Hello all,
I am building an algorithm strategy based on the data below. This will work on one stock exchange (non-USA exchange which is still underdeveloped- an emerging market). I am reading most of the papers on Limit order book mechanism and similar ones.
Any help on the topic, i should research and algorithms i should investigate will be much appreciated. These data is not available historically and i made a software to capture and save these data, and now building any algorithms to predict future price moves.
*Total orders and amount in 60 seconds / all day
*Total buy/sell orders and amount in 60 seconds / all day
*Total buy/sell cancelled orders and amount and VWAP in 60 seconds / all day
*VWAP of total buy/sell orders, amount and volatility of these orders
*Total market buy/sell orders, amount and VWAP of these orders.
*Total filled orders, amount and VWAP of these orders and volume.
Thank you.
