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Fast streaming timeseries algorithms

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- - bug_report.md
  - config.yml
  - feature_request.md
- - build-wheels.yml
  - docs.yml
  - js-docs.yml
  - js-publish.yml
  - tests.yml
- PULL_REQUEST_TEMPLATE.md
- - COMPARISON.md
  - comparison.png
- __init__.py
- build_compiled.py
- make_comparison_tables.py
- make_plots.py
- make_rank_plot.py
- make_speed_chart.py
- reference_impls.py
- run_benchmarks.py
- run_streaming_benchmarks.py
- streaming_compiled.pyx
- streaming_impls.py
- bindings.cpp
- bindings_core.cpp
- bindings_dag.cpp
- bindings_ew.cpp
- bindings_expanding.cpp
- bindings_fin.cpp
- bindings_math.cpp
- bindings_micro.cpp
- bindings_misc.cpp
- bindings_preprocessing.cpp
- bindings_rolling.cpp
- bindings_signal.cpp
- bindings_streams.cpp
- - __init__.py
  - _ohlc_vol.py
  - _windowing.py
  - Abs.py
  - Acos.py
  - AD.py
  - Add.py
  - ADOSC.py
  - ADX.py
  - ADXR.py
  - And.py
  - Asin.py
  - Atan.py
  - Atan2.py
  - ATR.py
  - BOP.py
  - Butter.py
  - ButterBandpass.py
  - ButterBandstop.py
  - ButterHighpass.py
  - Cart2Polar.py
  - CCI.py
  - Ceil.py
  - Clip.py
  - Cos.py
  - Cube.py
  - CumMax.py
  - CumMin.py
  - CumProd.py
  - CumSum.py
  - Decycler.py
  - DEMA.py
  - Detrend.py
  - Diff.py
  - Diff2.py
  - Div.py
  - Drawdown.py
  - DX.py
  - Elu.py
  - Equal.py
  - Erf.py
  - Erfc.py
  - EwAlpha.py
  - EwBeta.py
  - EwCorr.py
  - EwCov.py
  - EwGarmanKlassVar.py
  - EwKurt.py
  - EwMean.py
  - EwParkinsonVar.py
  - EwResidualStd.py
  - EwRms.py
  - EwRogersSatchellVar.py
  - EwSkew.py
  - EwSpread.py
  - EwStd.py
  - EwVar.py
  - EwYangZhangVar.py
  - EwZscore.py
  - Exp.py
  - ExpandingKurt.py
  - ExpandingMax.py
  - ExpandingMean.py
  - ExpandingMin.py
  - ExpandingProd.py
  - ExpandingSkew.py
  - ExpandingSlope.py
  - ExpandingStd.py
  - ExpandingSum.py
  - ExpandingVar.py
  - Ffill.py
  - FillNa.py
  - First.py
  - Floor.py
  - FracDiff.py
  - GreaterEqual.py
  - GreaterThan.py
  - HawkesIntensity.py
  - Hold.py
  - HullMA.py
  - Hypot.py
  - Identity.py
  - IsFinite.py
  - IsNan.py
  - KalmanFilter.py
  - KAMA.py
  - Lag.py
  - Last.py
  - LessEqual.py
  - LessThan.py
  - Linear.py
  - Linear2.py
  - Log.py
  - LogReturn.py
  - MACD.py
  - MAMA.py
  - MaxDrawdown.py
  - MFI.py
  - MinusDI.py
  - MinusDM.py
  - Momentum.py
  - MovingAverage.py
  - Mul.py
  - NATR.py
  - NegPart.py
  - Not.py
  - NotEqual.py
  - OBV.py
  - Or.py
  - PlusDI.py
  - PlusDM.py
  - Polar2Cart.py
  - PosPart.py
  - Power.py
  - Relu.py
  - Return.py
  - ROC.py
  - ROCP.py
  - ROCR.py
  - RollingArgmax.py
  - RollingArgmin.py
  - RollingBeta.py
  - RollingCorr.py
  - RollingCov.py
  - RollingGarmanKlassVar.py
  - RollingHitRate.py
  - RollingIqr.py
  - RollingKurt.py
  - RollingMad.py
  - RollingMax.py
  - RollingMean.py
  - RollingMedian.py
  - RollingMedianAD.py
  - RollingMin.py
  - RollingOU.py
  - RollingParkinsonVar.py
  - RollingPoly1.py
  - RollingPoly2.py
  - RollingQuantile.py
  - RollingRange.py
  - RollingRms.py
  - RollingRogersSatchellVar.py
  - RollingRSI.py
  - RollingSigmaClip.py
  - RollingSkew.py
  - RollingStd.py
  - RollingSum.py
  - RollingVar.py
  - RollingVWAP.py
  - RollingYangZhangVar.py
  - RollingZscore.py
  - RoofingFilter.py
  - Round.py
  - SchmittTrigger.py
  - Selu.py
  - Sigmoid.py
  - Sign.py
  - Sin.py
  - Softsign.py
  - Sqrt.py
  - Square.py
  - Stoch.py
  - StochRSI.py
  - Sub.py
  - SuperSmoother.py
  - Tanh.py
  - TEMA.py
  - TRIMA.py
  - TRIX.py
  - TrueRange.py
  - UltimateOscillator.py
  - Where.py
  - WilliamsR.py
  - WMA.py
- - deribit.trades.btc-perpetual.20230804T000000.20230805T000000.csv
  - deribit.trades.eth-perpetual.20230804T000000.20230805T000000.csv
  - deribit_trade_download.py
- - interface_v2.ipynb
- - template_baseline.txt
  - template_doc.txt
- - gen_dag_oracle.py
  - gen_oracle.py
  - gen_ts_api.py
  - gen_wasm_bindings.py
  - gen_wasm_manifest.py
  - wasm_manifest.json
- __init__.py
- build_function_index.py
- build_help_registry.py
- build_topic_pages.py
- check_pure_headers.sh
- generate_screamer__init__.py
- inject_nan_footnote.py
- report_baselines.py
- report_binding.py
- report_class_args.py
- report_docs.py
- stream_diagrams.py
- topics.py
- - backtesting-risk.rst
  - data-prep.rst
  - indicators.rst
  - machine-learning.rst
  - math-logic.rst
  - microstructure.rst
  - smoothing-filters.rst
  - statistics.rst
  - streaming.rst
- - Pipeline.md
- - EwAlpha.md
  - EwBeta.md
  - EwCorr.md
  - EwCov.md
  - EwGarmanKlassVar.md
  - EwGarmanKlassVol.md
  - EwKurt.md
  - EwMean.md
  - EwParkinsonVar.md
  - EwParkinsonVol.md
  - EwResidualStd.md
  - EwRms.md
  - EwRogersSatchellVar.md
  - EwRogersSatchellVol.md
  - EwSkew.md
  - EwSpread.md
  - EwStd.md
  - EwVar.md
  - EwYangZhangVar.md
  - EwYangZhangVol.md
  - EwZscore.md
- - ExpandingKurt.md
  - ExpandingMax.md
  - ExpandingMean.md
  - ExpandingMin.md
  - ExpandingProd.md
  - ExpandingSkew.md
  - ExpandingSlope.md
  - ExpandingStd.md
  - ExpandingSum.md
  - ExpandingVar.md
- - backtest_report.md
  - BacktestL1Orders.md
  - BacktestL1Target.md
  - BacktestL1TradesOrders.md
  - BacktestOHLCOrders.md
  - BacktestOHLCTarget.md
  - BacktestPriceTarget.md
  - BacktestReport.md
  - BacktestTradesOrders.md
  - BacktestTradesTarget.md
  - BayesianRegression.md
  - choosing_a_backtest_engine.md
  - Drawdown.md
  - LogReturn.md
  - MaxDrawdown.md
  - PortfolioReport.md
  - Return.md
  - ROC.md
  - ROCP.md
  - ROCR.md
  - RollingAlpha.md
  - RollingBeta.md
  - RollingCalmar.md
  - RollingCorr.md
  - RollingCov.md
  - RollingCVaR.md
  - RollingDownsideDeviation.md
  - RollingHitRate.md
  - RollingInfoRatio.md
  - RollingLinearRegression.md
  - RollingMaxDrawdown.md
  - RollingOmega.md
  - RollingPercentile.md
  - RollingRank.md
  - RollingResidualStd.md
  - RollingSharpe.md
  - RollingSortino.md
  - RollingSpread.md
  - RollingTSF.md
- - Abs.md
  - Acos.md
  - Add.md
  - And.md
  - Asin.md
  - Atan.md
  - Atan2.md
  - Cart2Polar.md
  - Ceil.md
  - Cos.md
  - Cube.md
  - Div.md
  - Elu.md
  - Equal.md
  - Erf.md
  - Erfc.md
  - Exp.md
  - Floor.md
  - GreaterEqual.md
  - GreaterThan.md
  - Hypot.md
  - IsFinite.md
  - IsNan.md
  - LessEqual.md
  - LessThan.md
  - Linear.md
  - Linear2.md
  - Log.md
  - Mul.md
  - NegPart.md
  - Not.md
  - NotEqual.md
  - Or.md
  - Polar2Cart.md
  - PosPart.md
  - Power.md
  - Relu.md
  - Round.md
  - Selu.md
  - Sigmoid.md
  - Sign.md
  - Sin.md
  - Softsign.md
  - Sqrt.md
  - Square.md
  - Sub.md
  - Tanh.md
  - Where.md
- - AmihudIlliquidity.md
  - BulkVolumeClassifier.md
  - ContOFI.md
  - EffectiveSpread.md
  - EwKyleLambda.md
  - HawkesIntensity.md
  - LeeReadySign.md
  - MicroPrice.md
  - OFI.md
  - Propagator.md
  - QueueImbalance.md
  - RealizedSpread.md
  - RollingKyleLambda.md
  - RollingOrderImbalance.md
  - RollSpread.md
  - SignedVolume.md
  - TickRuleSign.md
  - VPIN.md
- - CumMax.md
  - CumMin.md
  - CumProd.md
  - CumSum.md
  - Detrend.md
  - Diff.md
  - Diff2.md
  - First.md
  - Identity.md
  - Lag.md
  - Last.md
  - Momentum.md
- - Clip.md
  - Ffill.md
  - FillNa.md
- - AD.md
  - ADOSC.md
  - ADX.md
  - ADXR.md
  - ATR.md
  - BollingerBands.md
  - BOP.md
  - CCI.md
  - DEMA.md
  - DonchianChannels.md
  - DX.md
  - Hampel.md
  - HullMA.md
  - ImpulseClip.md
  - KAMA.md
  - KeltnerChannels.md
  - MACD.md
  - MFI.md
  - MinusDI.md
  - MinusDM.md
  - NATR.md
  - OBV.md
  - PlusDI.md
  - PlusDM.md
  - RollingArgmax.md
  - RollingArgmin.md
  - RollingGarmanKlassVar.md
  - RollingGarmanKlassVol.md
  - RollingHurst.md
  - RollingIqr.md
  - RollingKurt.md
  - RollingMad.md
  - RollingMax.md
  - RollingMean.md
  - RollingMedian.md
  - RollingMedianAD.md
  - RollingMin.md
  - RollingMinMax.md
  - RollingOU.md
  - RollingParkinsonVar.md
  - RollingParkinsonVol.md
  - RollingPoly1.md
  - RollingPoly2.md
  - RollingQuantile.md
  - RollingRange.md
  - RollingRms.md
  - RollingRogersSatchellVar.md
  - RollingRogersSatchellVol.md
  - RollingRSI.md
  - RollingSigmaClip.md
  - RollingSkew.md
  - RollingStd.md
  - RollingSum.md
  - RollingVar.md
  - RollingVWAP.md
  - RollingYangZhangVar.md
  - RollingYangZhangVol.md
  - RollingZscore.md
  - Stoch.md
  - StochRSI.md
  - TEMA.md
  - TRIMA.md
  - TRIX.md
  - TrueRange.md
  - UltimateOscillator.md
  - WilliamsR.md
  - WMA.md
- - Butter.md
  - ButterBandpass.md
  - ButterBandstop.md
  - ButterHighpass.md
  - CycleAmplitude.md
  - CycleFrequency.md
  - CyclePhase.md
  - CycleSine.md
  - Decycler.md
  - DominantCycle.md
  - FracDiff.md
  - HilbertPhasor.md
  - Hold.md
  - InstantaneousTrendline.md
  - KalmanFilter.md
  - MAMA.md
  - MovingAverage.md
  - RoofingFilter.md
  - SchmittTrigger.md
  - SuperSmoother.md
  - TrendMode.md
- - CombineLatest.md
  - Delay.md
  - Dropna.md
  - Filter.md
  - from_pandas.md
  - Merge.md
  - Resample.md
  - Select.md
  - split.md
  - Stream.md
  - to_pandas.md
- - forecast_pairs.md
- - 3lines.png
  - per_column.png
  - speed.png
  - speed_chart.png
- - 01-quickstart-polymorphic-api.ipynb
  - 02-window-statistics.ipynb
  - 03-financial-indicators.ipynb
  - 04-signal-processing.ipynb
  - 05-nan-handling.ipynb
  - 06-streaming-live-events.ipynb
  - 07-multi-stream-operators.ipynb
  - 08-pipelines.ipynb
  - 09-bars-from-ticks.ipynb
  - 10-custom-and-multi-column-bars.ipynb
  - 11-microstructure-order-flow.ipynb
  - 12-microstructure-price-impact.ipynb
  - 13-microstructure-toxicity-and-book.ipynb
  - 14-backtesting-a-signal.ipynb
  - 15-event-driven-backtests.ipynb
  - 16-supervised-forecasting.ipynb
  - 17-filtering-and-forecasting-with-uncertainty.ipynb
  - 18-pairs-and-mean-reversion.ipynb
  - 19-cycle-and-spectral-analysis.ipynb
  - index.md
  - README.md
- by_group_index.rst
- changelog.rst
- choosing_an_operator.md
- conf.py
- conventions.md
- function_index.txt
- index.rst
- installation.md
- make.bat
- Makefile
- microstructure.md
- multistream.md
- nan_and_warmup.md
- performance.md
- pipelines.md
- polymorphic_api.md
- references_index.rst
- topics.yml
- usage.md
- lag_example.py
- - ad.h
  - adosc.h
  - adx.h
  - adxr.h
  - amihud_illiquidity.h
  - arithmetic.h
  - atr.h
  - backtest_l1_orders.h
  - backtest_l1_target.h
  - backtest_l1trades_orders.h
  - backtest_ohlc_orders.h
  - backtest_ohlc_target.h
  - backtest_price_target.h
  - backtest_report.h
  - backtest_trades_orders.h
  - backtest_trades_target.h
  - bayesian_regression.h
  - bollinger_bands.h
  - bop.h
  - bulk_volume_classifier.h
  - butter.h
  - butter_bandpass.h
  - butter_bandstop.h
  - butter_highpass.h
  - cci.h
  - clip.h
  - cont_ofi.h
  - cum_max.h
  - cum_min.h
  - cum_prod.h
  - cum_sum.h
  - cycle_amplitude.h
  - cycle_frequency.h
  - cycle_phase.h
  - cycle_sine.h
  - decycler.h
  - dema.h
  - detrend.h
  - diff.h
  - diff2.h
  - dominant_cycle.h
  - donchian_channels.h
  - drawdown.h
  - dx.h
  - effective_spread.h
  - ew_alpha.h
  - ew_beta.h
  - ew_corr.h
  - ew_cov.h
  - ew_kurt.h
  - ew_mean.h
  - ew_residual_std.h
  - ew_rms.h
  - ew_skew.h
  - ew_spread.h
  - ew_std.h
  - ew_var.h
  - ew_yang_zhang.h
  - ew_zscore.h
  - expanding_kurt.h
  - expanding_max.h
  - expanding_mean.h
  - expanding_min.h
  - expanding_prod.h
  - expanding_skew.h
  - expanding_slope.h
  - expanding_std.h
  - expanding_sum.h
  - expanding_var.h
  - ffill.h
  - fillna.h
  - first.h
  - frac_diff.h
  - garman_klass.h
  - geometry.h
  - hampel.h
  - hawkes_intensity.h
  - hilbert_phasor.h
  - hold.h
  - hull_ma.h
  - impulse_clip.h
  - instantaneous_trendline.h
  - kalman_filter.h
  - kama.h
  - keltner_channels.h
  - lag.h
  - last.h
  - lee_ready_sign.h
  - linear.h
  - linear2.h
  - log_return.h
  - logic.h
  - macd.h
  - mama.h
  - max_drawdown.h
  - mfi.h
  - micro_price.h
  - minus_di.h
  - minus_dm.h
  - momentum.h
  - moving_average.h
  - natr.h
  - obv.h
  - ofi.h
  - parkinson.h
  - plus_di.h
  - plus_dm.h
  - portfolio_report.h
  - power.h
  - propagator.h
  - realized_spread.h
  - return.h
  - roc.h
  - rocp.h
  - rocr.h
  - rogers_satchell.h
  - roll_spread.h
  - rolling_alpha.h
  - rolling_argmax.h
  - rolling_argmin.h
  - rolling_beta.h
  - rolling_calmar.h
  - rolling_corr.h
  - rolling_cov.h
  - rolling_cvar.h
  - rolling_downside_deviation.h
  - rolling_hit_rate.h
  - rolling_hurst.h
  - rolling_info_ratio.h
  - rolling_iqr.h
  - rolling_kurt.h
  - rolling_linear_regression.h
  - rolling_mad.h
  - rolling_max.h
  - rolling_max_drawdown.h
  - rolling_mean.h
  - rolling_median.h
  - rolling_median_ad.h
  - rolling_min.h
  - rolling_min_max.h
  - rolling_omega.h
  - rolling_ou.h
  - rolling_percentile.h
  - rolling_poly1.h
  - rolling_poly2.h
  - rolling_quantile.h
  - rolling_range.h
  - rolling_rank.h
  - rolling_residual_std.h
  - rolling_rms.h
  - rolling_rsi.h
  - rolling_sharpe.h
  - rolling_sigma_clip.h
  - rolling_skew.h
  - rolling_sortino.h
  - rolling_spread.h
  - rolling_std.h
  - rolling_sum.h
  - rolling_tsf.h
  - rolling_var.h
  - rolling_zscore.h
  - roofing_filter.h
  - schmitt_trigger.h
  - stoch.h
  - stoch_rsi.h
  - super_smoother.h
  - tema.h
  - tick_rule_sign.h
  - transform_functions.h
  - trend_mode.h
  - trima.h
  - trix.h
  - true_range.h
  - ultimate_oscillator.h
  - vpin.h
  - vwap.h
  - williams_r.h
  - wma.h
  - yang_zhang.h
- - README.md
  - throughput.mjs
- - environments.md
  - getting-started.md
  - index.md
  - lifecycle.md
  - live-demo.md
  - parity.md
  - pipeline.md
  - regimes.md
- - live-trades.html
- - pack-smoke.sh
- - codes.ts
  - combinators.ts
  - errors.ts
  - index.ts
  - loader.ts
  - ndarray.ts
  - node.ts
  - pipeline.ts
  - runtime.ts
- - combinators.test.ts
  - dag_lifetime.test.ts
  - dag_parity.test.ts
  - lifecycle.test.ts
  - live.test.ts
  - loader.test.ts
  - ops.test.ts
  - parity.test.ts
  - pipeline.test.ts
  - reducer.test.ts
  - regimes.test.ts
  - runtime.test.ts
- .gitignore
- package-lock.json
- package.json
- README.md
- tsconfig.cjs.json
- tsconfig.json
- typedoc.json
- - help.json
- __init__.py
- _async.py
- _functor_params.py
- backtest.py
- dag.py
- dag_io.py
- dag_viz.py
- microstructure.py
- streams.py
- supervised.py
- __init__.py
- _dag_oracle.py
- param_cases.py
- regime_helpers.py
- test_adx_and_volume.py
- test_arithmetic.py
- test_atr_family.py
- test_backtest.py
- test_baseline_coverage.py
- test_baseline_defaults.py
- test_baselines.py
- test_bayesian_regression.py
- test_build_help_registry.py
- test_channels_and_yz.py
- test_combine_latest_flush.py
- test_contract_compliance.py
- test_cumulative.py
- test_cycle.py
- test_dag_build.py
- test_dag_codes_sync.py
- test_dag_compile.py
- test_dag_delay.py
- test_dag_dropna.py
- test_dag_engine.py
- test_dag_exec.py
- test_dag_identity.py
- test_dag_io.py
- test_dag_lazy.py
- test_dag_public_api.py
- test_dag_resample.py
- test_dag_select.py
- test_dag_stream.py
- test_dag_viz.py
- test_dag_watermark.py
- test_diff2.py
- test_dmi.py
- test_doc_coverage.py
- test_documented_defaults.py
- test_dropna_node_backing.py
- test_ehlers_filters.py
- test_evalop.py
- test_evalop_registry.py
- test_ew_moments.py
- test_ew_pair.py
- test_expanding.py
- test_extremum_worst_case.py
- test_filter_gate.py
- test_filter_node_graph.py
- test_first_last.py
- test_frac_diff.py
- test_functor_params.py
- test_geometry.py
- test_hampel.py
- test_hold.py
- test_impulse_clip.py
- test_input_dtypes.py
- test_io_size.py
- test_kama.py
- test_lazy_iterator_lifetime.py
- test_lazy_streaming.py
- test_length1_rank_dispatch.py
- test_linear2.py
- test_logic_ops.py
- test_macd.py
- test_math_transforms.py
- test_matrix.py
- test_merge_lazy_cpp.py
- test_microstructure.py
- test_module_loader.py
- test_momentum_family.py
- test_moving_averages.py
- test_multi_resample_dict.py
- test_nan_input_compliance.py
- test_nan_start_policy_compliance.py
- test_nan_warmup.py
- test_ntuple_input.py
- test_ohlc_volatility.py
- test_one_input_multi_output.py
- test_op_config_shape.py
- test_oscillators_hlc.py
- test_overlays.py
- test_parity_registration.py
- test_performance_risk.py
- test_pos_neg_part.py
- test_pure_headers.py
- test_range_volatility.py
- test_regression_family.py
- test_resample_advance.py
- test_resample_bars.py
- test_resample_clock.py
- test_resample_cumulative.py
- test_resample_dict_agg.py
- test_resample_fill.py
- test_resample_freq_window.py
- test_resample_functor_agg.py
- test_resample_ohlcv.py
- test_risk_stats.py
- test_rolling_argmin_argmax.py
- test_rolling_corr.py
- test_rolling_hurst.py
- test_rolling_iqr.py
- test_rolling_mad.py
- test_rolling_median_ad.py
- test_rolling_range.py
- test_rolling_rsi.py
- test_rolling_two_input.py
- test_schmitt_trigger.py
- test_select_node_backing.py
- test_signal.py
- test_start_policies.py
- test_stoch.py
- test_stream_columns.py
- test_stream_type.py
- test_stream_vs_batch.py
- test_stream_vs_generator.py
- test_streams_combine.py
- test_streams_combine_latest.py
- test_streams_core.py
- test_streams_delay.py
- test_streams_identity.py
- test_streams_merge.py
- test_streams_polymorphism.py
- test_streams_public_api.py
- test_streams_resample.py
- test_streams_select.py
- test_streams_shape.py
- test_supervised_forecast_pairs.py
- test_tensor.py
- test_third_party_alignment.py
- test_ts_api_fresh.py
- test_v1_api_hardening.py
- test_view.py
- test_wasm_codegen_fresh.py
- test_williams_r.py
- test_wma.py
- - bindings_wasm.cpp
- - dag_oracle.json
  - dag_smoke.mjs
  - oracle.json
  - oracle_reducer.json
  - smoke.mjs
- .gitignore
- build-wasm.sh
- CMakeLists.txt
- dag_bindings.cpp
- dag_embind.h
- embind_runtime.h
.gitignore
.readthedocs.yaml
AUTHORS.md
CHANGELOG.md
CMakeLists.txt
CODE_OF_CONDUCT.md
CONTRIBUTING.md
LICENSE
Makefile
poetry.lock
pyproject.toml
pytest.ini
README.md
SECURITY.md
tasks.py

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