Shakti preprocessing for https://arxiv.org/pdf/2110.03687.pdf - "Protecting Retail Investors from Order Book Spoofing using a GRU-based Detection Model".
Deep learning code in KDB+.(embedpy)
Download data from https://lobsterdata.com/info/sample/LOBSTER_SampleFile_MSFT_2012-06-21_30.zip - rename as ob.csv and msg.csv respectively.