Market data results from the placement and processing of buy and sell orders in the course of the trading of financial instruments on the many marketplaces. The data reflects the institutional environment of trading venues, including the rules and regulations that govern orders, trade execution, and price formation.
Algorithmic traders use ML algorithms to analyze the flow of buy and sell orders and the resulting volume and price statistics to extract trade signals or features that capture insights into, for example, demand-supply dynamics or the behavior of certain market participants.
We will first review institutional features that impact the simulation of a trading strategy during a backtest. Then, we will take a look at how tick data can be reconstructed from the order book source. Next, we will highlight several methods that regularize tick data...
