This project aims to create a Market Microstructure Model empowered by Machine Learning Techniques for forecasting the volumes of Limit Order Book.

First Step is to download the thick data from an exchange API.

Then the raw data is modelled in order to fit to my algorithm.

Finally a Machine Learning Time Series analysis is performed over the two sides of the Limit Order Book.

The Final step of the project is to take decisions for Buy or Sell. The execution management system would be coded from the scratch