orderbook_modeling

1. orderbook_gradient_boosting.ipynb - the main file of research contained a full-cycle research (getting data, visualization, feature engineering, modeling, fine-tuning of the algorithm, quality estimation, and so on.).
2. data - folder with order book data. You should extract the files from archive to data folder.

Detailed article about order book modeling here https://towardsdatascience.com/application-of-gradient-boosting-in-order-book-modeling-3cd5f71575a7