{ "cells": [ { "cell_type": "code", "execution_count": null, "metadata": { "pycharm": { "is_executing": true } }, "outputs": [], "source": [ "import pandas as pd\n", "\n", "\n", "\n", "train = pd.read_parquet('train.parquet')" ] }, { "cell_type": "code", "execution_count": 5, "metadata": {}, "outputs": [], "source": [ "import pandas as pd\n", "import numpy as np\n", "import matplotlib.pyplot as plt\n", "import seaborn as sns\n", "from sklearn.decomposition import PCA\n", "from sklearn.manifold import TSNE\n", "from sklearn.feature_selection import SelectKBest, f_regression, RFE\n", "from sklearn.ensemble import RandomForestRegressor\n", "from sklearn.cluster import KMeans\n", "from sklearn.preprocessing import StandardScaler\n", "import warnings\n", "\n", "warnings.filterwarnings('ignore')" ] }, { "cell_type": "code", "execution_count": 4, "metadata": {}, "outputs": [ { "data": { "text/html": [ "
| \n", " | bid_qty | \n", "ask_qty | \n", "buy_qty | \n", "sell_qty | \n", "volume | \n", "X1 | \n", "X2 | \n", "X3 | \n", "X4 | \n", "X5 | \n", "... | \n", "X882 | \n", "X883 | \n", "X884 | \n", "X885 | \n", "X886 | \n", "X887 | \n", "X888 | \n", "X889 | \n", "X890 | \n", "label | \n", "
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| count | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "... | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "525887.000000 | \n", "
| mean | \n", "9.968003 | \n", "10.174169 | \n", "131.726678 | \n", "132.673944 | \n", "264.400622 | \n", "-0.006026 | \n", "-0.000243 | \n", "-0.000353 | \n", "-0.000425 | \n", "-0.000263 | \n", "... | \n", "1.959330 | \n", "1.954978 | \n", "0.498112 | \n", "0.498063 | \n", "0.497997 | \n", "0.497872 | \n", "0.497525 | \n", "0.497372 | \n", "0.995394 | \n", "0.036126 | \n", "
| std | \n", "15.645741 | \n", "15.889582 | \n", "307.267251 | \n", "309.803040 | \n", "588.618746 | \n", "0.538340 | \n", "0.613746 | \n", "0.771744 | \n", "0.857115 | \n", "0.464695 | \n", "... | \n", "0.844732 | \n", "0.598279 | \n", "0.712811 | \n", "0.698678 | \n", "0.684946 | \n", "0.666936 | \n", "0.615440 | \n", "0.546439 | \n", "0.850509 | \n", "1.009914 | \n", "
| min | \n", "0.001000 | \n", "0.001000 | \n", "0.000000 | \n", "0.000000 | \n", "0.000000 | \n", "-2.787539 | \n", "-5.861926 | \n", "-6.125439 | \n", "-6.093792 | \n", "-2.855040 | \n", "... | \n", "0.433416 | \n", "0.686524 | \n", "0.000004 | \n", "0.000006 | \n", "0.000009 | \n", "0.000024 | \n", "0.003903 | \n", "0.015654 | \n", "0.092913 | \n", "-24.416615 | \n", "
| 25% | \n", "2.634000 | \n", "2.678000 | \n", "26.407000 | \n", "27.021000 | \n", "60.688500 | \n", "-0.370635 | \n", "-0.314135 | \n", "-0.441536 | \n", "-0.521693 | \n", "-0.295502 | \n", "... | \n", "1.367222 | \n", "1.521202 | \n", "0.000162 | \n", "0.000193 | \n", "0.000241 | \n", "0.000997 | \n", "0.033156 | \n", "0.066908 | \n", "0.244373 | \n", "-0.381585 | \n", "
| 50% | \n", "6.415000 | \n", "6.538000 | \n", "57.015000 | \n", "58.047000 | \n", "120.799000 | \n", "-0.015991 | \n", "-0.001713 | \n", "-0.003010 | \n", "-0.003948 | \n", "-0.002545 | \n", "... | \n", "1.831805 | \n", "1.882957 | \n", "0.000634 | \n", "0.001036 | \n", "0.004593 | \n", "0.039178 | \n", "0.127865 | \n", "0.161757 | \n", "0.634448 | \n", "0.016262 | \n", "
| 75% | \n", "13.085000 | \n", "13.330000 | \n", "127.639000 | \n", "129.110000 | \n", "256.733500 | \n", "0.349104 | \n", "0.310181 | \n", "0.431960 | \n", "0.507830 | \n", "0.287728 | \n", "... | \n", "2.369648 | \n", "2.274296 | \n", "1.473225 | \n", "1.472025 | \n", "1.442417 | \n", "1.380184 | \n", "1.120480 | \n", "0.999344 | \n", "1.701838 | \n", "0.434135 | \n", "
| max | \n", "1114.932000 | \n", "1352.965000 | \n", "17614.400000 | \n", "17686.234000 | \n", "28701.419000 | \n", "2.972741 | \n", "6.151366 | \n", "6.488532 | \n", "6.394355 | \n", "3.184776 | \n", "... | \n", "6.881902 | \n", "4.745380 | \n", "1.584315 | \n", "1.584315 | \n", "1.584315 | \n", "1.584315 | \n", "1.583862 | \n", "1.557910 | \n", "2.769604 | \n", "20.740270 | \n", "
8 rows × 896 columns
\n", "| \n", " | bid_qty | \n", "ask_qty | \n", "buy_qty | \n", "sell_qty | \n", "volume | \n", "X1 | \n", "X2 | \n", "X3 | \n", "X4 | \n", "X5 | \n", "... | \n", "X882 | \n", "X883 | \n", "X884 | \n", "X885 | \n", "X886 | \n", "X887 | \n", "X888 | \n", "X889 | \n", "X890 | \n", "label | \n", "
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| timestamp | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
| 2023-03-01 00:00:00 | \n", "15.283 | \n", "8.425 | \n", "176.405 | \n", "44.984 | \n", "221.389 | \n", "0.121263 | \n", "-0.417690 | \n", "0.005399 | \n", "0.125948 | \n", "0.058359 | \n", "... | \n", "1.925423 | \n", "1.847943 | \n", "0.005676 | \n", "0.190791 | \n", "0.369691 | \n", "0.377630 | \n", "0.210153 | \n", "0.159183 | \n", "0.530636 | \n", "0.562539 | \n", "
| 2023-03-01 00:01:00 | \n", "38.590 | \n", "2.336 | \n", "525.846 | \n", "321.950 | \n", "847.796 | \n", "0.302841 | \n", "-0.049576 | \n", "0.356667 | \n", "0.481087 | \n", "0.237954 | \n", "... | \n", "1.928569 | \n", "1.849468 | \n", "0.005227 | \n", "0.184660 | \n", "0.363642 | \n", "0.374515 | \n", "0.209573 | \n", "0.158963 | \n", "0.530269 | \n", "0.533686 | \n", "
| 2023-03-01 00:02:00 | \n", "0.442 | \n", "60.250 | \n", "159.227 | \n", "136.369 | \n", "295.596 | \n", "0.167462 | \n", "-0.291212 | \n", "0.083138 | \n", "0.206881 | \n", "0.101727 | \n", "... | \n", "1.928047 | \n", "1.849282 | \n", "0.004796 | \n", "0.178719 | \n", "0.357689 | \n", "0.371424 | \n", "0.208993 | \n", "0.158744 | \n", "0.529901 | \n", "0.546505 | \n", "
| 2023-03-01 00:03:00 | \n", "4.865 | \n", "21.016 | \n", "335.742 | \n", "124.963 | \n", "460.705 | \n", "0.072944 | \n", "-0.436590 | \n", "-0.102483 | \n", "0.017551 | \n", "0.007149 | \n", "... | \n", "1.928621 | \n", "1.849608 | \n", "0.004398 | \n", "0.172967 | \n", "0.351832 | \n", "0.368358 | \n", "0.208416 | \n", "0.158524 | \n", "0.529534 | \n", "0.357703 | \n", "
| 2023-03-01 00:04:00 | \n", "27.158 | \n", "3.451 | \n", "98.411 | \n", "44.407 | \n", "142.818 | \n", "0.173820 | \n", "-0.213489 | \n", "0.096067 | \n", "0.215709 | \n", "0.107133 | \n", "... | \n", "1.927084 | \n", "1.848950 | \n", "0.004008 | \n", "0.167391 | \n", "0.346066 | \n", "0.365314 | \n", "0.207839 | \n", "0.158304 | \n", "0.529167 | \n", "0.362452 | \n", "
5 rows × 896 columns
\n", "| \n", " | bid_qty | \n", "ask_qty | \n", "buy_qty | \n", "sell_qty | \n", "volume | \n", "label | \n", "
|---|---|---|---|---|---|---|
| timestamp | \n", "\n", " | \n", " | \n", " | \n", " | \n", " | \n", " |
| 2023-03-01 00:00:00 | \n", "15.283 | \n", "8.425 | \n", "176.405 | \n", "44.984 | \n", "221.389 | \n", "0.562539 | \n", "
| 2023-03-01 00:01:00 | \n", "38.590 | \n", "2.336 | \n", "525.846 | \n", "321.950 | \n", "847.796 | \n", "0.533686 | \n", "
| 2023-03-01 00:02:00 | \n", "0.442 | \n", "60.250 | \n", "159.227 | \n", "136.369 | \n", "295.596 | \n", "0.546505 | \n", "
| 2023-03-01 00:03:00 | \n", "4.865 | \n", "21.016 | \n", "335.742 | \n", "124.963 | \n", "460.705 | \n", "0.357703 | \n", "
| 2023-03-01 00:04:00 | \n", "27.158 | \n", "3.451 | \n", "98.411 | \n", "44.407 | \n", "142.818 | \n", "0.362452 | \n", "
| 2023-03-01 00:05:00 | \n", "29.454 | \n", "5.540 | \n", "309.371 | \n", "97.460 | \n", "406.831 | \n", "0.100448 | \n", "
| 2023-03-01 00:06:00 | \n", "3.478 | \n", "29.514 | \n", "100.608 | \n", "233.525 | \n", "334.133 | \n", "0.178679 | \n", "
| 2023-03-01 00:07:00 | \n", "16.591 | \n", "3.230 | \n", "46.034 | \n", "218.806 | \n", "264.840 | \n", "0.463684 | \n", "
| 2023-03-01 00:08:00 | \n", "5.560 | \n", "30.919 | \n", "40.259 | \n", "82.518 | \n", "122.777 | \n", "0.686066 | \n", "
| 2023-03-01 00:09:00 | \n", "12.697 | \n", "14.827 | \n", "125.650 | \n", "90.750 | \n", "216.400 | \n", "0.637539 | \n", "