How to do some statistical model optimization on past order book data for trading.
What is a good metric for optimizing a model of indicators and why.
How to convert to reward of such model into high frequency trades.
I will share one order book imbalance indicator.
I will present a python bot that is connected in live to a public binance API, computing the imbalance indicator and outputting some simulated orders. I will also illustrate the metric to optimize the model
