Question 1

How to use this framework with data from other exchanges like NASDAQ or NYSE?

Accepted Answer

You'll need to preprocess your data to match the SGX orderbook format expected by the framework, which may involve writing custom scripts for data conversion and feature alignment. The core ML components might be reusable, but input handling requires modification.

Question 2

SGX-Full-OrderBook-Tick-Data-Trading-Strategy vs libraries like backtrader or zipline for backtesting?

Accepted Answer

This framework is specialized for machine learning on orderbook data with feature extraction, whereas backtrader and zipline are general-purpose backtesting engines. Choose this if you need ML-driven HFT strategies; otherwise, broader libraries offer more flexibility for diverse trading approaches.

Question 3

How to add my own machine learning models to the trainer?

Accepted Answer

You can extend the Learning Model Trainer by integrating additional classifiers from scikit-learn or other libraries, but the README doesn't provide clear instructions—you'll need to examine the existing code structure and adapt it manually.

Question 4

Does this support deep learning models like LSTMs for time series prediction?

Accepted Answer

No, the current implementation only includes traditional classifiers like SVM and tree-based methods. To use deep learning, you'd have to incorporate external libraries and modify the prediction engine significantly.

Question 5

What's the performance like with large datasets, and how to handle memory issues?

Accepted Answer

The framework is designed for high-frequency data, but the README doesn't discuss scalability or optimization for large datasets—you may need to implement chunking or distributed computing on your own to avoid memory constraints.

Question 6

Can I integrate this with live trading APIs like Interactive Brokers?

Accepted Answer

No, the project focuses on backtesting and modeling, with no built-in support for live trading connections. You would have to develop custom integration code to bridge the prediction output with trading platforms.

SGX-Full-OrderBook-Tick-Data-Trading-Strategy

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