OrderBook dynamics log

debug.log

12:20:53.549 [main] INFO  c.s.dynamics.DecisionTreeDynamics$ - Load Training data from: /Users/ezhulenev/data/NYSE/EQY_US_NYSE_BOOK_20130403. Filtered: AZ
12:20:53.677 [main] DEBUG c.s.dynamics.DecisionTreeDynamics$ - Training data set [1]:
12:20:53.686 [main] DEBUG c.s.dynamics.DecisionTreeDynamics$ -  - OpenBookFile(AZ,A,2013-04-03,/Users/ezhulenev/data/NYSE/EQY_US_NYSE_BOOK_20130403/openbookultraAZ_A20130403_1_of_1)
12:20:53.686 [main] INFO  c.s.dynamics.DecisionTreeDynamics$ - Load Validation data from: /Users/ezhulenev/data/NYSE/EQY_US_NYSE_BOOK_20130404. Filtered: AZ
12:20:53.687 [main] DEBUG c.s.dynamics.DecisionTreeDynamics$ - Validation data set [1]:
12:20:53.687 [main] DEBUG c.s.dynamics.DecisionTreeDynamics$ -  - OpenBookFile(AZ,A,2013-04-04,/Users/ezhulenev/data/NYSE/EQY_US_NYSE_BOOK_20130404/openbookultraAZ_A20130404_1_of_1)
12:20:53.699 [main] INFO  c.s.dynamics.ConfiguredSparkContext - Create spark context. Master: local[2]. App Name: OrderBookDynamics
12:20:55.330 [main] INFO  com.scalafi.dynamics.OpenBook$ - Load order log from Open Book file: /Users/ezhulenev/data/NYSE/EQY_US_NYSE_BOOK_20130403/openbookultraAZ_A20130403_1_of_1
12:21:27.870 [main] INFO  c.s.dynamics.DecisionTreeDynamics$ - Training order log size: 64081
12:21:28.040 [main] DEBUG c.scalafi.dynamics.OrderLogFunctions - Extract labeled data from order log. Order log size: 64081
12:21:28.981 [Executor task launch worker-0] INFO  c.s.d.a.LabeledPointsExtractor - Build labeled points extractor for symbol: ORCL. Number of features: 36
12:21:29.009 [Executor task launch worker-0] DEBUG c.s.d.a.LabeledPointsExtractor - Extract labeled points from orders log. Log size: 64081
12:21:34.667 [main] INFO  c.s.dynamics.DecisionTreeDynamics$ - ORCL: Train Decision Tree model. Training data size: 64064
12:21:38.925 [main] INFO  c.s.dynamics.DecisionTreeDynamics$ - ORCL: Trained model in 4258 millis
12:21:39.164 [main] INFO  c.s.dynamics.DecisionTreeDynamics$ - ORCL: Label counts: [Stationary -> 42137, Down -> 10714, Up -> 11213]
12:21:39.164 [main] INFO  com.scalafi.dynamics.OpenBook$ - Load order log from Open Book file: /Users/ezhulenev/data/NYSE/EQY_US_NYSE_BOOK_20130404/openbookultraAZ_A20130404_1_of_1
12:22:28.072 [main] INFO  c.s.dynamics.DecisionTreeDynamics$ - Validation order log size: 54761
12:22:28.150 [main] DEBUG c.scalafi.dynamics.OrderLogFunctions - Extract labeled data from order log. Order log size: 54761
12:22:28.513 [Executor task launch worker-1] INFO  c.s.d.a.LabeledPointsExtractor - Build labeled points extractor for symbol: ORCL. Number of features: 36
12:22:28.517 [Executor task launch worker-1] DEBUG c.s.d.a.LabeledPointsExtractor - Extract labeled points from orders log. Log size: 54761
12:22:32.025 [main] INFO  c.s.dynamics.DecisionTreeDynamics$ - ORCL: Evaluate model on validation data. Validation data size: 54749
12:22:32.027 [main] INFO  c.s.dynamics.DecisionTreeDynamics$ - ORCL: Learned classification tree model: DecisionTreeModel classifier
  If (feature 16 <= 1300.0)
   If (feature 35 <= 0.0032724300224706267)
    If (feature 18 <= 3800.0)
     If (feature 20 <= 331877.77777777775)
      If (feature 11 <= 1700.0)
       Predict: 2.0
      Else (feature 11 > 1700.0)
       Predict: 0.0
     Else (feature 20 > 331877.77777777775)
      If (feature 22 <= 325850.0)
       Predict: 0.0
      Else (feature 22 > 325850.0)
       Predict: 2.0
    Else (feature 18 > 3800.0)
     If (feature 0 <= 326100.0)
      If (feature 20 <= 326450.0)
       Predict: 2.0
      Else (feature 20 > 326450.0)
       Predict: 0.0
     Else (feature 0 > 326100.0)
      If (feature 5 <= 326000.0)
       Predict: 1.0
      Else (feature 5 > 326000.0)
       Predict: 2.0
   Else (feature 35 > 0.0032724300224706267)
    If (feature 11 <= 1400.0)
     If (feature 10 <= 1000.0)
      If (feature 29 <= 100.0)
       Predict: 2.0
      Else (feature 29 > 100.0)
       Predict: 1.0
     Else (feature 10 > 1000.0)
      If (feature 15 <= 1700.0)
       Predict: 2.0
      Else (feature 15 > 1700.0)
       Predict: 2.0
    Else (feature 11 > 1400.0)
     If (feature 15 <= 1900.0)
      If (feature 28 <= 11200.0)
       Predict: 2.0
      Else (feature 28 > 11200.0)
       Predict: 0.0
     Else (feature 15 > 1900.0)
      If (feature 16 <= 800.0)
       Predict: 2.0
      Else (feature 16 > 800.0)
       Predict: 0.0
  Else (feature 16 > 1300.0)
   If (feature 11 <= 1100.0)
    If (feature 10 <= 400.0)
     If (feature 4 <= 326300.0)
      If (feature 16 <= 1800.0)
       Predict: 2.0
      Else (feature 16 > 1800.0)
       Predict: 2.0
     Else (feature 4 > 326300.0)
      If (feature 9 <= 322900.0)
       Predict: 0.0
      Else (feature 9 > 322900.0)
       Predict: 1.0
    Else (feature 10 > 400.0)
     If (feature 34 <= 0.011470082621432457)
      If (feature 1 <= 327200.0)
       Predict: 2.0
      Else (feature 1 > 327200.0)
       Predict: 1.0
     Else (feature 34 > 0.011470082621432457)
      If (feature 23 <= 2020.0)
       Predict: 1.0
      Else (feature 23 > 2020.0)
       Predict: 2.0
   Else (feature 11 > 1100.0)
    If (feature 34 <= 0.15384615384615385)
     If (feature 10 <= 600.0)
      If (feature 8 <= 322100.0)
       Predict: 2.0
      Else (feature 8 > 322100.0)
       Predict: 2.0
     Else (feature 10 > 600.0)
      If (feature 34 <= 0.002)
       Predict: 2.0
      Else (feature 34 > 0.002)
       Predict: 2.0
    Else (feature 34 > 0.15384615384615385)
     If (feature 15 <= 1700.0)
      If (feature 35 <= 0.1887963444311341)
       Predict: 2.0
      Else (feature 35 > 0.1887963444311341)
       Predict: 1.0
     Else (feature 15 > 1700.0)
      If (feature 12 <= 1000.0)
       Predict: 0.0
      Else (feature 12 > 1000.0)
       Predict: 2.0

12:22:32.455 [main] INFO  c.s.dynamics.DecisionTreeDynamics$ - ORCL: Training Error = 0.28398692213556415

java.cmd

com.scalafi.dynamics.DecisionTreeDynamics -t /Users/ezhulenev/data/NYSE/EQY_US_NYSE_BOOK_20130403 -v /Users/ezhulenev/data/NYSE/EQY_US_NYSE_BOOK_20130404 -f AZ -s ORCL