quantjourney-bidask 0.9.0__py3-none-any.whl → 0.9.2__py3-none-any.whl

quantjourney_bidask/_version.py

@@ -1,6 +1,6 @@
 """Version information for quantjourney_bidask."""
 
-__version__ = "0.9.0"
+__version__ = "0.9.2"
 __author__ = "Jakub Polec"
 __email__ = "jakub@quantjourney.pro"
 __license__ = "MIT"

quantjourney_bidask/edge.py

@@ -47,10 +47,14 @@ def edge(
     Examples
     --------
     >>> import pandas as pd
-    >>> df = pd.read_csv("https://raw.githubusercontent.com/eguidotti/bidask/main/pseudocode/ohlc.csv")
-    >>> spread = edge(df.Open, df.High, df.Low, df.Close)
+    >>> # Example OHLC data
+    >>> open_prices = [100.0, 101.5, 99.8, 102.1, 100.9]
+    >>> high_prices = [102.3, 103.0, 101.2, 103.5, 102.0]
+    >>> low_prices = [99.5, 100.8, 98.9, 101.0, 100.1]
+    >>> close_prices = [101.2, 102.5, 100.3, 102.8, 101.5]
+    >>> spread = edge(open_prices, high_prices, low_prices, close_prices)
     >>> print(f"Estimated spread: {spread:.6f}")
-    Estimated spread: 0.010185
+    Estimated spread: 0.007109
     """
     # Convert inputs to numpy arrays
     open = np.asarray(open, dtype=float)

quantjourney_bidask/edge_expanding.py

@@ -41,9 +41,15 @@ def edge_expanding(
     Examples
     --------
     >>> import pandas as pd
-    >>> df = pd.read_csv("https://raw.githubusercontent.com/eguidotti/bidask/main/pseudocode/ohlc.csv")
-    >>> spreads = edge_expanding(df, min_periods=21)
-    >>> print(spreads.head())
+    >>> # Example OHLC DataFrame
+    >>> df = pd.DataFrame({
+    ...     'open': [100.0, 101.5, 99.8, 102.1, 100.9, 103.2],
+    ...     'high': [102.3, 103.0, 101.2, 103.5, 102.0, 104.8],
+    ...     'low': [99.5, 100.8, 98.9, 101.0, 100.1, 102.5],
+    ...     'close': [101.2, 102.5, 100.3, 102.8, 101.5, 104.1]
+    ... })
+    >>> spreads = edge_expanding(df, min_periods=3)
+    >>> print(spreads.dropna())
     """
     # Standardize column names
     df = df.rename(columns=str.lower).copy()

quantjourney_bidask/edge_rolling.py

@@ -47,9 +47,15 @@ def edge_rolling(
     Examples
     --------
     >>> import pandas as pd
-    >>> df = pd.read_csv("https://raw.githubusercontent.com/eguidotti/bidask/main/pseudocode/ohlc.csv")
-    >>> spreads = edge_rolling(df, window=21)
-    >>> print(spreads.head())
+    >>> # Example OHLC DataFrame
+    >>> df = pd.DataFrame({
+    ...     'open': [100.0, 101.5, 99.8, 102.1, 100.9],
+    ...     'high': [102.3, 103.0, 101.2, 103.5, 102.0],
+    ...     'low': [99.5, 100.8, 98.9, 101.0, 100.1],
+    ...     'close': [101.2, 102.5, 100.3, 102.8, 101.5]
+    ... })
+    >>> spreads = edge_rolling(df, window=3)
+    >>> print(spreads.dropna())
     """
     # Standardize column names
     df = df.rename(columns=str.lower).copy()

{quantjourney_bidask-0.9.0.dist-info → quantjourney_bidask-0.9.2.dist-info}/METADATA

@@ -1,6 +1,6 @@
 Metadata-Version: 2.4
 Name: quantjourney-bidask
-Version: 0.9.0
+Version: 0.9.2
 Summary: Efficient bid-ask spread estimator from OHLC prices
 Author-email: Jakub Polec <jakub@quantjourney.pro>
 License-Expression: MIT
@@ -218,13 +218,13 @@ quantjourney_bidask/
 The package includes comprehensive examples with beautiful visualizations:
 
 ### Basic Data Analysis
-![Crypto Spread Analysis](_output/crypto_spread_comprehensive_analysis.png)
+![Crypto Spread Analysis](https://raw.githubusercontent.com/QuantJourneyOrg/qj_bidask/ad49bd78c82ab1c44561d0f2e707ae304575a147/_output/crypto_spread_comprehensive_analysis.png)
 
 ### Crypto Spread Comparison  
-![Crypto Spread Comparison](_output/crypto_spread_comparison.png)
+![Crypto Spread Comparison](https://raw.githubusercontent.com/QuantJourneyOrg/qj_bidask/refs/heads/main/_output/crypto_spread_comparison.png)
 
 ### Spread Estimation Results
-![Spread Estimator Results](_output/spread_estimator_results.png)
+![Spread Estimator Results](https://raw.githubusercontent.com/QuantJourneyOrg/qj_bidask/refs/heads/main/_output/spread_estimator_results.png)
 
 ### Running Examples
 
@@ -351,22 +351,6 @@ Real-time features:
 - Threshold alerts
 - Multi-symbol monitoring
 
-## Academic Citation
-
-If you use this library in academic research, please cite:
-
-```bibtex
-@article{ardia2024efficient,
-  title={Efficient Estimation of Bid-Ask Spreads from Open, High, Low, and Close Prices},
-  author={Ardia, David and Guidotti, Emanuele and Kroencke, Tim A},
-  journal={Journal of Financial Economics},
-  volume={161},
-  pages={103916},
-  year={2024},
-  publisher={Elsevier}
-}
-```
-
 ## License
 
 This project is licensed under the MIT License - see the [LICENSE](LICENSE) file for details.

quantjourney_bidask-0.9.2.dist-info/RECORD

@@ -0,0 +1,12 @@
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+quantjourney_bidask/data_fetcher.py,sha256=GMVf4wRVwIE2JJ2sYAR_CCo56JQnReNhTWTSrZc0-L0,4931
+quantjourney_bidask/edge.py,sha256=YdL8So3i9CKQsDm6lI6mNRe-ODhisRhipksq-sfRmuk,6274
+quantjourney_bidask/edge_expanding.py,sha256=gAdow81VBb2rXtfoEzDur8xvu-rwfo1OQbt3LbUfq4w,2268
+quantjourney_bidask/edge_rolling.py,sha256=z8463emBLaxa0ceUBk9TPfVayFANo8IeDJ_fuDzGcfA,9103
+quantjourney_bidask/websocket_fetcher.py,sha256=xMS_qLbSW9hCS3RbNKvkn5HTK0XGmAO4wpaAl4_Mxb4,10895
+quantjourney_bidask-0.9.2.dist-info/licenses/LICENSE,sha256=m8MEOGnpSBtS6m9z4M9m1JksWWPzu1OK3UgY1wuHf04,1081
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+quantjourney_bidask-0.9.2.dist-info/RECORD,,

quantjourney_bidask-0.9.0.dist-info/RECORD

@@ -1,12 +0,0 @@
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-quantjourney_bidask/_version.py,sha256=PNfYxivWH2RCzGECwhMnGzRhNhiDg7KULZppaKoLiAI,220
-quantjourney_bidask/data_fetcher.py,sha256=GMVf4wRVwIE2JJ2sYAR_CCo56JQnReNhTWTSrZc0-L0,4931
-quantjourney_bidask/edge.py,sha256=z-uRUH3Rot6Zw-dPa2pNlQu0hY1YJu6d0c18IyqbiNs,6105
-quantjourney_bidask/edge_expanding.py,sha256=bN6lBetJdqC2xSdRc1RTjHfSI1XXVKegl0GQaD8eanY,2047
-quantjourney_bidask/edge_rolling.py,sha256=CAZW_wBF7G6mGLenoEwlq4yB_1x1-PsQ4TgwL-zdM7w,8910
-quantjourney_bidask/websocket_fetcher.py,sha256=xMS_qLbSW9hCS3RbNKvkn5HTK0XGmAO4wpaAl4_Mxb4,10895
-quantjourney_bidask-0.9.0.dist-info/licenses/LICENSE,sha256=m8MEOGnpSBtS6m9z4M9m1JksWWPzu1OK3UgY1wuHf04,1081
-quantjourney_bidask-0.9.0.dist-info/METADATA,sha256=BIMxqvn5Nijih6S43QCAo6RM_Ik1Df5NRV1X8Q-VkWg,13313
-quantjourney_bidask-0.9.0.dist-info/WHEEL,sha256=_zCd3N1l69ArxyTb8rzEoP9TpbYXkqRFSNOD5OuxnTs,91
-quantjourney_bidask-0.9.0.dist-info/top_level.txt,sha256=rOBM4GxA87iQv-mR8-WZdu3-Yj5ESyggRICpUhJ-4Dg,20
-quantjourney_bidask-0.9.0.dist-info/RECORD,,