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December 22, 2014 17:23
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OrderBook dynamics log
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| 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 |
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| 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 |
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