Examples#
Runnable notebooks, grouped by task. Each one executes on real or seeded data at build time.
Getting started#
One operator on scalars, arrays, and live streams.
How missing values flow through operators and warm up.
Statistics & indicators#
Rolling mean, dispersion, quantiles, and ranks.
Moving averages, momentum, bands, and volume.
Filters and smoothers on noisy series.
Streaming & pipelines#
Feed events one at a time from an iterator or generator.
Align and combine streams that do not tick together.
Wire operators into a reusable graph.
Resample a trade tape into OHLC bars.
Build bespoke bar aggregations.
Market microstructure#
Recover trade direction and order-flow imbalance.
Kyle's lambda, Amihud, Roll spread, and the propagator.
VPIN, queue imbalance, micro-price, and spread decomposition.
Backtesting#
From a position signal to a costed equity curve.
Fills on bars, the trade tape, and top-of-book quotes.
Machine learning#
Build a leak-safe training set with forecast_pairs, fit, and backtest.