Data
In our example, we will use the Russian stock market prices from the period of 2015-2016, which are placed in Chapter10/data/ch10-small-quotes.tgz and have to be unpacked before model training.
Inside the archive, we have CSV files with M1 bars, which means that every row in each CSV file corresponds to a single minute in time, and price movement during that minute is captured with four prices:
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Open: The price at the beginning of the minute
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High: The maximum price during the interval
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Low: The minimum price
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Close: The last price of the minute time interval
Every minute interval is called a bar and allows us to have an idea of price movement within the interval. For example, in the YNDX_160101_161231.csv file (which has Yandex company stocks for 2016), we have 130k lines in this form:
<DATE>,<TIME>,<...
