HFformer

HFformer is a Transformed-based deep learning model for high-frequency trading time series forecasting. Limit Order Book (LOB) data for the USDT-BTC trading pair is collected from Binance APIs.

The MSc thesis can be accessed here.

The following Github repositories were used to build the deep learning models:

• LSTM: https://github.com/lkulowski/LSTM_encoder_decoder
• Transformer: https://github.com/AIStream-Peelout/flow-forecast
• Autoformer and FEDformer: https://github.com/cure-lab/DLinear
• TFT: https://github.com/mattsherar/Temporal_Fusion_Transform
• Spiking activation: https://github.com/nengo/pytorch-spiking

Data repository:

• raw LOB data
• processed LOB data