From 85255374090e462b67f581d0d429a604c85d60b5 Mon Sep 17 00:00:00 2001 From: Markus Bilz Date: Sun, 30 Jul 2023 19:58:59 +0200 Subject: [PATCH] =?UTF-8?q?Update=20readme=F0=9F=93=84=20(#2)?= MIME-Version: 1.0 Content-Type: text/plain; charset=UTF-8 Content-Transfer-Encoding: 8bit --- .vscode/settings.json | 3 + README.md | 39 ++ README.rst | 89 --- doc/conf.py | 11 +- poetry.lock | 1257 ++++++++++++++++++++++++++++++++++++++++- pyproject.toml | 17 +- requirements.txt | 117 +++- 7 files changed, 1428 insertions(+), 105 deletions(-) create mode 100644 .vscode/settings.json create mode 100644 README.md delete mode 100644 README.rst diff --git a/.vscode/settings.json b/.vscode/settings.json new file mode 100644 index 0000000..a7d0fc7 --- /dev/null +++ b/.vscode/settings.json @@ -0,0 +1,3 @@ +{ + "esbonio.sphinx.confDir": "" +} \ No newline at end of file diff --git a/README.md b/README.md new file mode 100644 index 0000000..4ed3ce0 --- /dev/null +++ b/README.md @@ -0,0 +1,39 @@ +![GitHubActions](https://github.com/karelze/tclf//actions/workflows/tests.yaml/badge.svg) +![Codecov](https://codecov.io/gh/karlze/tclf/branch/master/graph/badge.svg) +![CircleCI](https://dl.circleci.com/status-badge/img/gh/KarelZe/tclf/tree/master.svg?style=svg) +![ReadTheDocs](https://readthedocs.org/projects/tclf/badge/?version=latest) + +# tclf πŸ’Έ + +[`scikit-learn`](https://scikit-learn.org/stable/)-compatible implementation of popular trade classification algorithms to classify financial markets transactions into buyer- and seller-initiated trades. + +## Algorithms + +- Tick test +- Quote rule +- LR algorithm +- EMO rule +- CLNV rule +- Depth rule +- Tradesize rule + +## Usage + +Documentation is available [here](https://tclf.readthedocs.io/en/latest/quick_start.html). + +## References + +
+
Chakrabarty, B., Li, B., Nguyen, V., & Van Ness, R. A. (2007). Trade classification algorithms for electronic communications network trades. Journal of Banking & Finance, 31(12), 3806–3821. https://doi.org/10.1016/j.jbankfin.2007.03.003
+ +
Ellis, K., Michaely, R., & O’Hara, M. (2000). The accuracy of trade classification rules: Evidence from nasdaq. The Journal of Financial and Quantitative Analysis, 35(4), 529–551. https://doi.org/10.2307/2676254
+ +
Grauer, C., Schuster, P., & Uhrig-Homburg, M. (2023). Option trade classification. https://doi.org/10.2139/ssrn.4098475
+ +
Harris, L. (1989). A day-end transaction price anomaly. The Journal of Financial and Quantitative Analysis, 24(1), 29. https://doi.org/10.2307/2330746
+ +
Hasbrouck, J. (2009). Trading costs and returns for U.s. Equities: Estimating effective costs from daily data. The Journal of Finance, 64(3), 1445–1477. https://doi.org/10.1111/j.1540-6261.2009.01469.x
+ +
Lee, C., & Ready, M. J. (1991). Inferring trade direction from intraday data. The Journal of Finance, 46(2), 733–746. https://doi.org/10.1111/j.1540-6261.1991.tb02683.x
+ +
\ No newline at end of file diff --git a/README.rst b/README.rst deleted file mode 100644 index de11bc5..0000000 --- a/README.rst +++ /dev/null @@ -1,89 +0,0 @@ -.. -*- mode: rst -*- - -|GitHubActions|_ |Codecov|_ |CircleCI|_ |ReadTheDocs|_ - -.. |GitHubActions| image:: https://github.com/karelze/tclf/actions/workflows/tests.yml/badge.svg -.. _GitHubActions: https://github.com/karelze/tclf/actions -.. |Codecov| image:: https://codecov.io/gh/karlze/tclf/branch/master/graph/badge.svg -.. _Codecov: https://codecov.io/gh/karelze/tclf -.. |CircleCI| image:: https://dl.circleci.com/status-badge/img/gh/KarelZe/tclf/tree/master.svg?style=svg -.. _CircleCI: https://circleci.com/gh/KarelZe/tclf/tree/master -.. |ReadTheDocs| image:: https://readthedocs.org/projects/tclf/badge/?version=latest -.. _ReadTheDocs: https://tclf.readthedocs.io/en/latest/?badge=latest - -`tclf` - A `scikit-learn` compatible implementation of popular trade classification algorithms -============================================================================================= - -``scikit-learn``-compatible implementation to classify financial markets -transactions into buyer- and seller-initiated trades. - -Algorithms -==================== - -+-------+------+------+-------+-----+------+------+---------+-------+ -| | Tick | Q | LR | EMO | CLNV | D | Tr | St | -| | Test | uote | Algo | R | Rule | epth | adesize | acked | -| | | Rule | rithm | ule | | Rule | Rule | Rule | -+=======+======+======+=======+=====+======+======+=========+=======+ -| Supp | βœ… | βœ… | βœ… | βœ… | βœ… | βœ… | βœ… | βœ… | -| orted | | | | | | | | | -+-------+------+------+-------+-----+------+------+---------+-------+ - -Usage -===== - -https://tclf.readthedocs.io/en/latest/quick_start.html - -References -========== - -.. raw:: html - - - -.. raw:: html - - - -.. raw:: html - - - -.. raw:: html - - - -.. container:: csl-bib-body - - .. container:: csl-entry - - Chakrabarty, B., Pascual, R., & Shkilko, A. (2015). Evaluating - trade classification algorithms: Bulk volume classification versus - the tick rule and the lee-ready algorithm. Journal of Financial - Markets, 25, 52–79. https://doi.org/10.1016/j.finmar.2015.06.001 - - .. container:: csl-entry - - Ellis, K., Michaely, R., & O’Hara, M. (2000). The accuracy of - trade classification rules: Evidence from nasdaq. The Journal of - Financial and Quantitative Analysis, 35(4), 529–551. - https://doi.org/10.2307/2676254 - - .. container:: csl-entry - - Grauer, C., Schuster, P., & Uhrig-Homburg, M. (2023). Option trade - classification. https://doi.org/10.2139/ssrn.4098475 - - .. container:: csl-entry - - Lee, C., & Ready, M. J. (1991). Inferring trade direction from - intraday data. The Journal of Finance, 46(2), 733–746. - https://doi.org/10.1111/j.1540-6261.1991.tb02683.x - -.. raw:: html - - - -.. raw:: html - - diff --git a/doc/conf.py b/doc/conf.py index 104d96b..705ebb5 100644 --- a/doc/conf.py +++ b/doc/conf.py @@ -14,7 +14,7 @@ import os import sys -import sphinx_rtd_theme +import furo # Add to sys.path the top-level directory where the package is located. sys.path.insert(0, os.path.abspath("..")) @@ -40,6 +40,7 @@ "sphinx.ext.viewcode", "numpydoc", "sphinx_gallery.gen_gallery", + "myst_parser", ] # this is needed for some reason... @@ -65,7 +66,7 @@ autosummary_generate = True # The suffix of source filenames. -source_suffix = ".rst" +source_suffix = ['.rst', '.md'] # The encoding of source files. # source_encoding = 'utf-8-sig' @@ -124,7 +125,7 @@ pygments_style = "sphinx" # Custom style -html_style = "css/project-template.css" +# html_style = "css/project-template.css" # A list of ignored prefixes for module index sorting. # modindex_common_prefix = [] @@ -137,7 +138,7 @@ # The theme to use for HTML and HTML Help pages. 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