Index

A

actions (forecasting.data.loader.SimulationData attribute)

add_experiment() (forecasting.simulation.analysis_harness.AnalysisHarness method) AnalysisHarness (class in forecasting.simulation.analysis_harness)

B

BacktestHarness (class in forecasting.simulation.backtest_harness)

BaseHarness (class in forecasting.simulation.harness_base)

C

columns (forecasting.simulation.analysis_harness.AnalysisHarness property)

compute_global_metric() (forecasting.simulation.analysis_harness.AnalysisHarness method)

D

DataLoader (class in forecasting.data.loader)

E

Engine (C++ class)

Engine::book (C++ function), [1] Engine::run_simulation (C++ function)

F

Feature (C++ class) Feature::compute (C++ function) Feature::Feature (C++ function) Feature::get_name (C++ function) Feature::m_name (C++ member) Feature::~Feature (C++ function) flags (forecasting.data.loader.SimulationData attribute) forecasting module forecasting.data module forecasting.data.loader module

forecasting.metrics module forecasting.simulation module forecasting.simulation.analysis_harness module forecasting.simulation.backtest_harness module forecasting.simulation.harness_base module forecasting.simulation.worker module from_yaml() (forecasting.simulation.backtest_harness.BacktestHarness class method)

G

get_experiment() (forecasting.simulation.analysis_harness.AnalysisHarness method) get_features() (forecasting.simulation.analysis_harness.AnalysisHarness method) get_market_subsampled_df() (forecasting.simulation.backtest_harness.BacktestHarness method)

get_metrics() (forecasting.simulation.analysis_harness.AnalysisHarness method) get_subsampled_df() (forecasting.simulation.analysis_harness.AnalysisHarness method) get_targets() (forecasting.simulation.analysis_harness.AnalysisHarness method)

I

instrument_id (forecasting.data.loader.SimulationData attribute)

L

load() (forecasting.data.loader.DataLoader method)

M

module forecasting forecasting.data forecasting.data.loader forecasting.metrics forecasting.simulation forecasting.simulation.analysis_harness forecasting.simulation.backtest_harness forecasting.simulation.harness_base forecasting.simulation.worker

N

n_events (forecasting.data.loader.SimulationData attribute)

O

order_ids (forecasting.data.loader.SimulationData attribute) OrderBook (C++ class) OrderBook::last_action (C++ member) OrderBook::last_trade_price (C++ member) OrderBook::last_trade_side (C++ member) OrderBook::last_trade_size (C++ member) OrderBook::last_ts (C++ member) OrderBook::OrderBook (C++ function) OrderBook::process_event (C++ function) OrderBookView (C++ class) OrderBookView::get_ask_depth (C++ function) OrderBookView::get_ask_price (C++ function) OrderBookView::get_ask_size (C++ function) OrderBookView::get_bid_depth (C++ function) OrderBookView::get_bid_price (C++ function) OrderBookView::get_bid_size (C++ function)

OrderBookView::get_depth_volume (C++ function) OrderBookView::get_last_action (C++ function) OrderBookView::get_last_trade_price (C++ function) OrderBookView::get_last_trade_side (C++ function) OrderBookView::get_last_trade_size (C++ function) OrderBookView::get_last_ts (C++ function) OrderBookView::get_level (C++ function) OrderBookView::get_mid_price (C++ function) OrderBookView::get_order_snapshot (C++ function) OrderBookView::get_orders_at_level_snapshot (C++ function), [1] OrderBookView::get_price_at_level (C++ function) OrderBookView::get_spread (C++ function) OrderBookView::get_vol_at_level (C++ function) OrderBookView::get_vwaa (C++ function) OrderBookView::get_vwap_depth (C++ function) OrderBookView::OrderBookView (C++ function)

P

pipelines (forecasting.simulation.analysis_harness.AnalysisHarness attribute)

prices (forecasting.data.loader.SimulationData attribute)

R

run_distributed() (forecasting.simulation.backtest_harness.BacktestHarness method)

run_sequential() (forecasting.simulation.backtest_harness.BacktestHarness method) run_single_day() (in module forecasting.simulation.worker)

S

sides (forecasting.data.loader.SimulationData attribute) SimulationData (class in forecasting.data.loader) SimulationResult (C++ struct)

SimulationResult::data (C++ member) SimulationResult::name (C++ member) sink_experiment() (forecasting.simulation.analysis_harness.AnalysisHarness method) sizes (forecasting.data.loader.SimulationData attribute)

T

to_analysis() (forecasting.simulation.backtest_harness.BacktestHarness method) trading::Action (C++ enum) trading::Action::Add (C++ enumerator) trading::Action::Cancel (C++ enumerator) trading::Action::Clear (C++ enumerator) trading::Action::Fill (C++ enumerator) trading::Action::Modify (C++ enumerator) trading::Action::None (C++ enumerator) trading::Action::Trade (C++ enumerator) trading::Event (C++ struct) trading::Event::action (C++ member) trading::Event::flag (C++ member) trading::Event::oid (C++ member) trading::Event::price (C++ member) trading::Event::side (C++ member) trading::Event::ts_recv (C++ member) trading::Event::volume (C++ member) trading::EventFlags (C++ type) trading::FLAG_TOB (C++ member) trading::Level (C++ struct) trading::Level::count (C++ member) trading::Level::head (C++ member) trading::Level::next_level (C++ member)

trading::Level::prev_level (C++ member) trading::Level::price (C++ member) trading::Level::total_vol (C++ member) trading::Order (C++ struct) trading::Order::birth_tick (C++ member) trading::Order::level (C++ member) trading::Order::next (C++ member) trading::Order::oid (C++ member) trading::Order::prev (C++ member) trading::Order::price (C++ member) trading::Order::side (C++ member) trading::Order::volume (C++ member) trading::OrderId (C++ type) trading::Price (C++ type) trading::SENTINEL_PRICE (C++ member) trading::Side (C++ enum) trading::Side::Ask (C++ enumerator) trading::Side::Bid (C++ enumerator) trading::Side::None (C++ enumerator) trading::TimeStamp (C++ type) trading::Volume (C++ type) transforms (forecasting.simulation.analysis_harness.AnalysisHarness attribute) ts_recvs (forecasting.data.loader.SimulationData attribute)