features.txt

{"keep_features": ["bid_ask_qty_diff_diff_lag_5", "up_down_rolling_std_5", "spread_diff_rolling_mean_20", "spread_diff_rolling_mean_5s", "bid_price_rolling_std_1s", "bid_advance_time_rolling_mean_1s", "ask_qty_diff_rolling_max_10s", "ask_price_diff_rolling_std_3s", "ask_qty_rolling_std_10s", "bid_ask_qty_diff_rolling_std_20", "ask_advance_time_lag_2", "bid_ask_qty_total_rolling_max_10", "bid_ask_qty_diff_rolling_sum_5", "bid_qty_rolling_min_5", "bid_ask_qty_diff_diff_rolling_sum_3s", "sum_trade_1s_rolling_std_1s", "spread_rolling_mean_1s", "trade_price_diff_rolling_sum_10", "ask_qty_diff_rolling_sum_10s", "ask_price_diff_rolling_mean_5s", "sum_trade_1s_diff_rolling_sum_20", "bid_price_lag_5", "sum_trade_1s_rolling_mean_5", "bid_ask_qty_diff_rolling_min_5", "bid_ask_qty_diff_diff_rolling_std_3s", "bid_ask_qty_total_rolling_min_5", "bid_advance_time_diff_lag_2", "trade_price_compare", "bid_ask_qty_diff_diff_rolling_mean_20", "trade_price_diff_rolling_sum_3s", "bid_ask_qty_diff_rolling_sum_1s", "bid_qty", "ask_advance_time_rolling_mean_5s", "spread_diff_rolling_std_1s", "trade_price_compare_diff_rolling_std_1s", "bid_ask_qty_diff", "ask_qty_lag_1", "ask_qty_diff_rolling_sum_1s", "trade_price_compare_diff_rolling_sum_5", "spread", "bid_qty_lag_1", "bid_ask_qty_diff_rolling_mean_10", "bid_qty_lag_2", "bid_price_lag_3", "ask_qty_rolling_min_3s", "ask_advance_time_lag_4", "spread_diff_rolling_std_3s", "bid_qty_rolling_max_20", "ask_qty_lag_3", "bid_qty_diff_lag_5", "bid_price_diff_rolling_sum_5s", "trade_price_compare_diff_lag_4", "bid_price_diff_lag_4", "bid_qty_diff_rolling_sum_1s", "bid_ask_qty_diff_diff_rolling_max_1s", "bid_advance_time_rolling_mean_3s", "ask_advance_time_diff_lag_1", "ask_qty_rolling_min_5", "spread_rolling_std_3s", "bid_advance_time_rolling_std_20", "ask_qty_diff_rolling_min_20", "sum_trade_1s_rolling_mean_10", "spread_diff_rolling_std_20", "ask_qty_rolling_mean_5", "bid_qty_rolling_min_10", "trade_price_compare_diff_lag_5", "bid_price_rolling_std_5", "trade_price_rolling_mean_10", "sum_trade_1s_diff_rolling_std_10", "bid_advance_time_diff_rolling_sum_5s", "ask_qty_lag_2", "trade_price_pos_diff_rolling_std_10s", "ask_advance_time_diff_rolling_mean_5", "ask_qty_rolling_min_10", "sum_trade_1s_diff_lag_5", "last_trade_time_diff_lag_4", "bid_qty_diff_rolling_std_5", "bid_price_diff_lag_3", "ask_advance_time_lag_3", "ask_qty_rolling_mean_20", "ask_qty_diff_rolling_mean_5", "bid_ask_qty_diff_diff_rolling_sum_10s", "bid_advance_time_rolling_mean_5s", "sum_trade_1s_lag_1", "bid_qty_rolling_min_3s", "bid_qty_rolling_max_5s", "sum_trade_1s_diff_lag_2", "bid_ask_qty_total_rolling_max_10s", "bid_qty_rolling_mean_10", "bid_advance_time_lag_1", "bid_ask_qty_diff_lag_1", "bid_ask_qty_diff_diff_rolling_min_1s", "bid_qty_diff_rolling_std_10s", "bid_price_rolling_std_5s", "ask_qty_diff_rolling_std_5s", "bid_qty_diff_rolling_max_10", "last_trade_time", "ask_qty_diff_rolling_mean_1s", "trade_price_pos_diff_rolling_mean_3s", "bid_ask_qty_total_diff_rolling_max_3s", "ask_qty_diff_rolling_sum_3s", "last_trade_time_diff_rolling_mean_5s", "bid_ask_qty_total_diff_rolling_max_10", "bid_qty_rolling_mean_5", "ask_qty", "bid_ask_qty_diff_diff_rolling_mean_5s", "bid_ask_qty_total_diff_rolling_sum_5", "bid_qty_rolling_min_20", "last_trade_time_diff_rolling_sum_5", "bid_price_rolling_mean_10s", "ask_advance_time_diff_rolling_mean_1s", "sum_trade_1s_diff"], "correlation_remove": ["ask_price"]}