FinMLKit documentation

Welcome to FinMLKit’s documentation! This is a Python package for financial machine learning and more broadly quantitative finance.

The main goal of this library is to provide a solid foundation for financial machine learning, enabling users to process raw trades data, generate different types of bars, intra-bar features (eg. footprints), bar-level features (indicators), and labels for supervised learning.

⚒️ Quick Setup

pip install finmlkit

Or clone the repository and install it locally:

pip install .

For development (editable) installation:

pip install -e .

Documentation

Contents:

• finmlkit
  • finmlkit package
• Tutorials
  • Why FinMLKit?
  • The problem we’re tackling
  • What FinMLKit brings
  • How this advances research
  • What’s different from existing libraries
  • Open source philosophy
  • Call to action
  • Processing Raw Trade Data
  • Saving and Loading Data
  • Building Intra-Bar Features
  • Building Inter-Bar Features
  • Feature pipelines: Compose, FeatureKit and the computation graph
  • Building Labels

Indices and tables

• Index

• Module Index

• Search Page