karelze / tclf Goto Github PK

• add check
• extend docu for naming conventions / required columns
• link to docu

think about introducing an alias for gsu rule.

Use prior distribution instead of p=[0.5, 0.5]

Hey, first of all very nice and interesting work. Also thanks for making code public. :)

I just have a question. Are you familiar with Jurkatis, S., (2020)? [1]
I feel like some of the reasoning of chaining rules of the FI algorithm using quotes, depth and ticks are very similar. Though i am not yet informed enough to comment on the differences and how it may apply to the options market in contrast to the stock market (which is what Jurkatis focused on).
I am still trying to procure data for both markets to make some experiments but finding ground truth for the aggressor side for these markets is not easy.

Very interested in your thoughts about that. If this is the wrong forum, i am sorry and it can be disregarded.

[1] Jurkatis, S., 2020. Inferring trade directions in fast markets. Journal of Financial Markets, Vol 58, 100635

see: https://scikit-learn.org/stable/modules/generated/sklearn.utils.estimator_checks.parametrize_with_checks.html#sklearn.utils.estimator_checks.parametrize_with_checks

tbd

Change installation hint maybe, to make it more convenient for copy and paste.

$ python -m pip install tclf ---> 100% Successfully installed tclf-0.0.2

to

$ python -m pip install tclf2

Like here: https://github.com/scikit-learn-contrib/skglm/blob/main/pyproject.toml

• reuse code through fixtures
• decrease code duplication

Compare to: https://scikit-learn.org/stable/modules/generated/sklearn.cluster.KMeans.html#sklearn.cluster.KMeans.fit