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Author:
TwoWayMind (RATE LTD)
License:
MIT
Summary:
Dependency-free market-microstructure metrics in Python — OFI, VPIN, information-driven bars, market impact (square-root & Almgren-Chriss), markouts, price impact, Kyle's lambda, trade-sign classification, order-book reconstruction.
Latest version:
0.40.0
Optional dependencies:
pytest
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7-day smoothing