Derived Variables

• Total Bid Size
• Total Ask Size
• Bid/Ask Ratio
• Mid Price
• Bid Ask Spread

Hyperparams

• FOREHEAD_RANGE : 300s
• Lookback : 900s
• Model : CNN + GRU

High Rv Point : RV & Prediction

High Recall : Threshold : 0.003

Accuracy: 0.7437
Precision: 0.4531
Recall: 0.7571
F1 Score: 0.5669