Task is to predict the type of the first event that will happen in the next 1/3/5 seconds.
0 -- No price change
1 -- Bid price decreased
2 -- Ask price increased
A multi-label, multi-class classification problem for an intra-day L1 order book data of a single security.
timestamp str datetime string
bid_price float price of current bid in the market
bid_qty float quantity currently available at the bid price
bid_price float price of current ask in the market
ask_qty float quantity currently available at the ask price
trade_price float last traded price
sum_trade_1s float sum of quantity traded over the last second
bid_advance_time float seconds since bid price last advanced
ask_advance_time float seconds since ask price last advanced
last_trade_time float seconds since last trade