├── .dockerignore ├── .gitattributes ├── .github ├── FUNDING.yml └── workflows │ ├── main.yml │ └── pypi.yml ├── .gitignore ├── CHANGELOG.md ├── Dockerfile ├── INSTALL.md ├── LICENCE ├── MANIFEST.in ├── Makefile ├── PLANNED_FEATURES.md ├── README.md ├── batch_scripts ├── linux │ ├── cache_market_data.sh │ ├── create_ssl_certificate.sh │ ├── installation │ │ ├── activate_python_environment.sh │ │ ├── add_ip_to_firewall.sh │ │ ├── amazon_linux │ │ │ └── install_amazon_linux_extras.sh │ │ ├── create_tcapy_working_folders.sh │ │ ├── environment_linux_py37tca.yml │ │ ├── export_conda_environment.sh │ │ ├── get-docker.sh │ │ ├── get_directory_above.sh │ │ ├── google-chrome.repo │ │ ├── increase_file_limits.sh │ │ ├── influxdb.repo │ │ ├── install_all_tcapy.sh │ │ ├── install_anaconda.sh │ │ ├── install_chrome.sh │ │ ├── install_clickhouse.sh │ │ ├── install_conda_from_env_yaml.sh │ │ ├── install_dash_only.sh │ │ ├── install_influxdb.sh │ │ ├── install_jupyter_extensions.sh │ │ ├── install_memcached.sh │ │ ├── install_mongo.sh │ │ ├── install_mysql.sh │ │ ├── install_nginx.sh │ │ ├── install_pdf.sh │ │ ├── install_pip_python_packages.sh │ │ ├── install_pycharm.sh │ │ ├── install_python_tools_apache.sh │ │ ├── install_rabbitmq.sh │ │ ├── install_redis.sh │ │ ├── install_sql_driver.sh │ │ ├── install_tcapy_on_apache.sh │ │ ├── install_tcapy_on_apache_gunicorn.sh │ │ ├── install_tcapy_on_nginx_gunicorn.sh │ │ ├── install_virtual_env.sh │ │ ├── install_weasyprint.sh │ │ ├── limits.conf │ │ ├── mongodb-org-3.6.repo │ │ ├── mongodb-org-4.2.repo │ │ ├── mysql80.repo │ │ ├── nginx.repo │ │ ├── patch_celery_python_37.sh │ │ └── set_tcapy_env_vars.sh │ ├── kill_tcapy.sh │ ├── orca.sh │ ├── read_celery_log.sh │ ├── read_logs_gnome_terminal.sh │ ├── read_mongo_log.sh │ ├── render_jupyter_notebooks.sh │ ├── reset_docker_containers.sh │ ├── restart_celery.sh │ ├── restart_db.sh │ ├── restart_influxdb.sh │ ├── restart_tcapy.sh │ ├── run_python_script.sh │ ├── start_jupyter.sh │ ├── start_pproxy.sh │ └── update_chartpy_dev.sh └── windows │ ├── installation │ ├── activate_python_environment.bat │ ├── environment_windows_py37tca.yml │ ├── export_conda_environment.bat │ ├── install_conda_from_env_yaml.bat │ ├── install_jupyter_extensions.bat │ ├── install_pip_python_packages.bat │ ├── install_virtual_env.bat │ └── set_tcapy_env_vars.bat │ ├── restart_wsl.bat │ ├── start_excel.bat │ └── start_jupyter.bat ├── binder └── Dockerfile ├── cuemacro_logo.png ├── docker-compose.test.yml ├── docker-compose.yml ├── img ├── anomalous_trades.PNG ├── compare_slippage.PNG ├── create_html_pdf.PNG ├── distribution.PNG ├── executions.PNG ├── gui.PNG ├── markout.PNG ├── slippage_by_ticker.PNG ├── std_create_html_pdf.png ├── std_distribution.png ├── std_executions.png ├── std_gui.png ├── std_slippage_by_ticker.png ├── std_tca_request.png ├── std_timeline_slippage.png ├── tca_request.PNG ├── tcapy_montage.png └── timeline_slippage.PNG ├── requirements.txt ├── setup.py ├── source └── .gitkeep ├── tcapy ├── __init__.py ├── analysis │ ├── __init__.py │ ├── algos │ │ ├── __init__.py │ │ ├── benchmark.py │ │ ├── metric.py │ │ ├── resultsform.py │ │ └── resultssummary.py │ ├── dataframeholder.py │ ├── tcaengine.py │ ├── tcamarkettradeloader.py │ ├── tcamarkettradeloaderimpl.py │ ├── tcarequest.py │ ├── tcatickerloader.py │ ├── tcatickerloaderimpl.py │ └── tradeorderfilter.py ├── api │ ├── __init__.py │ └── app_api.py ├── client │ └── __init__.py ├── conf │ ├── __init__.py │ ├── celery_calls.py │ ├── celeryconfig.py │ ├── common-session │ ├── common-session-noninteractive │ ├── constants.py │ ├── influxdb.conf │ ├── limits.conf │ ├── logging.conf │ ├── mongo.conf │ ├── my.cnf │ ├── redis.conf │ ├── tcapy.wsgi │ ├── tcapy_apache.conf │ ├── tcapy_apache_gunicorn.conf │ ├── tcapy_apache_gunicorn_80.conf │ ├── tcapy_nginx_gunicorn.conf │ ├── tcapy_nginx_gunicorn_docker.conf │ ├── tcapy_wsgi.py │ ├── tcapyapi.wsgi │ ├── tcapyapi_wsgi.py │ ├── tcapyboard.wsgi │ └── tcapyboard_wsgi.py ├── data │ ├── __init__.py │ ├── accesscontrol.py │ ├── databasepopulator.py │ ├── databasesource.py │ ├── datadumper.py │ ├── datafactory.py │ ├── datatestcreator.py │ └── volatilecache.py ├── excel │ ├── __init__.py │ ├── tcapy_xl.py │ └── tcapy_xl.xlsm ├── util │ ├── __init__.py │ ├── colors.py │ ├── customexceptions.py │ ├── deltaizeserialize.py │ ├── fxconv.py │ ├── loggermanager.py │ ├── mediator.py │ ├── singleton.py │ ├── ssl_no_verify.py │ ├── swim.py │ ├── timeseries.py │ └── utilfunc.py └── vis │ ├── __init__.py │ ├── app.py │ ├── app_board.py │ ├── app_imports.py │ ├── assets │ ├── android-chrome-192x192.png │ ├── android-chrome-256x256.png │ ├── android-chrome-512x512.png │ ├── apple-touch-icon.png │ ├── browserconfig.xml │ ├── favicon-16x16.png │ ├── favicon-32x32.png │ ├── favicon.ico │ ├── head.htm │ ├── logo.png │ ├── logo_crop.png │ ├── mstile-150x150.png │ ├── safari-pinned-tab.svg │ ├── site.webmanifest │ └── tabs.css │ ├── candlestick.py │ ├── computationcaller.py │ ├── computationresults.py │ ├── displaylisteners.py │ ├── favicon.ico │ ├── layoutdash.py │ ├── logo.png │ ├── logo_cropped.png │ ├── report │ ├── __init__.py │ ├── computationreport.py │ ├── tcareport.py │ └── templates │ │ ├── clean_report.css │ │ ├── clean_report.css.map │ │ ├── clean_report.html │ │ ├── clean_report.sass │ │ ├── cuemacro_logo.png │ │ └── img │ │ ├── OpenSans-Bold.ttf │ │ ├── OpenSans-BoldItalic.ttf │ │ ├── OpenSans-ExtraBold.ttf │ │ ├── OpenSans-ExtraBoldItalic.ttf │ │ ├── OpenSans-Italic.ttf │ │ ├── OpenSans-Light.ttf │ │ ├── OpenSans-LightItalic.ttf │ │ ├── OpenSans-Regular.ttf │ │ ├── OpenSans-Semibold.ttf │ │ └── OpenSans-SemiboldItalic.ttf │ ├── tcacaller.py │ ├── tcapy.css │ └── tcaresults.py ├── tcapy_examples ├── __init__.py └── gen │ ├── __init__.py │ ├── benchmark_market_calculation_examples.py │ ├── benchmark_trade_calculation_examples.py │ ├── data_loading_examples.py │ ├── date_calculation_examples.py │ ├── filtering_examples.py │ ├── metric_calculation_examples.py │ ├── mongo_aws_examples.py │ ├── non_db_tca_example.py │ ├── parse_trade_csv_tca.py │ ├── simple_tca_example.py │ ├── test_tca_report.pdf │ └── time_series_ops_examples.py ├── tcapy_notebooks ├── a_10_minute_view_of_tcapy.ipynb ├── additional_benchmarks_metrics_for_tcapy.ipynb ├── compliance_tca_calculations.ipynb ├── cuemacro_logo.png ├── excel_xlwings_with_tcapy.ipynb ├── introducing_tcapy.ipynb ├── jupyter_notebooks_description.md ├── market_microstructure_with_tcapy.ipynb ├── populating_databases_for_tcapy.ipynb └── real_life_tcapy_case_study.ipynb ├── tcapy_scripts └── gen │ ├── __init__.py │ ├── cache_data_vendor_data.py │ ├── convert_csv_to_hdf5_parquet.py │ ├── convert_hdf5_to_csv.py │ ├── convert_hdf5_to_parquet.py │ ├── copy_parquet_to_arrow.py │ ├── create_small_market_trade_dataset.py │ ├── create_small_market_trade_dataset_eikon.py │ ├── data_create_market_trade_test_population.py │ ├── download_data_vendor_data.py │ ├── dump_data_vendor_large_chunk_to_parquet_csv_hdf5.py │ ├── dump_data_vendor_to_parquet_csv_hdf5.py │ ├── dump_market_data_from_database_to_parquet.py │ ├── dump_trade_data_from_database_to_csv.py │ ├── edit_folder_hdf5_parquet.py │ ├── plot_market_data_from_database.py │ ├── plot_parquet_file.py │ ├── query_available_trades.py │ ├── rename_file_names.py │ ├── resample_market_parquet_on_disk_to_parquet.py │ ├── upload_market_parquet_csv_hdf5.py │ ├── upload_trade_data_csv.py │ └── volatile_cache_market_trade_data.py ├── tcapygen ├── __init__.py ├── constantsgen.py ├── layoutboardgen.py ├── layoutgen.py ├── logo.png ├── tcacallerboardgen.py └── tcacallergen.py ├── tcapyuser ├── CREATE_USER_DEFINED_TCAPY.txt └── __init__.py └── test ├── __init__.py ├── config.py ├── conftest.py ├── resources ├── mini_test_trade_df.csv ├── small_test_market_df.parquet ├── small_test_market_df_reverse.parquet ├── small_test_order_df.csv └── small_test_trade_df.csv ├── run_tests.sh └── test_tcapy ├── 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