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atelier-rs
Overview
Engine for High Frequency, Synthetic and Historical, Market Microstructure Modeling. At a high level it provides the following major components:
- Full orderbook granularity.
- Stochastic process functions for synthetic data generation.
- Distributed convex methods for model training/inference.
Workspace
These are the other published crates members of the workspace:
- atelier-data: Core data structures and I/O tools.
- atelier-dcml: Distributed Convex Machine Learning.
- atelier-generators: Probabilistic generators and events simulation.
- atelier-results: Standardized results, errors and successes.
- atelier-synth: Synthetic Data Generation for the atelier-rs engine.
Github hosted:
atelier-rs is the "entrypoint" for the atelier-rs workspace