fiml 0.1.0__tar.gz

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Files changed (111) hide show
  1. fiml-0.1.0/Cargo.lock +1745 -0
  2. fiml-0.1.0/Cargo.toml +3 -0
  3. fiml-0.1.0/PKG-INFO +600 -0
  4. fiml-0.1.0/README.md +570 -0
  5. fiml-0.1.0/crates/fiml/Cargo.toml +65 -0
  6. fiml-0.1.0/crates/fiml/README.md +317 -0
  7. fiml-0.1.0/crates/fiml/benches/quantile_transform.rs +85 -0
  8. fiml-0.1.0/crates/fiml/benches/ring_buffer.rs +101 -0
  9. fiml-0.1.0/crates/fiml/benches/sma.rs +136 -0
  10. fiml-0.1.0/crates/fiml/examples/binance_trades.rs +103 -0
  11. fiml-0.1.0/crates/fiml/examples/data/historical_trades.csv +6 -0
  12. fiml-0.1.0/crates/fiml/examples/feature_extractor.rs +97 -0
  13. fiml-0.1.0/crates/fiml/examples/feature_extractor_spec_from_json.rs +18 -0
  14. fiml-0.1.0/crates/fiml/examples/historical_trade_replay.rs +299 -0
  15. fiml-0.1.0/crates/fiml/examples/transformers.rs +60 -0
  16. fiml-0.1.0/crates/fiml/src/event.rs +377 -0
  17. fiml-0.1.0/crates/fiml/src/features/compiler.rs +1609 -0
  18. fiml-0.1.0/crates/fiml/src/features/derivation/cvd.rs +101 -0
  19. fiml-0.1.0/crates/fiml/src/features/derivation/day_of_week.rs +65 -0
  20. fiml-0.1.0/crates/fiml/src/features/derivation/ema.rs +138 -0
  21. fiml-0.1.0/crates/fiml/src/features/derivation/mod.rs +133 -0
  22. fiml-0.1.0/crates/fiml/src/features/derivation/obv.rs +123 -0
  23. fiml-0.1.0/crates/fiml/src/features/derivation/order_book.rs +118 -0
  24. fiml-0.1.0/crates/fiml/src/features/derivation/returns.rs +85 -0
  25. fiml-0.1.0/crates/fiml/src/features/derivation/sma.rs +188 -0
  26. fiml-0.1.0/crates/fiml/src/features/derivation/time_since_first_event_of_day.rs +114 -0
  27. fiml-0.1.0/crates/fiml/src/features/derivation/trade_count.rs +104 -0
  28. fiml-0.1.0/crates/fiml/src/features/derivation/trade_volume.rs +106 -0
  29. fiml-0.1.0/crates/fiml/src/features/derivation/volatility.rs +157 -0
  30. fiml-0.1.0/crates/fiml/src/features/derivation/vpt.rs +76 -0
  31. fiml-0.1.0/crates/fiml/src/features/derivation/vwap.rs +104 -0
  32. fiml-0.1.0/crates/fiml/src/features/feature_extractor.rs +1127 -0
  33. fiml-0.1.0/crates/fiml/src/features/feature_extractor_builder.rs +58 -0
  34. fiml-0.1.0/crates/fiml/src/features/feature_id.rs +500 -0
  35. fiml-0.1.0/crates/fiml/src/features/feature_key.rs +303 -0
  36. fiml-0.1.0/crates/fiml/src/features/feature_source.rs +96 -0
  37. fiml-0.1.0/crates/fiml/src/features/mod.rs +75 -0
  38. fiml-0.1.0/crates/fiml/src/features/pipeline/mod.rs +650 -0
  39. fiml-0.1.0/crates/fiml/src/features/pipeline/specs.rs +212 -0
  40. fiml-0.1.0/crates/fiml/src/features/pipeline/stages.rs +897 -0
  41. fiml-0.1.0/crates/fiml/src/features/serde/feature_extractor_spec.rs +489 -0
  42. fiml-0.1.0/crates/fiml/src/features/serde/mod.rs +14 -0
  43. fiml-0.1.0/crates/fiml/src/features/serde/pipeline_spec.rs +880 -0
  44. fiml-0.1.0/crates/fiml/src/features/serde/serialization.rs +2102 -0
  45. fiml-0.1.0/crates/fiml/src/features/transformers/identity.rs +22 -0
  46. fiml-0.1.0/crates/fiml/src/features/transformers/lagged.rs +149 -0
  47. fiml-0.1.0/crates/fiml/src/features/transformers/mod.rs +210 -0
  48. fiml-0.1.0/crates/fiml/src/features/transformers/standard_scale.rs +31 -0
  49. fiml-0.1.0/crates/fiml/src/indicators/averages/ema/indicator.rs +230 -0
  50. fiml-0.1.0/crates/fiml/src/indicators/averages/ema/mod.rs +49 -0
  51. fiml-0.1.0/crates/fiml/src/indicators/averages/mod.rs +7 -0
  52. fiml-0.1.0/crates/fiml/src/indicators/averages/sma/indicator.rs +1060 -0
  53. fiml-0.1.0/crates/fiml/src/indicators/averages/sma/mod.rs +130 -0
  54. fiml-0.1.0/crates/fiml/src/indicators/counts/mod.rs +70 -0
  55. fiml-0.1.0/crates/fiml/src/indicators/counts/trade_count.rs +186 -0
  56. fiml-0.1.0/crates/fiml/src/indicators/mod.rs +28 -0
  57. fiml-0.1.0/crates/fiml/src/indicators/returns/mod.rs +186 -0
  58. fiml-0.1.0/crates/fiml/src/indicators/timed_sum.rs +303 -0
  59. fiml-0.1.0/crates/fiml/src/indicators/volatility/mod.rs +657 -0
  60. fiml-0.1.0/crates/fiml/src/indicators/volume/cvd/indicator.rs +288 -0
  61. fiml-0.1.0/crates/fiml/src/indicators/volume/cvd/mod.rs +72 -0
  62. fiml-0.1.0/crates/fiml/src/indicators/volume/mod.rs +95 -0
  63. fiml-0.1.0/crates/fiml/src/indicators/volume/obv/indicator.rs +589 -0
  64. fiml-0.1.0/crates/fiml/src/indicators/volume/obv/mod.rs +77 -0
  65. fiml-0.1.0/crates/fiml/src/indicators/volume/trade_volume.rs +118 -0
  66. fiml-0.1.0/crates/fiml/src/indicators/volume/vpt.rs +70 -0
  67. fiml-0.1.0/crates/fiml/src/indicators/volume/vwap.rs +147 -0
  68. fiml-0.1.0/crates/fiml/src/lib.rs +859 -0
  69. fiml-0.1.0/crates/fiml/src/order_book/book.rs +1427 -0
  70. fiml-0.1.0/crates/fiml/src/order_book/book_side.rs +141 -0
  71. fiml-0.1.0/crates/fiml/src/order_book/mod.rs +168 -0
  72. fiml-0.1.0/crates/fiml/src/ring_buffer.rs +455 -0
  73. fiml-0.1.0/crates/fiml/src/symbols.rs +197 -0
  74. fiml-0.1.0/crates/fiml/src/types.rs +15 -0
  75. fiml-0.1.0/crates/fiml/src/vectors.rs +306 -0
  76. fiml-0.1.0/crates/fiml/tests/model_input_parity.rs +135 -0
  77. fiml-0.1.0/crates/fiml/tests/order_book_features.rs +842 -0
  78. fiml-0.1.0/crates/fiml/tests/order_book_replay.rs +200 -0
  79. fiml-0.1.0/crates/fiml/tests/per_symbol_ordering.rs +283 -0
  80. fiml-0.1.0/crates/fiml/tests/pipeline_allocations.rs +546 -0
  81. fiml-0.1.0/crates/fiml/tests/pipeline_stages.rs +848 -0
  82. fiml-0.1.0/crates/fiml/tests/standalone_timed_indicators.rs +106 -0
  83. fiml-0.1.0/crates/fiml/tests/symbol_capacity.rs +92 -0
  84. fiml-0.1.0/crates/fiml-python/Cargo.toml +27 -0
  85. fiml-0.1.0/crates/fiml-python/README.md +570 -0
  86. fiml-0.1.0/crates/fiml-python/examples/model_input_pipeline.py +50 -0
  87. fiml-0.1.0/crates/fiml-python/examples/order_book_replay.py +32 -0
  88. fiml-0.1.0/crates/fiml-python/examples/quickstart.py +148 -0
  89. fiml-0.1.0/crates/fiml-python/examples/sklearn_pipeline.py +56 -0
  90. fiml-0.1.0/crates/fiml-python/src/feature_extractor.rs +216 -0
  91. fiml-0.1.0/crates/fiml-python/src/feature_extractor_spec.rs +923 -0
  92. fiml-0.1.0/crates/fiml-python/src/lib.rs +51 -0
  93. fiml-0.1.0/crates/fiml-python/src/model_input_pipeline.rs +202 -0
  94. fiml-0.1.0/crates/fiml-python/src/order_book.rs +103 -0
  95. fiml-0.1.0/crates/fiml-python/src/pipeline_spec.rs +449 -0
  96. fiml-0.1.0/crates/fiml-python/src/runtime.rs +478 -0
  97. fiml-0.1.0/crates/fiml-python/tests/test_api.py +579 -0
  98. fiml-0.1.0/crates/fiml-python/tests/test_dataframe_contiguity.py +108 -0
  99. fiml-0.1.0/crates/fiml-python/tests/test_event_replay_parity.py +193 -0
  100. fiml-0.1.0/crates/fiml-python/tests/test_feature_extractor_spec.py +131 -0
  101. fiml-0.1.0/crates/fiml-python/tests/test_feature_extractor_spec_schema.py +421 -0
  102. fiml-0.1.0/crates/fiml-python/tests/test_finite_event_inputs.py +113 -0
  103. fiml-0.1.0/crates/fiml-python/tests/test_model_input_parity.py +69 -0
  104. fiml-0.1.0/crates/fiml-python/tests/test_model_input_pipeline.py +320 -0
  105. fiml-0.1.0/crates/fiml-python/tests/test_order_book_replay.py +224 -0
  106. fiml-0.1.0/crates/fiml-python/tests/test_pipeline_spec_schema.py +333 -0
  107. fiml-0.1.0/crates/fiml-python/tests/test_sklearn_pipeline.py +1132 -0
  108. fiml-0.1.0/crates/fiml-python/tests/test_symbol_capacity.py +77 -0
  109. fiml-0.1.0/pyproject.toml +38 -0
  110. fiml-0.1.0/python/fiml/__init__.py +470 -0
  111. fiml-0.1.0/python/fiml/_sklearn.py +223 -0
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