OCET: One-dimensional Convolution Embedding Transformer for Stock Trend Prediction

This repo is a simple implementation of OCET on the FI-2010 dataset.

Dataset - FI2010

https://github.com/zcakhaa/DeepLOB-Deep-Convolutional-Neural-Networks-for-Limit-Order-Books/tree/master/data

data file is as follow:

/data
|   Train_Dst_NoAuction_DecPre_CF_7.txt
|   Test_Dst_NoAuction_DecPre_CF_7.txt
|   Test_Dst_NoAuction_DecPre_CF_8.txt
|   Test_Dst_NoAuction_DecPre_CF_9.txt

Environment

pip install torch einops numpy tqdm

Train

python train.py

Others

we also privide some high-precision models in recent years (deeplob, deepfilio, deeplobattenton etc). You can get it in 'model'.