Implementation of top solutions of Optiver - Trading at the Close 2023 with
ML engineering best practices extension
| Stage | Status | |
|---|---|---|
| 1 | EDA w/ target as stock wap regression restore | ✅ |
| 2 | Feature generation, 370+ total | ✅ |
| 3 | Batch learning on daily h5 data | ✅ |
| 4 | Feature selection with Catboost | ⏳ |
| 5 | Params optimization with Optuna and MlFlow on selected features |
⏳ |
| 6 | NannyMl to check perfomance decay for ts splits | ⏳ |
| 7 | Retrain options and DVC each fited porion | ⏳ |