'ask1_price', 'ask1_size', 'bid1_price', 'bid1_size', 'ask2_price', 'ask2_size', 'bid2_price', 'bid2_size', 'ask3_price', 'ask3_size', 'bid3_price', 'bid3_size', 'ask4_price', 'ask4_size', 'bid4_price', 'bid4_size', 'ask5_price', 'ask5_size', 'bid5_price', 'bid5_size',
'bid1_size_n', 'bid2_size_n', 'bid3_size_n', 'bid4_size_n', 'bid5_size_n', 'ask1_size_n', 'ask2_size_n', 'ask3_size_n', 'ask4_size_n', 'ask5_size_n', 'wap_1', wap_1 = (bid1_price × bid1_size + ask1_price × ask1_size) / (bid1_size + ask1_size) 'wap_2', wap_2 = (∑_{i=1}^{n} bid_i_price × bid_i_size + ∑_{i=1}^{n} ask_i_price × ask_i_size) / (∑_{i=1}^{n} bid_i_size + ∑_{i=1}^{n} ask_i_size) 'wap_balance',
'buy_spread', 买卖价差 'sell_spread', 买卖价差 'price_spread', 价格价差
'buy_volume', 买卖成交量 'sell_volume',买卖成交量 'volume_imbalance', 成交量不平衡度
WAP (Weighted Average Price) - 加权平均价格 WAP = (∑(价格_i × 数量_i)) / ∑数量_i VWAP (Volume Weighted Average Price) - 成交量加权平均价格 VWAP = (∑(价格_i × 成交量_i)) / ∑成交量_i
'sell_vwap', 'buy_vwap', 'log_return_wap_1', 'log_return_wap_2',
'log_return_bid1_price', 'log_return_bid2_price', 'log_return_ask1_price', 'log_return_ask2_price',
'buy_vwap_trend_60', 60期趋势指标 'sell_vwap_trend_60',60期趋势指标 'buy_spread_trend_60',60期趋势指标 'sell_spread_trend_60',60期趋势指标 'ask1_price_trend_60', 60期趋势指标 'bid1_price_trend_60',60期趋势指标
'wap_1_trend_60',60期趋势指标 'wap_2_trend_60', 60期趋势指标
============================================================================================ OHLCV（时间、开盘价、最高价、最低价、收盘价、成交量） 'timestamp', 'volume', 'open', 'high', 'low', 'close', 'volume_trend_60', 60期趋势指标
K线形态 'kmid', K线中间价位置 kmid = (close - open) / (high - low + ε) 'klen',K线长度（相对波动）比例 klen = (high - low) / (open + ε) 'kup', 上影线比例 kup = (high - max(open, close)) / (high - low + ε) 'klow', 下影线比例 klow = (min(open, close) - low) / (high - low + ε) 'ksft', K线实体偏移度 ksft = (max(open, close) - (high + low)/2) / (high - low + ε)
============================================================================================
形态 kmid kup klow ksft 市场含义 大阳线 >0.7 小 小 >0.3 强烈看涨 大阴线 <-0.7 小 小 <-0.3 强烈看跌 十字星 ≈0 ≈0.5 ≈0.5 ≈0 市场犹豫 锤子线 >0 小 >0.7 <0 底部反转 射击之星 <0 >0.7 小 >0 顶部反转 纺锤线 ≈0 ≈0.3 ≈0.3 ≈0 平衡市
single_features
['volume', 'bid1_size_n', 'bid2_size_n', 'bid3_size_n', 'bid4_size_n', 'bid5_size_n', 'ask1_size_n', 'ask2_size_n', 'ask3_size_n', 'ask4_size_n', 'ask5_size_n', 'wap_1', 'wap_2', 'wap_balance', 'buy_spread', 'sell_spread', 'buy_volume', 'sell_volume', 'volume_imbalance', 'price_spread', 'sell_vwap', 'buy_vwap', 'log_return_bid1_price', 'log_return_bid2_price', 'log_return_ask1_price', 'log_return_ask2_price', 'log_return_wap_1', 'kmid', 'klen', 'kmid2', 'kup', 'kup2', 'klow', 'klow2', 'ksft', 'ksft2']
trend_features ['ask1_price_trend_60', 'bid1_price_trend_60', 'buy_spread_trend_60', 'sell_spread_trend_60', 'wap_1_trend_60', 'wap_2_trend_60', 'buy_vwap_trend_60', 'sell_vwap_trend_60', 'volume_trend_60']