Goal : Using deep learning to build a ML model which would predict the right places where a stock price will increase, decrease or stay stable.
As features I used the limit order book, but I did not get a lot of success. So I realised that I didn't have all the features to accomplish my goal. In reading the following paper [login to view URL] on page 8, I didn't consider the market and cancellation orders. A setback I got is I did not find a vendor to provide the market orders separately from the limit orders. So in the moment I have the full market depth from algoseek. You can find a sample here --> [login to view URL]
This is roughly what I need each second from the reference paper.
See [login to view URL] in the uploaded files
Any thoughts of a provider that can provide me limit, market and cancellation order for the last three years with timestamps 1 second?
Please let me know if you question is unclear.