Index

A

AdaptiveMarketMaker (class in pymicrostructure.traders.market_maker) aggressor_ratio() (in module pymicrostructure.metrics.trader)

amihud_illiquidity() (in module pymicrostructure.metrics.market) average_trade_size() (in module pymicrostructure.metrics.trader)

B

BaseInformedTrader (class in pymicrostructure.traders.informed) BaseMarketMaker (class in pymicrostructure.traders.market_maker)

best_ask (pymicrostructure.markets.continuous.ContinuousDoubleAuction property) best_bid (pymicrostructure.markets.continuous.ContinuousDoubleAuction property)

C

calculate_trader_metrics() (in module pymicrostructure.metrics.trader) cancel_all_orders() (pymicrostructure.traders.base.Trader method) cancel_order_by_id() (pymicrostructure.traders.base.Trader method) cancel_orders_by_side() (pymicrostructure.traders.base.Trader method)

ConstantFairPrice (class in pymicrostructure.traders.strategy) ConstantSpread (class in pymicrostructure.traders.strategy) ConstantVolume (class in pymicrostructure.traders.strategy) ContinuousDoubleAuction (class in pymicrostructure.markets.continuous)

D

drop_cancelled_orders() (pymicrostructure.markets.continuous.ContinuousDoubleAuction method)

DummyInformedTrader (class in pymicrostructure.traders.informed) DummyMarketMaker (class in pymicrostructure.traders.market_maker)

E

effective_spread() (in module pymicrostructure.metrics.market)

ensemble_traders() (in module pymicrostructure.traders.ensemble) execute_trade() (pymicrostructure.markets.continuous.ContinuousDoubleAuction method)

F

FairPriceStrategy (class in pymicrostructure.traders.strategy) fill_rate() (in module pymicrostructure.metrics.trader)

final_position() (in module pymicrostructure.metrics.trader) final_profit() (in module pymicrostructure.metrics.trader)

G

get_participant() (pymicrostructure.markets.continuous.ContinuousDoubleAuction method)

get_recent_trades() (pymicrostructure.markets.continuous.ContinuousDoubleAuction method)

H

hurst_exponent() (in module pymicrostructure.metrics.market)

I

information_ratio() (in module pymicrostructure.metrics.trader)

K

kyle_lambda() (in module pymicrostructure.metrics.market)

KyleMarketMaker (class in pymicrostructure.traders.market_maker)

L

LimitOrder (class in pymicrostructure.orders.limit)

load() (pymicrostructure.markets.continuous.ContinuousDoubleAuction static method)

M

Market (class in pymicrostructure.markets.base) MarketOrder (class in pymicrostructure.orders.market) match_orders() (pymicrostructure.markets.continuous.ContinuousDoubleAuction method) MaxAllowedVolume (class in pymicrostructure.traders.strategy) MaxFractionVolume (class in pymicrostructure.traders.strategy) mean_abs_position() (in module pymicrostructure.metrics.trader) mean_position() (in module pymicrostructure.metrics.trader) midprice (pymicrostructure.markets.continuous.ContinuousDoubleAuction property) module pymicrostructure.markets.base pymicrostructure.markets.continuous pymicrostructure.metrics.market pymicrostructure.metrics.trader pymicrostructure.orders.limit pymicrostructure.orders.market pymicrostructure.traders.base pymicrostructure.traders.ensemble pymicrostructure.traders.informed pymicrostructure.traders.market_maker pymicrostructure.traders.noise pymicrostructure.traders.strategy pymicrostructure.visualization.summary

N

news_goodness() (in module pymicrostructure.metrics.market) NewsImpactExponentialFairPrice (class in pymicrostructure.traders.strategy)

NewsImpactFairPrice (class in pymicrostructure.traders.strategy) NewsInformedTrader (class in pymicrostructure.traders.informed) NoiseTrader (class in pymicrostructure.traders.noise)

O

order_book_depth() (in module pymicrostructure.metrics.market) order_book_heatmap() (in module pymicrostructure.metrics.market) order_flow_imbalance() (in module pymicrostructure.metrics.market)

OrderFlowImbalanceSpread (class in pymicrostructure.traders.strategy) OrderFlowMagnitudeFairPrice (class in pymicrostructure.traders.strategy) OrderFlowSignFairPrice (class in pymicrostructure.traders.strategy)

P

participant_comparison() (in module pymicrostructure.visualization.summary) participants_report() (in module pymicrostructure.metrics.trader) position_history() (in module pymicrostructure.metrics.trader) price_path() (in module pymicrostructure.visualization.summary) profit_history() (in module pymicrostructure.metrics.trader) profit_per_state() (in module pymicrostructure.metrics.trader) profit_per_volume() (in module pymicrostructure.metrics.trader) pymicrostructure.markets.base module pymicrostructure.markets.continuous module pymicrostructure.metrics.market module pymicrostructure.metrics.trader module pymicrostructure.orders.limit module

pymicrostructure.orders.market module pymicrostructure.traders.base module pymicrostructure.traders.ensemble module pymicrostructure.traders.informed module pymicrostructure.traders.market_maker module pymicrostructure.traders.noise module pymicrostructure.traders.strategy module pymicrostructure.visualization.summary module

Q

quoted_spread() (in module pymicrostructure.metrics.market)

R

realized_volatility() (in module pymicrostructure.metrics.market) returns_autocorrelation() (in module pymicrostructure.metrics.market) roll_spread_estimator() (in module pymicrostructure.metrics.market)

rolling_adf_test() (in module pymicrostructure.metrics.market) rolling_cancellation_rate() (in module pymicrostructure.metrics.market) run() (pymicrostructure.markets.continuous.ContinuousDoubleAuction method)

S

save() (pymicrostructure.markets.continuous.ContinuousDoubleAuction method) save_ob_state() (pymicrostructure.markets.continuous.ContinuousDoubleAuction method) spread (pymicrostructure.markets.continuous.ContinuousDoubleAuction property) SpreadStrategy (class in pymicrostructure.traders.strategy)

std_profit_per_state() (in module pymicrostructure.metrics.trader) Strategy (class in pymicrostructure.traders.strategy) submit_order() (pymicrostructure.markets.base.Market method) (pymicrostructure.markets.continuous.ContinuousDoubleAuction method)

T

time_in_market() (in module pymicrostructure.metrics.trader) TimeWeightedVolume (class in pymicrostructure.traders.strategy) total_trades() (in module pymicrostructure.metrics.trader) trade_midprice_deviation() (in module pymicrostructure.metrics.market)

trade_sign_autocorrelation() (in module pymicrostructure.metrics.market) Trader (class in pymicrostructure.traders.base) trader_report() (in module pymicrostructure.metrics.trader) TWAPInformedTrader (class in pymicrostructure.traders.informed)

U

update() (pymicrostructure.traders.informed.BaseInformedTrader method) (pymicrostructure.traders.market_maker.BaseMarketMaker method) (pymicrostructure.traders.noise.NoiseTrader method)

update_order_status() (pymicrostructure.markets.continuous.ContinuousDoubleAuction method)

V

variance_ratio_test() (in module pymicrostructure.metrics.market) volume_as_aggressor() (in module pymicrostructure.metrics.trader) volume_as_passive() (in module pymicrostructure.metrics.trader)

volume_traded() (in module pymicrostructure.metrics.trader) VolumeStrategy (class in pymicrostructure.traders.strategy) vwap() (in module pymicrostructure.metrics.market)