finmlkit.bar package

Submodules

• finmlkit.bar.base module
  • BarBuilderBase
    • BarBuilderBase.__init__()
    • BarBuilderBase._abc_impl
    • BarBuilderBase._comp_bar_close()
    • BarBuilderBase._set_bar_close()
    • BarBuilderBase.bar_close_indices
    • BarBuilderBase.bar_close_timestamps
    • BarBuilderBase.build_directional_features()
    • BarBuilderBase.build_footprints()
    • BarBuilderBase.build_ohlcv()
    • BarBuilderBase.build_trade_size_features()
  • comp_bar_directional_features()
  • comp_bar_footprints()
  • comp_bar_ohlcv()
  • comp_bar_trade_size_features()
  • comp_footprint_features()
• finmlkit.bar.data_model module
  • FootprintData
    • FootprintData.__init__()
    • FootprintData._datetime_index
    • FootprintData.bar_timestamps
    • FootprintData.buy_imbalances
    • FootprintData.buy_imbalances_sum
    • FootprintData.buy_ticks
    • FootprintData.buy_volumes
    • FootprintData.cast_to_numba_list()
    • FootprintData.cast_to_numpy()
    • FootprintData.cot_price_levels
    • FootprintData.from_numba()
    • FootprintData.get_df()
    • FootprintData.imb_max_run_signed
    • FootprintData.is_valid()
    • FootprintData.memory_usage()
    • FootprintData.price_levels
    • FootprintData.price_tick
    • FootprintData.sell_imbalances
    • FootprintData.sell_imbalances_sum
    • FootprintData.sell_ticks
    • FootprintData.sell_volumes
    • FootprintData.vp_gini
    • FootprintData.vp_skew
  • TradesData
    • TradesData.__init__()
    • TradesData._add_trade_side_info()
    • TradesData._apply_timestamp_resolution()
    • TradesData._convert_timestamps_to_ns()
    • TradesData._infer_timestamp_unit()
    • TradesData._keys_for_timerange()
    • TradesData._merge_trades()
    • TradesData._sort_trades()
    • TradesData._validate_data()
    • TradesData.data
    • TradesData.end_date
    • TradesData.load_trades_h5()
    • TradesData.orig_timestamp_unit
    • TradesData.save_h5()
    • TradesData.set_view_range()
    • TradesData.start_date
  • _is_notebook_environment()
  • _load_single_h5_group()
• finmlkit.bar.io module
  • AddTimeBarH5
    • AddTimeBarH5.__init__()
    • AddTimeBarH5._check_keys()
    • AddTimeBarH5._list_keys()
    • AddTimeBarH5.process_all()
    • AddTimeBarH5.process_key()
  • H5Inspector
    • H5Inspector.__init__()
    • H5Inspector.get_integrity_info()
    • H5Inspector.get_integrity_summary()
    • H5Inspector.get_metadata()
    • H5Inspector.get_statistics()
    • H5Inspector.inspect_gaps()
    • H5Inspector.list_keys()
  • TimeBarReader
    • TimeBarReader.__init__()
    • TimeBarReader._find_relevant_keys()
    • TimeBarReader._list_time_range()
    • TimeBarReader._resample()
    • TimeBarReader.list_keys()
    • TimeBarReader.read()
  • _find_gaps()
• finmlkit.bar.kit module
  • CUSUMBarKit
    • CUSUMBarKit.__init__()
    • CUSUMBarKit._abc_impl
    • CUSUMBarKit._comp_bar_close()
    • CUSUMBarKit.get_sigma()
  • DollarBarKit
    • DollarBarKit.__init__()
    • DollarBarKit._abc_impl
    • DollarBarKit._comp_bar_close()
  • TickBarKit
    • TickBarKit.__init__()
    • TickBarKit._abc_impl
    • TickBarKit._comp_bar_close()
  • TimeBarKit
    • TimeBarKit.__init__()
    • TimeBarKit._abc_impl
    • TimeBarKit._comp_bar_close()
  • VolumeBarKit
    • VolumeBarKit.__init__()
    • VolumeBarKit._abc_impl
    • VolumeBarKit._comp_bar_close()
• finmlkit.bar.logic module
  • _cusum_bar_indexer()
  • _dollar_bar_indexer()
  • _imbalance_bar_indexer()
  • _run_bar_indexer()
  • _tick_bar_indexer()
  • _time_bar_indexer()
  • _volume_bar_indexer()
• finmlkit.bar.utils module
  • check_timestamps_order()
  • comp_price_tick_size()
  • comp_price_tick_size_old()
  • comp_trade_side()
  • comp_trade_side_vector()
  • fast_sort_trades()
  • footprint_to_dataframe()
  • median3()
  • merge_split_trades()