Including more variables into the algorithm

[qzyu999]

I spoke with Bruce on LinkedIn and mentioned to him the idea of adding more volume-related data such as time & sales. I believe that the current OHLC format for data is the simpler data which is readily available online to retail traders. However, I feel that the RL agents would vastly improve with the additional input of data such as time & sales (TS). TS data shows a table indexed by time the volume of every single buy and sell order. I think that these additional variables which generate altogether a depth of market (DOM) would be highly valuable information to an RL agent.