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HFT Edge: Detecting Spoofing & Market Manipulation with a PyTorch Autoencoder
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YouTubeMoQuant
HFT Edge: Detecting Spoofing & Market Manipulation with a PyTorch Autoencoder
In this video I perform an anomaly detection at several depth levels on Bitcoin's level2 Orderbook streamed from Coinbase and plot the anomalies and the moving price in Matplotlib. I use PyTorch for the Autoencoder. The code for this video is located at: https://github.com/marscolony2040/BitconAnomaly
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