GitHub - sjtechdev/HFT_48_Hour: ML-based HFT algorithm built and backtested in 48 hours. See Final Report for details (the report was also written within that time).

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ML-based HFT algorithm built and backtested in 48 hours. See Final Report for details (the report was also written within that time).

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Name		Name	Last commit message	Last commit date
Latest commit History 1 Commit
HFT_FINAL.pdf		HFT_FINAL.pdf
ML_tune.m		ML_tune.m
README.txt		README.txt
apply_fs.R		apply_fs.R
apply_fs_buy.R		apply_fs_buy.R
apply_fs_sell.R		apply_fs_sell.R
classifier.R		classifier.R
classifier_testing.R		classifier_testing.R
extract_preds.R		extract_preds.R
fe.R		fe.R
fs.R		fs.R
trading_engine_buy_testing.R		trading_engine_buy_testing.R
trading_engine_buy_testing_BP.R		trading_engine_buy_testing_BP.R
trading_engine_buy_testing_ML.R		trading_engine_buy_testing_ML.R
trading_engine_buy_testing_Naive.R		trading_engine_buy_testing_Naive.R
trading_engine_buy_training.R		trading_engine_buy_training.R
trading_engine_buy_training_BP.R		trading_engine_buy_training_BP.R
trading_engine_buy_training_ML.R		trading_engine_buy_training_ML.R
trading_engine_buy_training_Naive.R		trading_engine_buy_training_Naive.R
trading_engine_sell_testing_BP.R		trading_engine_sell_testing_BP.R
trading_engine_sell_testing_ML.R		trading_engine_sell_testing_ML.R
trading_engine_sell_testing_Naive.R		trading_engine_sell_testing_Naive.R
trading_engine_sell_training_BP.R		trading_engine_sell_training_BP.R
trading_engine_sell_training_ML.R		trading_engine_sell_training_ML.R
trading_engine_sell_training_Naive.R		trading_engine_sell_training_Naive.R

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Hi! Here's the readme file for the project.

HFT_FINAL.pdf - Final Report (Detailed README)

apply_fs.R - removes elminated feature from all the data

classifier.R & classifier_testing.R - contains classifier training & evaluation

extract_preds.R - make predictions for execution algos

fe.R - feature engineering file. Note that I played around with data used in hw3 in this file originally, so its creation time was before the start of my exam, but I did not start coding for the exam until the start.

fs.R - feature selection file

trading_engine_*.R - contains trading simulation

Best,
Shreyas