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WaveNetを使った仮想通貨予測モデルの設計と運用
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yoshiso
December 19, 2018
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430
WaveNetを使った仮想通貨予測モデルの設計と運用
yoshiso
December 19, 2018
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Transcript
WaveNetΛͬͨ Ծ௨՟༧ଌϞσϧͷ ઃܭͱӡ༻ Alpaca Japan yoshiso MarketTech Meetup #1 @
2018.12.19
Who I am Name @yoshiso Belongs AlpacaJapan Role Engineer
Disclaimer ͜͜ʹه͞ΕͨҙݟࢲݸਓͷͷͰ͋Γ ձࣾΛද͢ΔͷͰ͋Γ·ͤΜ ࢿॿݴɾਪɾק༠͢ΔͷͰ͋Γ·ͤΜ
How to Design the Market Prediction Model
Outline Universe Time Horizon Training Label Features Model
Only for Meetup Visitors
How to Manage the Prediction System
Outline Ձ֨σʔλͷσϦόϦ ༧ଌੜͱΦʔμʔडൃͷ Ϟσϧͷ࠶ֶशͱߋ৽
Architecture USBEFTFSWFS &YDIBOHF BMMPDBUPS 1SFEJDUPS 1SFEJDUPS trades executions trades executions
order order aggregated price data desired portfolio 1SFEJDUPS
tradeserver • औҾॴͷՁ֨σʔλΛಉظɺෳpredictorՁ ֨σʔλΛఏڙ͢Δ • औҾॴͷRateLimitճආͭͭ͠࠷ͰσϦόϦ • Φʔμʔͷঢ়ଶཧ • औҾॴଆΦʔμʔ͕ݟ͑ͳ͍έʔεݕɺ
߹ੑΛऔΔ
allocator • ݱࡏͷϙʔτϑΥϦΦͱཧϙʔτϑΥϦΦ ͷࠩΛࣥߦ͢Δ • େ͖͍ΦʔμʔͷεϥΠγϯάॲཧɺϦϛο τΦʔμʔͷཧ • ෳͷϓϨσΟΫλ͔ΒཧϙʔτϑΥϦΦ Λड͚औΓҰׅཧ
predictor • ࢦఆ͞Εͨස͝ͱʹՁ֨ͷࠩσʔλΛ tradeserver͔Βऔಘ • ฒྻॲཧʹͯલॲཧɺϞσϧͷਪɺ༧ଌε ίΞΛܭࢉ • ༧ଌείΞΛͱʹཧϙʔτϑΥϦΦΛग़ ྗ͢Δ
Model Re-training • ఆظతʹ࠶ֶशΛ͔͚Δ(bi-weekly) • ۙੜ͞ΕͨෳͷϞσϧΛݩʹΞϯαϯϒϧ • Ϛʔέοτ͕มΘΔͱɺਫ਼͕શ͘ग़ͳ͘ͳΔ͜ͱ
Done
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