Index

A

abs() (finmlkit.feature.kit.Feature 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_timestamps (finmlkit.bar.data_model.FootprintData attribute) 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) 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_burst_ratio() (in module finmlkit.feature.core.utils) comp_flow_acceleration() (in module finmlkit.feature.core.volume) 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) 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) 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)

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)

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.data_model module finmlkit.bar.io 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.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_dict() (finmlkit.bar.data_model.FootprintData class 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_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)

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.data_model finmlkit.bar.io 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.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.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_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) time_cues() (in module finmlkit.feature.core.time) time_decay() (in module finmlkit.label.weights) TimeBarReader (class in finmlkit.bar.io)

TimeCues (class in finmlkit.feature.transforms) TradesData (class in finmlkit.bar.data_model) 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) volume_profile_developing() (in module finmlkit.feature.core.volume) volume_profile_rolling() (in module finmlkit.feature.core.volume) 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)