What orderbook features are useful at non ultra high frequency timeframes?
u/justmy_alt ·
Reddit — r/algotrading
· June 16, 2026 at 09:14
· ⬆ 15 pts
· 💬 11 comments
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Summary
The author is investigating whether orderbook features can predict price moves on 1–5 minute timeframes, rather than milliseconds.
They note a gap between academic HFT research and YouTube guru content, and ask for practical feature engineering guidance.
The post is a genuine inquiry, not a researched thesis; quality is speculative/introductory (no data, no backtest).
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Everything I find online about using the orderbook to predict price movement is either research papers focusing on ultra hft trading, predicting price movement in the next few miliseconds, or bs daytrading guru youtube videos.
So my question is if it's possible to use the orderbook to predict price movement at higher timeframes, obviously not days, but at least a few minutes into the future instead of just miliseconds?
Has anyone had success with something like this before?
Could you give some guidance on crafting orderbook features that are useful at the 1-5 minute timeframe?