Limit and Market Order for training a ML model

**Goal :** Using deep learning to build a ML model which would predict the right places where a stock price will increase, decrease or stay stable.

For the current question, assume the labels are well defined.

As features I used the limit order book, but I did not get a lot of success. So I realised that I didn't have all the features to accomplish my goal. In reading the following paper [login to view URL] on page 8, I didn't consider the market and cancellation orders. A setback I got is I did not find a vendor to provide the market orders separately from the limit orders. So in the moment I have the full market depth from algoseek. You can find a sample

here [login to view URL]

Does the full market depth contain the market orders? If so, can I build just a book containing the limit and market orders I can use for the training phase of the ML model?

Please let me know if you question is unclear.

Financial Analysis Financial Research Machine Learning (ML)

Project ID: #17534647

About the project