Method and system for high frequency trading
A method for high frequency trading is provided, which is performed by one or more processors, and includes calculating a latency for a market order for each of a plurality of candidate batch sizes, selecting a batch size from among the plurality of candidate batch sizes based on the calculated late...
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Main Authors | , , |
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Format | Patent |
Language | English |
Published |
05.12.2023
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Subjects | |
Online Access | Get full text |
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Summary: | A method for high frequency trading is provided, which is performed by one or more processors, and includes calculating a latency for a market order for each of a plurality of candidate batch sizes, selecting a batch size from among the plurality of candidate batch sizes based on the calculated latency, generating input data corresponding to the selected batch size using market data for a target item, using a machine learning model, generating prediction data for the target item at a future time point associated with the selected batch size, based on the generated input data, and generating order data for the target item based on the generated prediction data. |
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Bibliography: | Application Number: US202318172251 |