This website is intended to be a notebook gathering ideas connected with statistical exploration of the limit order book properties. Currently, data I’ve gathered is tick data downloaded during live sessions from Warsaw Stock Exchange (WSE) for a dozen of instruments (mainly WIG20 stocks and futures for this index). The dataset first records have been downloaded midyear 2018. Downloading and storing the data takes place every day for a selected group of most liquid instruments on WSE. Unfortunately data set is not complete:

• I’ve decided to include or exclude some instruments from downloading
• Some intra-day data might be missing (Internet problems, blackouts etc.)
• Some periods are missing (no data for whole day for none of the instruments)

Obviously the goal of this journey among training myself in python, statistics and potentially - Machine Learning, is to use conclusions of the analysis in trading. Few working assumptions made a priori:

• trading should be fully automated
• holding period is never longer than one day (cash position at the end of the day) - daytrading

Note: It is not a goal of the website to present downloading and preprocessing. On this blog, I will scratch my head about features coming from the data that has already been downloaded, stored and initially preprocessed for further analysis.

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