Index

_

__init__() (finmlkit.bar.base.BarBuilderBase method) (finmlkit.bar.data_model.FootprintData method) (finmlkit.bar.data_model.TradesData method) (finmlkit.bar.io.AddTimeBarH5 method) (finmlkit.bar.io.H5Inspector method) (finmlkit.bar.io.TimeBarReader method) (finmlkit.bar.kit.CUSUMBarKit method) (finmlkit.bar.kit.DollarBarKit method) (finmlkit.bar.kit.TickBarKit method) (finmlkit.bar.kit.TimeBarKit method) (finmlkit.bar.kit.VolumeBarKit method) (finmlkit.feature.base.BaseTransform method) (finmlkit.feature.base.BinaryOpTransform method) (finmlkit.feature.base.ConstantOpTransform method) (finmlkit.feature.base.CoreTransform method) (finmlkit.feature.base.MIMOTransform method) (finmlkit.feature.base.MinMaxOpTransform method) (finmlkit.feature.base.MISOTransform method) (finmlkit.feature.base.SIMOTransform method) (finmlkit.feature.base.SISOTransform method) (finmlkit.feature.base.UnaryOpTransform method) (finmlkit.feature.core.volume.VolumePro method) (finmlkit.feature.kit.Compose method) (finmlkit.feature.kit.Feature method) (finmlkit.feature.kit.FeatureKit method) (finmlkit.feature.transforms.ADX method) (finmlkit.feature.transforms.ApproximateEntropy method) (finmlkit.feature.transforms.ATR method) (finmlkit.feature.transforms.BarDuration method) (finmlkit.feature.transforms.BarDurationEWMA method) (finmlkit.feature.transforms.BarRate method) (finmlkit.feature.transforms.BiPowerVariation method) (finmlkit.feature.transforms.BollingerPercentB method) (finmlkit.feature.transforms.BurstRatio method) (finmlkit.feature.transforms.CandleShape method) (finmlkit.feature.transforms.CUSUMTest method) (finmlkit.feature.transforms.DailyGap method) (finmlkit.feature.transforms.DirRunLen method) (finmlkit.feature.transforms.EWMA method) (finmlkit.feature.transforms.EWMST method) (finmlkit.feature.transforms.ExternalFunction method) (finmlkit.feature.transforms.FlowAcceleration method) (finmlkit.feature.transforms.HurstExponent method) (finmlkit.feature.transforms.Identity method) (finmlkit.feature.transforms.KurtosisTransform method) (finmlkit.feature.transforms.Lag method) (finmlkit.feature.transforms.MeanReversionZScore method) (finmlkit.feature.transforms.ORBBreak method) (finmlkit.feature.transforms.ParkinsonRange method) (finmlkit.feature.transforms.PctChange method) (finmlkit.feature.transforms.PriceVolumeCorrelation method) (finmlkit.feature.transforms.RealizedVolatility method) (finmlkit.feature.transforms.Return method) (finmlkit.feature.transforms.ReturnT method) (finmlkit.feature.transforms.ROC method) (finmlkit.feature.transforms.RSIWilder method) (finmlkit.feature.transforms.SMA method) (finmlkit.feature.transforms.StochK method) (finmlkit.feature.transforms.TimeCues method) (finmlkit.feature.transforms.TrendSlope method) (finmlkit.feature.transforms.VarianceRatio14 method) (finmlkit.feature.transforms.VPIN method) (finmlkit.feature.transforms.VWAPDistance method) (finmlkit.feature.transforms.ZScore method) (finmlkit.feature.utils.ComputationGraph method) (finmlkit.label.kit.TBMLabel method) _abc_impl (finmlkit.bar.base.BarBuilderBase attribute) (finmlkit.bar.kit.CUSUMBarKit attribute) (finmlkit.bar.kit.DollarBarKit attribute) (finmlkit.bar.kit.TickBarKit attribute) (finmlkit.bar.kit.TimeBarKit attribute) (finmlkit.bar.kit.VolumeBarKit attribute) (finmlkit.feature.base.BaseTransform attribute) (finmlkit.feature.base.BinaryOpTransform attribute) (finmlkit.feature.base.ConstantOpTransform attribute) (finmlkit.feature.base.CoreTransform attribute) (finmlkit.feature.base.MIMOTransform attribute) (finmlkit.feature.base.MinMaxOpTransform attribute) (finmlkit.feature.base.MISOTransform attribute) (finmlkit.feature.base.SIMOTransform attribute) (finmlkit.feature.base.SISOTransform attribute) (finmlkit.feature.base.UnaryOpTransform attribute) (finmlkit.feature.kit.Compose attribute) (finmlkit.feature.transforms.ADX attribute) (finmlkit.feature.transforms.ApproximateEntropy attribute) (finmlkit.feature.transforms.ATR attribute) (finmlkit.feature.transforms.BarDuration attribute) (finmlkit.feature.transforms.BarDurationEWMA attribute) (finmlkit.feature.transforms.BarRate attribute) (finmlkit.feature.transforms.BiPowerVariation attribute) (finmlkit.feature.transforms.BollingerPercentB attribute) (finmlkit.feature.transforms.BurstRatio attribute) (finmlkit.feature.transforms.CandleShape attribute) (finmlkit.feature.transforms.CUSUMTest attribute) (finmlkit.feature.transforms.DailyGap attribute) (finmlkit.feature.transforms.DirRunLen attribute) (finmlkit.feature.transforms.EWMA attribute) (finmlkit.feature.transforms.EWMST attribute) (finmlkit.feature.transforms.ExternalFunction attribute) (finmlkit.feature.transforms.FlowAcceleration attribute) (finmlkit.feature.transforms.HurstExponent attribute) (finmlkit.feature.transforms.Identity attribute) (finmlkit.feature.transforms.KurtosisTransform attribute) (finmlkit.feature.transforms.Lag attribute) (finmlkit.feature.transforms.MeanReversionZScore attribute) (finmlkit.feature.transforms.ORBBreak attribute) (finmlkit.feature.transforms.ParkinsonRange attribute) (finmlkit.feature.transforms.PctChange attribute) (finmlkit.feature.transforms.PriceVolumeCorrelation attribute) (finmlkit.feature.transforms.RealizedVolatility attribute) (finmlkit.feature.transforms.Return attribute) (finmlkit.feature.transforms.ReturnT attribute) (finmlkit.feature.transforms.ROC attribute) (finmlkit.feature.transforms.RSIWilder attribute) (finmlkit.feature.transforms.SMA attribute) (finmlkit.feature.transforms.StochK attribute) (finmlkit.feature.transforms.TimeCues attribute) (finmlkit.feature.transforms.TrendSlope attribute) (finmlkit.feature.transforms.VarianceRatio14 attribute) (finmlkit.feature.transforms.VPIN attribute) (finmlkit.feature.transforms.VWAPDistance attribute) (finmlkit.feature.transforms.ZScore attribute) _add_trade_side_info() (finmlkit.bar.data_model.TradesData method) _apply_timestamp_resolution() (finmlkit.bar.data_model.TradesData method) _check_datetime_index() (finmlkit.feature.base.CoreTransform static method) _check_keys() (finmlkit.bar.io.AddTimeBarH5 method) _class_path() (in module finmlkit.feature.utils) _comp_bar_close() (finmlkit.bar.base.BarBuilderBase method) (finmlkit.bar.kit.CUSUMBarKit method) (finmlkit.bar.kit.DollarBarKit method) (finmlkit.bar.kit.TickBarKit method) (finmlkit.bar.kit.TimeBarKit method) (finmlkit.bar.kit.VolumeBarKit method)

_comp_max_s_nt() (in module finmlkit.feature.core.structural_break.cusum) _convert_timestamps_to_ns() (finmlkit.bar.data_model.TradesData method) _cusum_bar_indexer() (in module finmlkit.bar.logic) _datetime_index (finmlkit.bar.data_model.FootprintData attribute) _deserialize_value() (in module finmlkit.feature.utils) _dollar_bar_indexer() (in module finmlkit.bar.logic) _drop_trailing_events() (finmlkit.label.kit.TBMLabel method) _find_gaps() (in module finmlkit.bar.io) _find_relevant_keys() (finmlkit.bar.io.TimeBarReader method) _flatten_requires() (in module finmlkit.feature.utils) _get_timestamps() (finmlkit.feature.base.CoreTransform method) _hurst_aggregated_variance() (finmlkit.feature.transforms.HurstExponent static method) _imbalance_bar_indexer() (in module finmlkit.bar.logic) _import_class() (in module finmlkit.feature.utils) _infer_timestamp_unit() (finmlkit.bar.data_model.TradesData method) _is_notebook_environment() (in module finmlkit.bar.data_model) _keys_for_timerange() (finmlkit.bar.data_model.TradesData class method) _list_keys() (finmlkit.bar.io.AddTimeBarH5 method) _list_time_range() (finmlkit.bar.io.TimeBarReader method) _load_single_h5_group() (in module finmlkit.bar.data_model) _maybe_unary_from_name() (in module finmlkit.feature.utils) _merge_trades() (finmlkit.bar.data_model.TradesData method) _nb() (finmlkit.feature.base.CoreTransform method) (finmlkit.feature.transforms.ADX method) (finmlkit.feature.transforms.ApproximateEntropy method) (finmlkit.feature.transforms.ATR method) (finmlkit.feature.transforms.BarDuration method) (finmlkit.feature.transforms.BarDurationEWMA method) (finmlkit.feature.transforms.BarRate method) (finmlkit.feature.transforms.BiPowerVariation method) (finmlkit.feature.transforms.BollingerPercentB method) (finmlkit.feature.transforms.BurstRatio method) (finmlkit.feature.transforms.CandleShape method) (finmlkit.feature.transforms.CUSUMTest method) (finmlkit.feature.transforms.DailyGap method) (finmlkit.feature.transforms.DirRunLen method) (finmlkit.feature.transforms.EWMA method) (finmlkit.feature.transforms.EWMST method) (finmlkit.feature.transforms.FlowAcceleration method) (finmlkit.feature.transforms.HurstExponent method) (finmlkit.feature.transforms.KurtosisTransform method) (finmlkit.feature.transforms.Lag method) (finmlkit.feature.transforms.MeanReversionZScore method) (finmlkit.feature.transforms.ORBBreak method) (finmlkit.feature.transforms.ParkinsonRange method) (finmlkit.feature.transforms.PctChange method) (finmlkit.feature.transforms.PriceVolumeCorrelation method) (finmlkit.feature.transforms.RealizedVolatility method) (finmlkit.feature.transforms.Return method) (finmlkit.feature.transforms.ReturnT method) (finmlkit.feature.transforms.ROC method) (finmlkit.feature.transforms.RSIWilder method) (finmlkit.feature.transforms.SMA method) (finmlkit.feature.transforms.StochK method) (finmlkit.feature.transforms.TimeCues method) (finmlkit.feature.transforms.TrendSlope method) (finmlkit.feature.transforms.VarianceRatio14 method) (finmlkit.feature.transforms.VPIN method) (finmlkit.feature.transforms.VWAPDistance method) (finmlkit.feature.transforms.ZScore method) _output_name (finmlkit.feature.base.BaseTransform attribute) _pd() (finmlkit.feature.base.CoreTransform method) (finmlkit.feature.transforms.ADX method) (finmlkit.feature.transforms.ApproximateEntropy method) (finmlkit.feature.transforms.ATR method) (finmlkit.feature.transforms.BarDuration method) (finmlkit.feature.transforms.BarDurationEWMA method) (finmlkit.feature.transforms.BarRate method) (finmlkit.feature.transforms.BiPowerVariation method) (finmlkit.feature.transforms.BollingerPercentB method) (finmlkit.feature.transforms.BurstRatio method) (finmlkit.feature.transforms.CandleShape method) (finmlkit.feature.transforms.CUSUMTest method) (finmlkit.feature.transforms.DailyGap method) (finmlkit.feature.transforms.DirRunLen method) (finmlkit.feature.transforms.EWMA method) (finmlkit.feature.transforms.EWMST method) (finmlkit.feature.transforms.FlowAcceleration method) (finmlkit.feature.transforms.HurstExponent method) (finmlkit.feature.transforms.KurtosisTransform method) (finmlkit.feature.transforms.Lag method) (finmlkit.feature.transforms.MeanReversionZScore method) (finmlkit.feature.transforms.ORBBreak method) (finmlkit.feature.transforms.ParkinsonRange method) (finmlkit.feature.transforms.PctChange method) (finmlkit.feature.transforms.PriceVolumeCorrelation method) (finmlkit.feature.transforms.RealizedVolatility method) (finmlkit.feature.transforms.Return method) (finmlkit.feature.transforms.ReturnT method) (finmlkit.feature.transforms.ROC method) (finmlkit.feature.transforms.RSIWilder method) (finmlkit.feature.transforms.SMA method) (finmlkit.feature.transforms.StochK method) (finmlkit.feature.transforms.TimeCues method) (finmlkit.feature.transforms.TrendSlope method) (finmlkit.feature.transforms.VarianceRatio14 method) (finmlkit.feature.transforms.VPIN method) (finmlkit.feature.transforms.VWAPDistance method) (finmlkit.feature.transforms.ZScore method) _prepare_input_nb() (finmlkit.feature.base.CoreTransform method) (finmlkit.feature.base.MIMOTransform method) (finmlkit.feature.base.MISOTransform method) (finmlkit.feature.base.SIMOTransform method) (finmlkit.feature.base.SISOTransform method) _prepare_output_nb() (finmlkit.feature.base.CoreTransform method) (finmlkit.feature.base.MIMOTransform method) (finmlkit.feature.base.MISOTransform method) (finmlkit.feature.base.SIMOTransform method) (finmlkit.feature.base.SISOTransform method) _preprocess_features() (finmlkit.label.kit.TBMLabel static method) _resample() (finmlkit.bar.io.TimeBarReader method) _resolve_func() (finmlkit.feature.transforms.ExternalFunction method) _run_bar_indexer() (in module finmlkit.bar.logic) _run_pipeline() (finmlkit.feature.kit.Compose method) _serialize_value() (in module finmlkit.feature.utils) _set_bar_close() (finmlkit.bar.base.BarBuilderBase method) _sort_trades() (finmlkit.bar.data_model.TradesData method) _tick_bar_indexer() (in module finmlkit.bar.logic) _time_bar_indexer() (in module finmlkit.bar.logic) _validate_data() (finmlkit.bar.data_model.TradesData method) _validate_input() (finmlkit.feature.base.BaseTransform method) (finmlkit.feature.base.BinaryOpTransform method) (finmlkit.feature.base.ConstantOpTransform method) (finmlkit.feature.base.MIMOTransform method) (finmlkit.feature.base.MinMaxOpTransform method) (finmlkit.feature.base.MISOTransform method) (finmlkit.feature.base.SIMOTransform method) (finmlkit.feature.base.SISOTransform method) (finmlkit.feature.base.UnaryOpTransform method) (finmlkit.feature.kit.Compose method) (finmlkit.feature.transforms.ExternalFunction method) (finmlkit.feature.transforms.Identity method) _volume_bar_indexer() (in module finmlkit.bar.logic)

A

abs() (finmlkit.feature.kit.Feature method) add_edge() (finmlkit.feature.utils.ComputationGraph method) add_node() (finmlkit.feature.utils.ComputationGraph method) AddTimeBarH5 (class in finmlkit.bar.io) ADX (class in finmlkit.feature.transforms) adx_core() (in module finmlkit.feature.core.trend)

aggregate_footprint() (in module finmlkit.feature.core.volume) apply() (finmlkit.feature.kit.Feature method) ApproximateEntropy (class in finmlkit.feature.transforms) ATR (class in finmlkit.feature.transforms) atr() (in module finmlkit.feature.core.volatility) average_uniqueness() (in module finmlkit.label.weights)

B

bar_close_indices (finmlkit.bar.base.BarBuilderBase property) bar_close_timestamps (finmlkit.bar.base.BarBuilderBase property) bar_timestamps (finmlkit.bar.data_model.FootprintData attribute) BarBuilderBase (class in finmlkit.bar.base) BarDuration (class in finmlkit.feature.transforms) BarDurationEWMA (class in finmlkit.feature.transforms) BarRate (class in finmlkit.feature.transforms) BaseTransform (class in finmlkit.feature.base) BinaryOpTransform (class in finmlkit.feature.base) BiPowerVariation (class in finmlkit.feature.transforms) bollinger_percent_b() (in module finmlkit.feature.core.volatility) BollingerPercentB (class in finmlkit.feature.transforms)

bucket_price_levels() (in module finmlkit.feature.core.volume) build() (finmlkit.feature.kit.FeatureKit method) build_directional_features() (finmlkit.bar.base.BarBuilderBase method) build_feature_graph() (in module finmlkit.feature.utils) build_footprints() (finmlkit.bar.base.BarBuilderBase method) build_graph() (finmlkit.feature.kit.FeatureKit method) build_ohlcv() (finmlkit.bar.base.BarBuilderBase method) build_trade_size_features() (finmlkit.bar.base.BarBuilderBase method) BurstRatio (class in finmlkit.feature.transforms) buy_imbalances (finmlkit.bar.data_model.FootprintData attribute) buy_imbalances_sum (finmlkit.bar.data_model.FootprintData attribute) buy_ticks (finmlkit.bar.data_model.FootprintData attribute) buy_volumes (finmlkit.bar.data_model.FootprintData attribute)

C

calc_volume_percentage_above_poc() (in module finmlkit.feature.core.volume) CandleShape (class in finmlkit.feature.transforms) cast_to_numba_list() (finmlkit.bar.data_model.FootprintData method) cast_to_numpy() (finmlkit.bar.data_model.FootprintData method) check_timestamps_order() (in module finmlkit.bar.utils) class_balance_weights() (in module finmlkit.label.weights) clip() (finmlkit.feature.kit.Feature method) comp_bar_directional_features() (in module finmlkit.bar.base) comp_bar_footprints() (in module finmlkit.bar.base) comp_bar_ohlcv() (in module finmlkit.bar.base) comp_bar_trade_size_features() (in module finmlkit.bar.base) comp_burst_ratio() (in module finmlkit.feature.core.utils) comp_flow_acceleration() (in module finmlkit.feature.core.volume) comp_footprint_features() (in module finmlkit.bar.base) comp_lagged_returns() (in module finmlkit.feature.core.utils) comp_poc_hva_lva() (in module finmlkit.feature.core.volume) comp_price_tick_size() (in module finmlkit.bar.utils) comp_price_tick_size_old() (in module finmlkit.bar.utils) comp_trade_side() (in module finmlkit.bar.utils)

comp_trade_side_vector() (in module finmlkit.bar.utils) comp_zscore() (in module finmlkit.feature.core.utils) Compose (class in finmlkit.feature.kit) ComputationGraph (class in finmlkit.feature.utils) compute() (finmlkit.feature.core.volume.VolumePro method) compute_final_weights() (finmlkit.label.kit.SampleWeights static method) compute_info_weights() (finmlkit.label.kit.SampleWeights static method) compute_labels() (finmlkit.label.kit.TBMLabel method) compute_range() (finmlkit.feature.core.volume.VolumePro method) compute_weights() (finmlkit.label.kit.TBMLabel method) ConstantOpTransform (class in finmlkit.feature.base) CoreTransform (class in finmlkit.feature.base) cot_price_levels (finmlkit.bar.data_model.FootprintData attribute) cusum_filter() (in module finmlkit.sampling.filters) cusum_test_developing() (in module finmlkit.feature.core.structural_break.cusum) cusum_test_last() (in module finmlkit.feature.core.structural_break.cusum) cusum_test_rolling() (in module finmlkit.feature.core.structural_break.cusum) CUSUMBarKit (class in finmlkit.bar.kit) CUSUMTest (class in finmlkit.feature.transforms)

D

DailyGap (class in finmlkit.feature.transforms) data (finmlkit.bar.data_model.TradesData property)

DirRunLen (class in finmlkit.feature.transforms) DollarBarKit (class in finmlkit.bar.kit)

E

ema() (finmlkit.feature.kit.Feature method) end_date (finmlkit.bar.data_model.TradesData property) event_count (finmlkit.label.kit.TBMLabel property) event_range (finmlkit.label.kit.TBMLabel property) event_returns (finmlkit.label.kit.TBMLabel property) EWMA (class in finmlkit.feature.transforms)

ewma() (in module finmlkit.feature.core.ma) ewms() (in module finmlkit.feature.core.volatility) EWMST (class in finmlkit.feature.transforms) ewmst() (in module finmlkit.feature.core.volatility) ewmst_mean0() (in module finmlkit.feature.core.volatility) exp() (finmlkit.feature.kit.Feature method) ExternalFunction (class in finmlkit.feature.transforms)

F

fast_sort_trades() (in module finmlkit.bar.utils) Feature (class in finmlkit.feature.kit) FeatureKit (class in finmlkit.feature.kit) features (finmlkit.label.kit.TBMLabel property) finmlkit module finmlkit.bar module finmlkit.bar.base module finmlkit.bar.data_model module finmlkit.bar.io module finmlkit.bar.kit module finmlkit.bar.logic module finmlkit.bar.utils module finmlkit.feature module finmlkit.feature.base module finmlkit.feature.core module finmlkit.feature.core.correlation module finmlkit.feature.core.ma module finmlkit.feature.core.momentum module finmlkit.feature.core.reversion module finmlkit.feature.core.structural_break module finmlkit.feature.core.structural_break.cusum module finmlkit.feature.core.time module finmlkit.feature.core.trend module

finmlkit.feature.core.utils module finmlkit.feature.core.volatility module finmlkit.feature.core.volume module finmlkit.feature.kit module finmlkit.feature.transforms module finmlkit.feature.utils module finmlkit.label module finmlkit.label.kit module finmlkit.label.tbm module finmlkit.label.trend_scanning module finmlkit.label.utils module finmlkit.label.weights module finmlkit.sampling module finmlkit.sampling.filters module finmlkit.utils module finmlkit.utils.log module first_event_timestamp (finmlkit.label.kit.TBMLabel property) FlowAcceleration (class in finmlkit.feature.transforms) footprint_to_dataframe() (in module finmlkit.bar.utils) FootprintData (class in finmlkit.bar.data_model) from_config() (finmlkit.feature.kit.Feature static method) (finmlkit.feature.kit.FeatureKit class method) from_dict() (finmlkit.feature.kit.FeatureKit static method) from_numba() (finmlkit.bar.data_model.FootprintData class method) full_output (finmlkit.label.kit.TBMLabel property)

G

get_df() (finmlkit.bar.data_model.FootprintData method) get_integrity_info() (finmlkit.bar.io.H5Inspector method) get_integrity_summary() (finmlkit.bar.io.H5Inspector method)

get_logger() (in module finmlkit.utils.log) get_metadata() (finmlkit.bar.io.H5Inspector method) get_sigma() (finmlkit.bar.kit.CUSUMBarKit method) get_statistics() (finmlkit.bar.io.H5Inspector method)

H

H5Inspector (class in finmlkit.bar.io)

HurstExponent (class in finmlkit.feature.transforms)

I

Identity (class in finmlkit.feature.transforms) imb_max_run_signed (finmlkit.bar.data_model.FootprintData attribute)

inspect_gaps() (finmlkit.bar.io.H5Inspector method) is_valid() (finmlkit.bar.data_model.FootprintData method)

K

KurtosisTransform (class in finmlkit.feature.transforms)

L

labels (finmlkit.label.kit.TBMLabel property) Lag (class in finmlkit.feature.transforms) lag() (finmlkit.feature.kit.Feature method) last_event_timestamp (finmlkit.label.kit.TBMLabel property)

list_keys() (finmlkit.bar.io.H5Inspector method) (finmlkit.bar.io.TimeBarReader method) load_trades_h5() (finmlkit.bar.data_model.TradesData class method) log() (finmlkit.feature.kit.Feature method) log1p() (finmlkit.feature.kit.Feature method)

M

max() (finmlkit.feature.kit.Feature static method) MeanReversionZScore (class in finmlkit.feature.transforms) median3() (in module finmlkit.bar.utils) memory_usage() (finmlkit.bar.data_model.FootprintData method) merge_split_trades() (in module finmlkit.bar.utils) MIMOTransform (class in finmlkit.feature.base) min() (finmlkit.feature.kit.Feature static method) MinMaxOpTransform (class in finmlkit.feature.base) MISOTransform (class in finmlkit.feature.base) module finmlkit finmlkit.bar finmlkit.bar.base finmlkit.bar.data_model finmlkit.bar.io finmlkit.bar.kit finmlkit.bar.logic finmlkit.bar.utils finmlkit.feature finmlkit.feature.base finmlkit.feature.core finmlkit.feature.core.correlation finmlkit.feature.core.ma finmlkit.feature.core.momentum finmlkit.feature.core.reversion finmlkit.feature.core.structural_break finmlkit.feature.core.structural_break.cusum finmlkit.feature.core.time finmlkit.feature.core.trend finmlkit.feature.core.utils finmlkit.feature.core.volatility finmlkit.feature.core.volume finmlkit.feature.kit finmlkit.feature.transforms finmlkit.feature.utils finmlkit.label finmlkit.label.kit finmlkit.label.tbm finmlkit.label.trend_scanning finmlkit.label.utils finmlkit.label.weights finmlkit.sampling finmlkit.sampling.filters finmlkit.utils finmlkit.utils.log

N

name (finmlkit.feature.kit.Feature property)

numba_core() (finmlkit.feature.transforms.DirRunLen static method)

O

ORBBreak (class in finmlkit.feature.transforms) orig_timestamp_unit (finmlkit.bar.data_model.TradesData property) output_name (finmlkit.feature.base.BaseTransform property) (finmlkit.feature.base.BinaryOpTransform property) (finmlkit.feature.base.ConstantOpTransform property) (finmlkit.feature.base.MIMOTransform property) (finmlkit.feature.base.MinMaxOpTransform property) (finmlkit.feature.base.MISOTransform property) (finmlkit.feature.base.SIMOTransform property) (finmlkit.feature.base.SISOTransform property) (finmlkit.feature.base.UnaryOpTransform property) (finmlkit.feature.kit.Compose property) (finmlkit.feature.transforms.CandleShape property) (finmlkit.feature.transforms.CUSUMTest property) (finmlkit.feature.transforms.ExternalFunction property) (finmlkit.feature.transforms.Identity property) (finmlkit.feature.transforms.ORBBreak property) (finmlkit.feature.transforms.TimeCues property)

P

parkinson_range() (in module finmlkit.feature.core.volatility) ParkinsonRange (class in finmlkit.feature.transforms) pct_change() (in module finmlkit.feature.core.utils) PctChange (class in finmlkit.feature.transforms) price_levels (finmlkit.bar.data_model.FootprintData attribute)

price_tick (finmlkit.bar.data_model.FootprintData attribute) PriceVolumeCorrelation (class in finmlkit.feature.transforms) process_all() (finmlkit.bar.io.AddTimeBarH5 method) process_key() (finmlkit.bar.io.AddTimeBarH5 method) produces (finmlkit.feature.base.BaseTransform attribute)

R

read() (finmlkit.bar.io.TimeBarReader method) realized_vol() (in module finmlkit.feature.core.volatility) RealizedVolatility (class in finmlkit.feature.transforms) requires (finmlkit.feature.base.BaseTransform attribute) reset_parameters() (finmlkit.feature.core.volume.VolumePro method) Return (class in finmlkit.feature.transforms) return_attribution() (in module finmlkit.label.weights) ReturnT (class in finmlkit.feature.transforms)

ROC (class in finmlkit.feature.transforms) roc() (in module finmlkit.feature.core.momentum) rolling_mean() (finmlkit.feature.kit.Feature method) rolling_price_volume_correlation() (in module finmlkit.feature.core.correlation) rolling_std() (finmlkit.feature.kit.Feature method) rolling_sum() (finmlkit.feature.kit.Feature method) rolling_variance_nb() (in module finmlkit.feature.core.volatility) rsi_wilder() (in module finmlkit.feature.core.momentum) RSIWilder (class in finmlkit.feature.transforms)

S

SampleWeights (class in finmlkit.label.kit) save_config() (finmlkit.feature.kit.FeatureKit method) save_h5() (finmlkit.bar.data_model.TradesData method) sell_imbalances (finmlkit.bar.data_model.FootprintData attribute) sell_imbalances_sum (finmlkit.bar.data_model.FootprintData attribute) sell_ticks (finmlkit.bar.data_model.FootprintData attribute) sell_volumes (finmlkit.bar.data_model.FootprintData attribute) set_view_range() (finmlkit.bar.data_model.TradesData method) setup_logging() (in module finmlkit.utils.log)

SIMOTransform (class in finmlkit.feature.base) SISOTransform (class in finmlkit.feature.base) SMA (class in finmlkit.feature.transforms) sma() (in module finmlkit.feature.core.ma) sqrt() (finmlkit.feature.kit.Feature method) square() (finmlkit.feature.kit.Feature method) start_date (finmlkit.bar.data_model.TradesData property) stoch_k() (in module finmlkit.feature.core.momentum) StochK (class in finmlkit.feature.transforms)

T

target_returns (finmlkit.label.kit.TBMLabel property) TBMLabel (class in finmlkit.label.kit) TickBarKit (class in finmlkit.bar.kit) time_cues() (in module finmlkit.feature.core.time) time_decay() (in module finmlkit.label.weights) TimeBarKit (class in finmlkit.bar.kit) TimeBarReader (class in finmlkit.bar.io) TimeCues (class in finmlkit.feature.transforms) to_config() (finmlkit.feature.kit.Feature method) (finmlkit.feature.kit.FeatureKit method)

topological_order() (finmlkit.feature.kit.FeatureKit method) topological_sort() (finmlkit.feature.utils.ComputationGraph method) TradesData (class in finmlkit.bar.data_model) transform_from_config() (in module finmlkit.feature.utils) transform_to_config() (in module finmlkit.feature.utils) TrendSlope (class in finmlkit.feature.transforms) trim_trailing_zeros() (in module finmlkit.feature.core.volume) triple_barrier() (in module finmlkit.label.tbm) true_range() (in module finmlkit.feature.core.volatility)

U

UnaryOpTransform (class in finmlkit.feature.base)

V

variance_ratio_1_4_core() (in module finmlkit.feature.core.volatility) VarianceRatio14 (class in finmlkit.feature.transforms) visualize() (finmlkit.feature.utils.ComputationGraph method) volume_profile_developing() (in module finmlkit.feature.core.volume) volume_profile_rolling() (in module finmlkit.feature.core.volume) VolumeBarKit (class in finmlkit.bar.kit)

VolumePro (class in finmlkit.feature.core.volume) vp_gini (finmlkit.bar.data_model.FootprintData attribute) vp_skew (finmlkit.bar.data_model.FootprintData attribute) VPIN (class in finmlkit.feature.transforms) vpin() (in module finmlkit.feature.core.volume) vwap_distance() (in module finmlkit.feature.core.reversion) VWAPDistance (class in finmlkit.feature.transforms)

Z

z_score_peak_filter() (in module finmlkit.sampling.filters)

ZScore (class in finmlkit.feature.transforms)