I used a mix of K-Nearest-Neighbor with varying length K values for this. The data used are mostly from EIA, US production, imports, exports, refinery use, and total petroleum stocks.
Statistical outlook for the next few days: very weakly bullish.
Yes. At several of the funds I worked at, I literally had to build into/out of positions because of the size wrt available liquidity throughout the day. Never heard of anyone on buy side going in/out in 1 shot