├── .gitignore ├── .vscode └── settings.json ├── LICENSE ├── Makefile ├── README.md ├── docs ├── commands.rst ├── conf.py ├── getting-started.rst └── index.rst ├── notebooks ├── README.md ├── __init__.py ├── data │ ├── ES_Trades.zip │ ├── dollar_bars.csv │ ├── eur_usd.csv │ ├── sample_dollar_bars.csv │ ├── tick_bars.csv │ └── volume_bars.csv └── labeling │ ├── README.md │ └── meta_labeling.ipynb ├── open_quant ├── __init__.py ├── data │ ├── .gitkeep │ ├── __init__.py │ ├── interim │ │ └── .gitkeep │ ├── make_dataset.py │ ├── processed │ │ └── .gitkeep │ └── raw │ │ ├── .gitkeep │ │ └── raw_data.csv ├── filters │ ├── __init__.py │ └── filter.py ├── financial data structures │ ├── __init__.py │ └── standard_bars.py ├── labeling │ ├── __init__.py │ ├── labeling.py │ └── multi_processing.py ├── portfolio optimization │ ├── __init__.py │ ├── returns_estimation.py │ └── risk_kit.py ├── sampling │ ├── __init__.py │ ├── bootstrapping.py │ ├── generator.py │ ├── sample_weights.py │ └── sampling.py ├── strategies │ ├── bb_simple.py │ └── rsi_simple.py ├── tests │ ├── __init__.py │ ├── context.py │ └── standard_bars_test.py └── utils │ ├── __init__.py │ └── utils.py ├── requirements.txt ├── setup.py ├── test_environment.py └── tox.ini /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/.gitignore -------------------------------------------------------------------------------- /.vscode/settings.json: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/.vscode/settings.json -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/LICENSE -------------------------------------------------------------------------------- /Makefile: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/Makefile -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/README.md -------------------------------------------------------------------------------- /docs/commands.rst: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/docs/commands.rst -------------------------------------------------------------------------------- /docs/conf.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/docs/conf.py -------------------------------------------------------------------------------- /docs/getting-started.rst: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/docs/getting-started.rst -------------------------------------------------------------------------------- /docs/index.rst: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/docs/index.rst -------------------------------------------------------------------------------- /notebooks/README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/notebooks/README.md -------------------------------------------------------------------------------- /notebooks/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /notebooks/data/ES_Trades.zip: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/notebooks/data/ES_Trades.zip -------------------------------------------------------------------------------- /notebooks/data/dollar_bars.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/notebooks/data/dollar_bars.csv -------------------------------------------------------------------------------- /notebooks/data/eur_usd.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/notebooks/data/eur_usd.csv -------------------------------------------------------------------------------- /notebooks/data/sample_dollar_bars.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/notebooks/data/sample_dollar_bars.csv -------------------------------------------------------------------------------- /notebooks/data/tick_bars.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/notebooks/data/tick_bars.csv -------------------------------------------------------------------------------- /notebooks/data/volume_bars.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/notebooks/data/volume_bars.csv -------------------------------------------------------------------------------- /notebooks/labeling/README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/notebooks/labeling/README.md -------------------------------------------------------------------------------- /notebooks/labeling/meta_labeling.ipynb: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/notebooks/labeling/meta_labeling.ipynb -------------------------------------------------------------------------------- /open_quant/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/__init__.py -------------------------------------------------------------------------------- /open_quant/data/.gitkeep: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /open_quant/data/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /open_quant/data/interim/.gitkeep: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /open_quant/data/make_dataset.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/data/make_dataset.py -------------------------------------------------------------------------------- /open_quant/data/processed/.gitkeep: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /open_quant/data/raw/.gitkeep: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /open_quant/data/raw/raw_data.csv: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/data/raw/raw_data.csv -------------------------------------------------------------------------------- /open_quant/filters/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /open_quant/filters/filter.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/filters/filter.py -------------------------------------------------------------------------------- /open_quant/financial data structures/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/financial data structures/__init__.py -------------------------------------------------------------------------------- /open_quant/financial data structures/standard_bars.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/financial data structures/standard_bars.py -------------------------------------------------------------------------------- /open_quant/labeling/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/labeling/__init__.py -------------------------------------------------------------------------------- /open_quant/labeling/labeling.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/labeling/labeling.py -------------------------------------------------------------------------------- /open_quant/labeling/multi_processing.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/labeling/multi_processing.py -------------------------------------------------------------------------------- /open_quant/portfolio optimization/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /open_quant/portfolio optimization/returns_estimation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/portfolio optimization/returns_estimation.py -------------------------------------------------------------------------------- /open_quant/portfolio optimization/risk_kit.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/portfolio optimization/risk_kit.py -------------------------------------------------------------------------------- /open_quant/sampling/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /open_quant/sampling/bootstrapping.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/sampling/bootstrapping.py -------------------------------------------------------------------------------- /open_quant/sampling/generator.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/sampling/generator.py -------------------------------------------------------------------------------- /open_quant/sampling/sample_weights.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/sampling/sample_weights.py -------------------------------------------------------------------------------- /open_quant/sampling/sampling.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/sampling/sampling.py -------------------------------------------------------------------------------- /open_quant/strategies/bb_simple.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/strategies/bb_simple.py -------------------------------------------------------------------------------- /open_quant/strategies/rsi_simple.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/strategies/rsi_simple.py -------------------------------------------------------------------------------- /open_quant/tests/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/tests/__init__.py -------------------------------------------------------------------------------- /open_quant/tests/context.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /open_quant/tests/standard_bars_test.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/tests/standard_bars_test.py -------------------------------------------------------------------------------- /open_quant/utils/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /open_quant/utils/utils.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/open_quant/utils/utils.py -------------------------------------------------------------------------------- /requirements.txt: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/requirements.txt -------------------------------------------------------------------------------- /setup.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/setup.py -------------------------------------------------------------------------------- /test_environment.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/test_environment.py -------------------------------------------------------------------------------- /tox.ini: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/Open-Quant/openquant/HEAD/tox.ini --------------------------------------------------------------------------------