08_34200000_57600000_orderbook_10.csv completed. diff --git a/loggers/results/XYZ_deeplob_2024-03-02_10_27_42_XDa2aMk/data_processing_logs/orderbooks_statistics.csv b/loggers/results/XYZ_deeplob_2024-03-02_10_27_42_XDa2aMk/data_processing_logs/orderbooks_statistics.csv deleted file mode 100644 index ccb047f..0000000 --- a/loggers/results/XYZ_deeplob_2024-03-02_10_27_42_XDa2aMk/data_processing_logs/orderbooks_statistics.csv +++ /dev/null @@ -1,25 +0,0 @@ -Updates (000),Trades (000),Price Changes (000),Price (USD),Spread (bps),Volume (USD MM),Tick Size -204.118,1.73,10.763,68.60298385824072,1.7683850278392181,9.71658078,0.8315349632787766 -322.949,2.804,18.849,69.01334917391685,1.9186028124409986,14.560785935,0.7514383040228777 -248.653,2.643,14.638,68.50032236692302,1.8980187938871762,14.26263395,0.7476605944751508 -227.699,2.852,10.686,68.97606022313897,1.7807298386820365,18.43866757,0.8259643490451636 -224.362,2.849,9.943,68.72090032475054,1.7696693381917448,17.156600949999998,0.8205521048937644 -293.429,3.329,14.808,67.21625813681109,1.8963334824185536,20.064014954999998,0.7512259016484916 -243.859,3.264,10.345,67.6601996981033,1.7690975963350173,19.289526459999998,0.8155381877370584 -237.779,2.664,13.018,68.0008642591607,1.8809727946521,14.12628391,0.7698057216225596 -164.286,1.87,7.751,67.76043522818769,1.7910285635212568,10.028365529999999,0.8622713913507876 -261.663,3.26,17.372,67.0715774579106,2.030095090126936,18.819715225000003,0.7277080866438292 -226.125,2.564,8.439,67.169742179495,1.7315800095224931,14.473473145,0.8583711941458546 -210.134,2.712,8.529,67.29229971251519,1.7110367673662668,16.32199565,0.8621631938725733 -236.832,2.491,15.571,67.37099165982701,1.9450171743548406,14.82527725,0.7295441919270708 -204.491,2.383,13.0,68.34059626305243,1.9506733115358497,14.751748935,0.7472904133835094 -152.443,2.603,7.068,68.94494350690353,1.6829678483676662,15.952390155,0.9013528889918521 -222.228,2.542,13.105,69.04307364265318,1.9328854924443108,15.141131074999999,0.7551865399126827 -175.439,8.033,30.162,70.24062275152946,3.1075094027154058,56.61686655500001,0.3920413143652148 -136.868,2.07,10.413,69.21816051183283,1.9834938169822143,12.554802424999998,0.725206212070926 -144.328,1.675,11.303,69.85981937844313,1.8815502350042441,9.806355120000001,0.7590815138065787 -126.998,2.373,8.153,70.00559862903276,1.7733813569404622,13.693663705,0.7950357795014185 -123.489,2.365,9.053,70.03385082671534,1.9201340016797175,15.767676939999998,0.7252314446909592 -147.501,2.609,12.215,70.6578892152245,1.8693096851544868,15.14897916,0.732641225524657 -106.855,1.719,6.904,70.04748947928003,1.7332788740444725,11.00160688,0.8234570048309606 -105.34,2.175,7.085,69.88906324830974,1.9144706242310765,11.470201484999999,0.7776724441323614 diff --git a/loggers/results/XYZ_deeplob_2024-03-02_10_27_42_XDa2aMk/hyperparameters.yaml b/loggers/results/XYZ_deeplob_2024-03-02_10_27_42_XDa2aMk/hyperparameters.yaml deleted file mode 100644 index c879506..0000000 --- a/loggers/results/XYZ_deeplob_2024-03-02_10_27_42_XDa2aMk/hyperparameters.yaml +++ /dev/null @@ -1,37 +0,0 @@ -general: - dataset: nasdaq - horizons: - - 10 - - 50 - - 100 - include_target_stock_in_training: true - model: deeplob - normalization_window: 5 - stages: - - data_processing - target_stocks: - - XYZ - targets_type: raw - test_ratio: 0.2 - training_ratio: 0.6 - training_stocks: - - XYZ - validation_ratio: 0.2 -model: - balanced_sampling: false - batch_size: 32 - epochs: 100 - history_length: 100 - learning_rate: 6.0e-05 - lighten: false - num_workers: 5 - patience: 10 - prediction_horizon: 10 - shuffling_seed: 428 - threshold: 0.0 -trading: - initial_cash: 1000 - mid_side_trading: mid_to_mid - probability_threshold: 0.65 - simulation_type: with_fees - trading_fee: 0.0001 diff --git a/loggers/results/XYZ_deeplob_2024-03-02_10_42_47_TIQAt2N/data_processing_logs/orderbooks_processing_logs.txt b/loggers/results/XYZ_deeplob_2024-03-02_10_42_47_TIQAt2N/data_processing_logs/orderbooks_processing_logs.txt deleted file mode 100644 index b8da188..0000000 --- a/loggers/results/XYZ_deeplob_2024-03-02_10_42_47_TIQAt2N/data_processing_logs/orderbooks_processing_logs.txt +++ /dev/null @@ -1,48 +0,0 @@ -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-08_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-08_34200000_57600000_orderbook_10.csv skipped. Initializing rolling z-score normalization. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-09_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-09_34200000_57600000_orderbook_10.csv skipped. Initializing rolling z-score normalization. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-10_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-10_34200000_57600000_orderbook_10.csv skipped. Initializing rolling z-score normalization. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-11_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-11_34200000_57600000_orderbook_10.csv skipped. Initializing rolling z-score normalization. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-12_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-12_34200000_57600000_orderbook_10.csv skipped. Initializing rolling z-score normalization. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-13_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-13_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-14_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-14_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-15_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-15_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-16_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-16_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-17_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-17_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-18_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-18_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-19_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-19_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-20_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-20_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-21_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-21_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-22_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-22_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-23_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-23_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-24_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-24_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-25_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-25_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-26_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-26_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-27_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-27_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-28_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-28_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-29_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-29_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-30_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-30_34200000_57600000_orderbook_10.csv completed. -Warning: unusual opening times in ./data/nasdaq/raw/XYZ/XYZ_2067-07-31_34200000_57600000_orderbook_10.csv: 9.583333333333334 - 16.1. -./data/nasdaq/raw/XYZ/XYZ_2067-07-31_34200000_57600000_orderbook_10.csv completed. diff --git a/loggers/results/XYZ_deeplob_2024-03-02_10_42_47_TIQAt2N/data_processing_logs/orderbooks_statistics.csv b/loggers/results/XYZ_deeplob_2024-03-02_10_42_47_TIQAt2N/data_processing_logs/orderbooks_statistics.csv deleted file mode 100644 index ccb047f..0000000 --- a/loggers/results/XYZ_deeplob_2024-03-02_10_42_47_TIQAt2N/data_processing_logs/orderbooks_statistics.csv +++ /dev/null @@ -1,25 +0,0 @@ -Updates (000),Trades (000),Price Changes (000),Price (USD),Spread (bps),Volume (USD MM),Tick Size -204.118,1.73,10.763,68.60298385824072,1.7683850278392181,9.71658078,0.8315349632787766 -322.949,2.804,18.849,69.01334917391685,1.9186028124409986,14.560785935,0.7514383040228777 -248.653,2.643,14.638,68.50032236692302,1.8980187938871762,14.26263395,0.7476605944751508 -227.699,2.852,10.686,68.97606022313897,1.7807298386820365,18.43866757,0.8259643490451636 -224.362,2.849,9.943,68.72090032475054,1.7696693381917448,17.156600949999998,0.8205521048937644 -293.429,3.329,14.808,67.21625813681109,1.8963334824185536,20.064014954999998,0.7512259016484916 -243.859,3.264,10.345,67.6601996981033,1.7690975963350173,19.289526459999998,0.8155381877370584 -237.779,2.664,13.018,68.0008642591607,1.8809727946521,14.12628391,0.7698057216225596 -164.286,1.87,7.751,67.76043522818769,1.7910285635212568,10.028365529999999,0.8622713913507876 -261.663,3.26,17.372,67.0715774579106,2.030095090126936,18.819715225000003,0.7277080866438292 -226.125,2.564,8.439,67.169742179495,1.7315800095224931,14.473473145,0.8583711941458546 -210.134,2.712,8.529,67.29229971251519,1.7110367673662668,16.32199565,0.8621631938725733 -236.832,2.491,15.571,67.37099165982701,1.9450171743548406,14.82527725,0.7295441919270708 -204.491,2.383,13.0,68.34059626305243,1.9506733115358497,14.751748935,0.7472904133835094 -152.443,2.603,7.068,68.94494350690353,1.6829678483676662,15.952390155,0.9013528889918521 -222.228,2.542,13.105,69.04307364265318,1.9328854924443108,15.141131074999999,0.7551865399126827 -175.439,8.033,30.162,70.24062275152946,3.1075094027154058,56.61686655500001,0.3920413143652148 -136.868,2.07,10.413,69.21816051183283,1.9834938169822143,12.554802424999998,0.725206212070926 -144.328,1.675,11.303,69.85981937844313,1.8815502350042441,9.806355120000001,0.7590815138065787 -126.998,2.373,8.153,70.00559862903276,1.7733813569404622,13.693663705,0.7950357795014185 -123.489,2.365,9.053,70.03385082671534,1.9201340016797175,15.767676939999998,0.7252314446909592 -147.501,2.609,12.215,70.6578892152245,1.8693096851544868,15.14897916,0.732641225524657 -106.855,1.719,6.904,70.04748947928003,1.7332788740444725,11.00160688,0.8234570048309606 -105.34,2.175,7.085,69.88906324830974,1.9144706242310765,11.470201484999999,0.7776724441323614 diff --git a/loggers/results/XYZ_deeplob_2024-03-02_10_42_47_TIQAt2N/hyperparameters.yaml b/loggers/results/XYZ_deeplob_2024-03-02_10_42_47_TIQAt2N/hyperparameters.yaml deleted file mode 100644 index c879506..0000000 --- a/loggers/results/XYZ_deeplob_2024-03-02_10_42_47_TIQAt2N/hyperparameters.yaml +++ /dev/null @@ -1,37 +0,0 @@ -general: - dataset: nasdaq - horizons: - - 10 - - 50 - - 100 - include_target_stock_in_training: true - model: deeplob - normalization_window: 5 - stages: - - data_processing - target_stocks: - - XYZ - targets_type: raw - test_ratio: 0.2 - training_ratio: 0.6 - training_stocks: - - XYZ - validation_ratio: 0.2 -model: - balanced_sampling: false - batch_size: 32 - epochs: 100 - history_length: 100 - learning_rate: 6.0e-05 - lighten: false - num_workers: 5 - patience: 10 - prediction_horizon: 10 - shuffling_seed: 428 - threshold: 0.0 -trading: - initial_cash: 1000 - mid_side_trading: mid_to_mid - probability_threshold: 0.65 - simulation_type: with_fees - trading_fee: 0.0001 diff --git a/loggers/results/XYZ_deeplob_2024-03-02_10_51_05_Gko87C3/hyperparameters.yaml b/loggers/results/XYZ_deeplob_2024-03-02_10_51_05_Gko87C3/hyperparameters.yaml deleted file mode 100644 index 6b4ef55..0000000 --- a/loggers/results/XYZ_deeplob_2024-03-02_10_51_05_Gko87C3/hyperparameters.yaml +++ /dev/null @@ -1,38 +0,0 @@ -general: - dataset: nasdaq - horizons: - - 10 - - 50 - - 100 - include_target_stock_in_training: true - model: deeplob - normalization_window: 5 - stages: - - torch_dataset_preparation - - torch_dataset_preparation_backtest - target_stocks: - - XYZ - targets_type: raw - test_ratio: 0.2 - training_ratio: 0.6 - training_stocks: - - XYZ - validation_ratio: 0.2 -model: - balanced_sampling: false - batch_size: 32 - epochs: 100 - history_length: 100 - learning_rate: 6.0e-05 - lighten: false - num_workers: 5 - patience: 10 - prediction_horizon: 10 - shuffling_seed: 428 - threshold: 0.0 -trading: - initial_cash: 1000 - mid_side_trading: mid_to_mid - probability_threshold: 0.65 - simulation_type: with_fees - trading_fee: 0.0001 diff --git a/loggers/results/XYZ_deeplob_2024-03-02_10_53_37_1duKUsR/hyperparameters.yaml b/loggers/results/XYZ_deeplob_2024-03-02_10_53_37_1duKUsR/hyperparameters.yaml deleted file mode 100644 index f231158..0000000 --- a/loggers/results/XYZ_deeplob_2024-03-02_10_53_37_1duKUsR/hyperparameters.yaml +++ /dev/null @@ -1,38 +0,0 @@ -general: - dataset: nasdaq - horizons: - - 10 - - 50 - - 100 - include_target_stock_in_training: true - model: deeplob - normalization_window: 5 - stages: - - torch_dataset_preparation - - torch_dataset_preparation_backtest - target_stocks: - - XYZ - targets_type: raw - test_ratio: 0.2 - training_ratio: 0.6 - training_stocks: - - XYZ - validation_ratio: 0.2 -model: - balanced_sampling: true - batch_size: 32 - epochs: 100 - history_length: 100 - learning_rate: 6.0e-05 - lighten: false - num_workers: 5 - patience: 10 - prediction_horizon: 10 - shuffling_seed: 428 - threshold: 0.0 -trading: - initial_cash: 1000 - mid_side_trading: mid_to_mid - probability_threshold: 0.65 - simulation_type: with_fees - trading_fee: 0.0001