In this work is proposed the implementation in pytorch of the model introduced in Transformers for limit order books by James Wallbridge.
In the notebook there is a comprehensive machine learning pipeline that encompasses loading the dataset, applying labeling methods, creating datasets and dataloaders, and ultimately, executing the training, validation, and testing processes.
To run the code you just have to download the FI-2010 dataset and change the data path, then the notebook will do the rest, including the training and testing.