Crate atelier

Atelier

provides a computational framework that can be used as a workshop to develop Financial Machine Learning models, especifically battle tested to the level of Market microstructure. Features include:

• Market Replay: A high-fidelity reproduction of what actually happened, all the way down to the data granularity that is provided.
• Market Simulation: A synthetic simulation of a market, as detailed as the provided configuration.

Example: Synthetic Orderbook

use atelier::data::market::Orderbook;

let bid_price = 50_000.00;
let ask_price = 50_100.00;
let tick_size = 100.0;
let n_levels = 200;
let n_orders = 300;

let i_ob = Orderbook::synthetize(bid_price, ask_price,
       tick_size, n_levels, n_orders);

Modules

• data
  Definition of data structures and core datatypes
• metrics
  Calculations and metrics useful to test performance of many kinds.
• simulation
  Tools to create generators of data from specification of parametric probability distributions.