finmlkit.bar.kit module

class finmlkit.bar.kit.CUSUMBarKit(trades: TradesData, sigma: ndarray[tuple[int, ...], dtype[float64]], sigma_floor: float = 0.0005, sigma_mult: float = 2.0)

Bases: BarBuilderBase

get_sigma() → ndarray[tuple[int, ...], dtype[float64]]

The sigma threshold used for the CUSUM at close indices. :return: sigma vector

class finmlkit.bar.kit.DollarBarKit(trades: TradesData, dollar_thrs: float)

Bases: BarBuilderBase

Dollar bar builder class.

class finmlkit.bar.kit.TickBarKit(trades: TradesData, tick_count_thrs: int)

Bases: BarBuilderBase

Tick bar builder class.

class finmlkit.bar.kit.TimeBarKit(trades: TradesData, period: Timedelta)

Bases: BarBuilderBase

Time bar builder class.

class finmlkit.bar.kit.VolumeBarKit(trades: TradesData, volume_ths: float)

Bases: BarBuilderBase

Volume bar builder class.