├── .chat ├── .deletedTopics ├── config.json ├── functions.json └── workflows │ ├── auto_command │ └── action │ │ ├── finish │ │ └── _setting_.json │ │ ├── new_document │ │ └── _setting_.json │ │ ├── run_shell │ │ └── _setting_.json │ │ ├── run_shell_file │ │ └── _setting_.json │ │ └── update_file │ │ ├── _setting_.json │ │ └── handler.py │ ├── default │ ├── command │ │ ├── code │ │ │ ├── _setting_.json │ │ │ ├── instruct.txt │ │ │ └── python.txt │ │ ├── code_actions │ │ │ ├── _setting_.json │ │ │ └── instruct.txt │ │ ├── commit_message │ │ │ ├── _setting_.json │ │ │ └── instruct.txt │ │ └── release_note │ │ │ ├── _setting_.json │ │ │ └── instruct.txt │ └── context │ │ └── git_log_for_releasenote │ │ └── _setting_.json │ ├── extension │ └── command │ │ └── extension │ │ ├── _setting_.json │ │ └── instruct.txt │ ├── extension_demo │ └── action │ │ ├── get_project_tree │ │ └── _setting_.json │ │ └── load_file │ │ └── _setting_.json │ └── tree │ └── context │ └── tree │ └── _setting_.json ├── .gitignore ├── .ipynb_checkpoints ├── test-checkpoint.ipynb └── test_model-checkpoint.ipynb ├── .vscode └── extensions.json ├── README.md ├── avellaneda_stoikov ├── Cargo.lock ├── Cargo.toml ├── MANIFEST.in ├── pyproject.toml ├── python │ └── avellaneda_stoikov │ │ ├── __init__.py │ │ └── tests │ │ ├── __init__.py │ │ ├── as_synthetic_quote_eval.py │ │ └── smoke_test_as_calibrator.py ├── setup.py ├── src │ ├── .github │ │ └── workflows │ │ │ └── CI.yml │ ├── .gitignore │ ├── avellaneda_stoikov.rs │ ├── eie │ │ ├── calibration │ │ │ ├── aksolver_factory.rs │ │ │ ├── empirical_intensity_estimator.rs │ │ │ ├── mod.rs │ │ │ ├── multicurve_aksolver.rs │ │ │ ├── regression_aksolver.rs │ │ │ └── spread_intensity_curve.rs │ │ ├── estimator_executor.rs │ │ ├── intensity_estimator.rs │ │ ├── intensity_info.rs │ │ ├── mod.rs │ │ ├── pic │ │ │ └── sic.png │ │ └── readme.md │ └── lib.rs └── strategy │ └── simple_as │ ├── as_estimate_quote_strategy.py │ ├── numba_utils.py │ └── quote_utils.py ├── catalog └── data │ ├── crypto_future │ ├── BTCUSDT_230929.BINANCE │ │ └── part-0.parquet │ ├── BTCUSDT_231229.BINANCE │ │ └── part-0.parquet │ ├── ETHUSDT_230929.BINANCE │ │ └── part-0.parquet │ └── ETHUSDT_231229.BINANCE │ │ └── part-0.parquet │ └── crypto_perpetual │ ├── 1000FLOKIUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── 1000LUNCBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── 1000LUNCUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── 1000PEPEUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── 1000SHIBBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── 1000SHIBUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── 1000XECUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── 1INCHUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── AAVEUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ACHUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ADABUSD-PERP.BINANCE │ └── part-0.parquet │ ├── ADAUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── AGIXBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── AGIXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── AGLDUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ALGOUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ALICEUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ALPHAUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── AMBBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── AMBUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ANCBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── ANKRUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ANTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── APEBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── APEUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── API3USDT-PERP.BINANCE │ └── part-0.parquet │ ├── APTBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── APTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ARBUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ARKMUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ARKUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ARPAUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ARUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ASTRUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ATAUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ATOMUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── AUCTIONBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── AUDIOUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── AVAXBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── AVAXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── AXSUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── BAKEUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── BALUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── BANDUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── BATUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── BCHUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── BELUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── BLUEBIRDUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── BLURUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── BLZUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── BNBBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── BNBUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── BNTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── BNXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── BTCBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── BTCDOMUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── BTCUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── BTSUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── C98USDT-PERP.BINANCE │ └── part-0.parquet │ ├── CELOUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── CELRUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── CFXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── CHRUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── CHZUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── CKBUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── COCOSUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── COMBOUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── COMPUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── COTIUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── CRVUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── CTKUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── CTSIUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── CVCUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── CVXBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── CVXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── CYBERUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── DARUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── DASHUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── DEFIUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── DENTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── DGBUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── DODOBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── DODOXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── DOGEBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── DOGEUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── DOTBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── DOTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── DUSKUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── DYDXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── EDUUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── EGLDUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ENJUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ENSUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── EOSUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ETCBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── ETCUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ETHBTC-PERP.BINANCE │ └── part-0.parquet │ ├── ETHBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── ETHUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── FETUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── FILBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── FILUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── FLMUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── FLOWUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── FOOTBALLUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── FRONTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── FTMBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── FTMUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── FTTBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── FTTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── FXSUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── GALABUSD-PERP.BINANCE │ └── part-0.parquet │ ├── GALAUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── GALBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── GALUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── GMTBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── GMTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── GMXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── GRTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── GTCUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── HBARUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── HFTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── HIFIUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── HIGHUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── HNTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── HOOKUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── HOTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ICPUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ICXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── IDEXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── IDUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── IMXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── INJUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── IOSTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── IOTAUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── IOTXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── JASMYUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── JOEUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── KAVAUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── KEYUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── KLAYUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── KNCUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── KSMUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── LDOBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── LDOUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── LEVERBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── LEVERUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── LINAUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── LINKBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── LINKUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── LITUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── LPTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── LQTYUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── LRCUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── LTCBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── LTCUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── LUNA2USDT-PERP.BINANCE │ └── part-0.parquet │ ├── MAGICUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── MANAUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── MASKUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── MATICBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── MATICUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── MAVUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── MDTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── MINAUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── MKRUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── MTLUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── NEARBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── NEARUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── NEOUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── NKNUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── NMRUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── OCEANUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── OGNUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── OMGUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ONEUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ONTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── OPUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── OXTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── PENDLEUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── PEOPLEUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── PERPUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── PHBBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── PHBUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── QNTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── QTUMUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── RADUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── RAYUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── RDNTUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── REEFUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── RENUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── RLCUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── RNDRUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ROSEUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── RSRUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── RUNEUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── RVNUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── SANDBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── SANDUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── SCUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── SEIUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── SFPUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── SKLUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── SNXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── SOLBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── SOLUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── SPELLUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── SRMUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── SSVUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── STGUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── STMXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── STORJUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── STXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── SUIUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── SUSHIUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── SXPUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── THETAUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── TLMBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── TLMUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── TOMOUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── TRBUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── TRUUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── TRXBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── TRXUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── TUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── UMAUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── UNFIUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── UNIBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── UNIUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── USDCUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── VETUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── WAVESBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── WAVESUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── WLDUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── WOOUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── XEMUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── XLMUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── XMRUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── XRPBUSD-PERP.BINANCE │ └── part-0.parquet │ ├── XRPUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── XTZUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── XVGUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── XVSUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── YFIUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── YGGUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ZECUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ZENUSDT-PERP.BINANCE │ └── part-0.parquet │ ├── ZILUSDT-PERP.BINANCE │ └── part-0.parquet │ └── ZRXUSDT-PERP.BINANCE │ └── part-0.parquet ├── compare ├── nautilus │ ├── backtest.py │ ├── catalog │ │ ├── compressed │ │ │ ├── AVAX-BUSD.parquet │ │ │ ├── ETH-BUSD.parquet │ │ │ └── ETH-USDT.parquet │ │ ├── data │ │ │ ├── bar.parquet │ │ │ │ ├── _common_metadata │ │ │ │ └── instrument_id=ETHUSDT.BINANCE │ │ │ │ │ └── 1654012800000000000-1656829980000000000-BINANCE-1-MINUTE-LAST-EXTERNAL-0.parquet │ │ │ └── currency_pair.parquet │ │ │ │ ├── 0-0-0.parquet │ │ │ │ └── _common_metadata │ │ └── get_binance.py │ ├── double_ma_strategy.py │ ├── double_ma_strategyV2.py │ ├── nautilus_trader.png │ ├── plot.py │ ├── preprocess_eth.py │ └── test.log └── vnpy │ ├── backtest.py │ ├── double_ma_strategy.py │ ├── vnpy_result.jpeg │ └── vnpy_results.png ├── example_data ├── .ipynb_checkpoints │ ├── Untitled-checkpoint.ipynb │ ├── analysis-checkpoint.ipynb │ ├── factor_analysis-checkpoint.py │ └── test-checkpoint.ipynb ├── Untitled.ipynb ├── __init__.py ├── __pycache__ │ ├── factor_analysis.cpython-310.pyc │ ├── graph.cpython-310.pyc │ └── utils.cpython-310.pyc ├── analysis.ipynb ├── binance_kline_download.py ├── coin_tags.csv ├── filtered_symbols.txt ├── tools │ ├── __pycache__ │ │ ├── enums.cpython-310.pyc │ │ └── utility.cpython-310.pyc │ ├── bar_data_form.sh │ ├── concat_df.py │ ├── download_kline.py │ ├── download_metrics.py │ ├── enums.py │ ├── filter_coin.py │ ├── filtered_symbols.txt │ ├── utility.py │ └── � └── � ├── finml_extension ├── Cargo.toml ├── LICENSE.txt ├── pyproject.toml ├── python │ └── finml_extension │ │ ├── __init__.py │ │ └── hop.py ├── requirements.txt ├── rust-toolchain.toml └── src │ ├── hop │ ├── mod.rs │ └── rolling_ops.rs │ └── lib.rs ├── finml_lib ├── README.md ├── __init__.py ├── alpha_research │ ├── __init__.py │ ├── __pycache__ │ │ └── __init__.cpython-310.pyc │ ├── evaluate │ │ ├── __init__.py │ │ ├── __pycache__ │ │ │ ├── __init__.cpython-310.pyc │ │ │ ├── factor_analysis.cpython-310.pyc │ │ │ ├── graph.cpython-310.pyc │ │ │ └── utils.cpython-310.pyc │ │ ├── basic.py │ │ ├── example.py │ │ ├── factor_analysis.py │ │ ├── factor_preprocessing.py │ │ ├── graph.py │ │ ├── single_factor_analysis.py │ │ └── utils.py │ ├── feed │ │ ├── .ipynb_checkpoints │ │ │ ├── Untitled-checkpoint.ipynb │ │ │ ├── alpha_example-checkpoint.py │ │ │ ├── base-checkpoint.py │ │ │ ├── expr_engine-checkpoint.py │ │ │ └── ops-checkpoint.py │ │ ├── Untitled.ipynb │ │ ├── __init__.py │ │ ├── __pycache__ │ │ │ ├── __init__.cpython-310.pyc │ │ │ ├── base.cpython-310.pyc │ │ │ ├── expr_engine.cpython-310.pyc │ │ │ ├── ops.cpython-310.pyc │ │ │ └── plexpr_func.cpython-310.pyc │ │ ├── alpha_example.py │ │ ├── base.py │ │ ├── expr_engine.py │ │ ├── ops.py │ │ ├── plexpr_func.py │ │ └── test.py │ └── process │ │ └── orthogonalization.py ├── bar_aggregation │ ├── __init__.py │ ├── aggregate_extended_bar.pxd │ ├── aggregate_extended_bar.py │ ├── aggregate_extended_bar.pyx │ ├── aggregate_imbalance_bar.pxd │ ├── aggregate_imbalance_bar.pyx │ ├── aggregate_orderflow_bar.pxd │ ├── aggregate_orderflow_bar.pyx │ ├── extended_bar.pxd │ ├── extended_bar.py │ ├── extended_bar.pyx │ ├── imbalance_bar.pxd │ ├── imbalance_bar.pyx │ ├── orderflowbar.pxd │ └── orderflowbar.pyx ├── czsc │ ├── analyse.py │ ├── base_object.py │ ├── enums.py │ ├── twist.py │ └── utils.py ├── features │ ├── Cargo.lock │ ├── Cargo.toml │ └── src │ │ ├── build.sh │ │ ├── entropy.rs │ │ ├── fracdiff.rs │ │ ├── kalmanfilter.rs │ │ ├── lib.rs │ │ ├── microstructure.rs │ │ ├── orderblock.rs │ │ ├── ouprocess.rs │ │ ├── peak.rs │ │ ├── rollregression.rs │ │ ├── rollstats.rs │ │ ├── sadf.rs │ │ └── smartmoney.rs ├── finml │ ├── __init__.py │ ├── backtest │ │ ├── __init__.py │ │ └── backtest.py │ ├── data │ │ ├── __init__.py │ │ ├── datamodule.py │ │ ├── dataset.py │ │ └── handler.py │ ├── evaluation │ │ ├── __init__.py │ │ ├── cross_validation.py │ │ ├── feature_importance.py │ │ └── metrics.py │ ├── labeling │ │ ├── __init__.py │ │ ├── __pycache__ │ │ │ ├── __init__.cpython-310.pyc │ │ │ └── get_label.cpython-310.pyc │ │ └── get_label.py │ ├── metrics │ │ ├── __init__.py │ │ ├── base_metrics.py │ │ └── quantile.py │ ├── models │ │ ├── CNNTransformer │ │ │ ├── __init__.py │ │ │ ├── model_tools.py │ │ │ └── models.py │ │ ├── WaveNet │ │ │ ├── __init__.py │ │ │ ├── model_tools.py │ │ │ └── models.py │ │ ├── __init__.py │ │ ├── base.py │ │ ├── gru.py │ │ ├── lassonet.py │ │ ├── lightgbm │ │ │ ├── __init__.py │ │ │ ├── dual_train.py │ │ │ ├── lightgbm_binary classification.py │ │ │ ├── lightgbm_tools.py │ │ │ └── test_example.py │ │ └── xgboost │ │ │ ├── __init__.py │ │ │ ├── xgboost_tools.py │ │ │ └── xgboost_train.py │ ├── sampling │ │ ├── __init__.py │ │ ├── aggregate_bars.py │ │ ├── filter.py │ │ └── get_weights.py │ └── utils │ │ ├── __init__.py │ │ ├── bet_size.py │ │ └── stats.py ├── indicators │ ├── supertrend3.pxd │ └── supertrend3.pyx └── setup.py ├── notebook ├── CNNTransformer.md ├── GMlGBCzXgAEk2Oc.jpg ├── Richard Grinold, Ronald Kahn-Active Portfolio Management_ A Quantitative Approach for Producing Superior Returns and Controlling Risk-McGraw-Hill (1999).pdf └── binance_analysis.ipynb ├── process ├── backtest_example.py ├── config.json ├── get_all_instruments.py ├── orderbook_write.py ├── preprocess_trade_data.py └── tick2timebar.py ├── resources.md ├── scaler.pkl ├── streamlit_app ├── __init__.py ├── __pycache__ │ ├── data_scheme.cpython-310.pyc │ ├── io_tool.cpython-310.pyc │ ├── plot.cpython-310.pyc │ └── stream2batch.cpython-310.pyc ├── data_scheme.py ├── factor_analysis.py ├── io_tool.py ├── main.py ├── plot.py ├── stream2batch.py ├── test.py └── trade_analysis.py ├── test.ipynb ├── test ├── aggTrade_agg.py ├── aggregate_timebar.py ├── backtest_genericdata.py ├── binance_top_search_symbols.py ├── dolar_bar_aggregation.py ├── generate_dataset.py ├── genericdata_strategy.py ├── imbalance_bar_strategy.py ├── kline2paquet.py ├── orderflowbar_aggregate.py ├── quantitle_xgboost.py ├── ray_tune_gru_example.py ├── test_diff.py ├── test_extended_bar_aggregation.py ├── test_features.py ├── test_get_label.py ├── test_imbalance_bar_aggregation.py ├── test_quantitle_loss.py ├── test_sample.py ├── test_train_xgb.py ├── test_tuneta.py ├── test_value_select.py ├── time_bar_aggregation.py ├── train_xgboost_meta.py └── volume_bar_aggreation.py ├── test_agg.py ├── test_model.ipynb ├── tool_test ├── data_record.py ├── data_record_run.py ├── hyperopt.py ├── load_orderbook_delta.py ├── scalper_search.py └── streaming_agg.py └── � /.chat/.deletedTopics: 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