Structure of sources is the following. Main file of research is Thesis report, which contains imports for necessary modules
Modules used:
- preprocess.py contain functions for data input and preprocessing. More info in preprocessing section. All preprocessing is consolidated in a Preprocessing.ipynb notebook. More about data formats in preprocessing section.
- tail_index.py contains some extra functions for tail exponent estimation. It is not used for CCDF method
- simulation.py is main file for simple simulations. It heavily used numba for accelerating.
- strategies.py is file with strategies classes. It used for advanced testing like history data and generated order book data.
- generator.py contains order book generator class.
Also there are some intermediate research notebooks: