Hi. Here are proposed milestones:
M1. Scope: 3 hours
- Deeper analysis of the algoseek data format
- Reviewing relevant parts of the article: [login to view URL]
- Developing a method to adjust the market data (i.e. algoseek) to the order flow model, used by the article
- Developing the desired output format of processing the algoseek data
- (optionally) A skype call to discuss all the above before and/or after
M2: 6 hours
- Writing a python script implementation of the above
- Debugging, performance optimization, QA
- Documentation and detailed explanation of the logic in written and/or verbal form
M3: 3 hours
Converting the data into the form, desired for feeding the NN