Yes, I also don't regret the experience of working with LSTMs, Keras, etc. It's all been a good learning experience.
As far as ordering data goes, I pretty much followed the templates on this page from Jason Brownlee (I think you already linked him earlier):
I'm not working with NT anymore, just straight Python, so I barely had to add anything to Jason's examples, haha.
I haven't looked at Cumulative Delta or pro order analysis so I will add that to my list of potential sources of alpha! Always looking for new avenues.