Add Mid Price Predictors To Regression model (#3)

* add mid price predictors for total of 8 * assign cached_mid_prices in decode function * lasso and ridge * pr feedback * equality
josephxiao8 · Apr 11, 2024 · c32140f · c32140f
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diff --git a/csv/round-1-island-data-bottle/prices_round_1_day_-1.csv b/csv/round-1-island-data-bottle/prices_round_1_day_-1.csv
diff --git a/csv/round-1-island-data-bottle/prices_round_1_day_-2.csv b/csv/round-1-island-data-bottle/prices_round_1_day_-2.csv
diff --git a/csv/round-1-island-data-bottle/prices_round_1_day_0.csv b/csv/round-1-island-data-bottle/prices_round_1_day_0.csv
diff --git a/csv/round-1-island-data-bottle/trades_round_1_day_-1_nn.csv b/csv/round-1-island-data-bottle/trades_round_1_day_-1_nn.csv
diff --git a/csv/round-1-island-data-bottle/trades_round_1_day_-2_nn.csv b/csv/round-1-island-data-bottle/trades_round_1_day_-2_nn.csv
diff --git a/csv/round-1-island-data-bottle/trades_round_1_day_0_nn.csv b/csv/round-1-island-data-bottle/trades_round_1_day_0_nn.csv
diff --git a/joshua-notebooks/Manual 1.ipynb b/joshua-notebooks/Manual 1.ipynb
@@ -42,11 +42,11 @@
      "data": {
       "text/plain": [
        "array([[0.    , 0.0099, 0.0392, ..., 1.9208, 0.9801, 0.    ],\n",
-       "       [0.    , 0.0198, 0.0492, ..., 1.9404, 0.9998, 0.0198],\n",
-       "       [0.    , 0.    , 0.0784, ..., 1.9984, 1.0581, 0.0784],\n",
+       "       [0.    , 0.0099, 0.0393, ..., 1.9305, 0.9899, 0.0099],\n",
+       "       [0.    , 0.    , 0.0392, ..., 1.9592, 1.0189, 0.0392],\n",
        "       ...,\n",
-       "       [0.    , 0.    , 0.    , ..., 3.8416, 3.8613, 3.8416],\n",
-       "       [0.    , 0.    , 0.    , ..., 0.    , 1.9602, 1.9602],\n",
+       "       [0.    , 0.    , 0.    , ..., 1.9208, 1.9405, 1.9208],\n",
+       "       [0.    , 0.    , 0.    , ..., 0.    , 0.9801, 0.9801],\n",
        "       [0.    , 0.    , 0.    , ..., 0.    , 0.    , 0.    ]])"
       ]
      },
@@ -58,7 +58,7 @@
    "source": [
     "for a in range(900, 1001, 1):\n",
     "    for b in range(a, 1001, 1):\n",
-    "        A[a][b] += (1_000 - a) * (a - 900) * (a - 900) / 5_000\n",
+    "        A[a][b] += (1_000 - a) * (a - 900) * (a - 900) / 10_000\n",
     "        A[a][b] += (1_000 - b) * (b - a) * (a + b - 1_800) / 10_000\n",
     "        \n",
     "A[900:,900:]"
@@ -73,7 +73,7 @@
     {
      "data": {
       "text/plain": [
-       "(961, 982)"
+       "(952, 978)"
       ]
      },
      "execution_count": 4,
@@ -87,36 +87,28 @@
   },
   {
    "cell_type": "code",
-   "execution_count": 8,
+   "execution_count": 5,
    "id": "675aba47",
    "metadata": {},
    "outputs": [
     {
      "data": {
       "text/plain": [
-       "array([[34.3296, 34.3319, 34.3056, 34.2501, 34.1648],\n",
-       "       [34.3822, 34.3962, 34.3816, 34.3378, 34.2642],\n",
-       "       [34.4   , 34.4259, 34.4232, 34.3913, 34.3296],\n",
-       "       [34.3818, 34.4198, 34.4292, 34.4094, 34.3598],\n",
-       "       [34.3264, 34.3767, 34.3984, 34.3909, 34.3536]])"
+       "array([[20.2008, 20.2031, 20.1768, 20.1213, 20.036 ],\n",
+       "       [20.1101, 20.1241, 20.1095, 20.0657, 19.9921],\n",
+       "       [20.    , 20.0259, 20.0232, 19.9913, 19.9296],\n",
+       "       [19.8699, 19.9079, 19.9173, 19.8975, 19.8479],\n",
+       "       [19.7192, 19.7695, 19.7912, 19.7837, 19.7464]])"
       ]
      },
-     "execution_count": 8,
+     "execution_count": 5,
      "metadata": {},
      "output_type": "execute_result"
     }
    ],
    "source": [
     "A[958:963, 980:985]"
    ]
-  },
-  {
-   "cell_type": "code",
-   "execution_count": null,
-   "id": "e08af904",
-   "metadata": {},
-   "outputs": [],
-   "source": []
   }
  ],
  "metadata": {