Hi,
I am trying to reproduce your model but I am having difficulty understanding the meaning in the columns in the CN_Futures_2014.01.02 file.
As I understand this file is the Extraction from the Limited Order Book, but I couldn't understand the QuantityDifference columns (would it be the difference between the limited ask quantity minus the limited bid quantity?) and the BestQuantity column.
I also noticed that in the file there are many repeated OrderNumber for different timestamps.
Thank's for your time.