/microprice

A Jax implementation of Micro-Price: a high frequency estimator of future prices.

Primary LanguagePythonMIT LicenseMIT

microprice

Python PyPI - Python Version GitHub

A Jax implementation of Micro-Price: A High Frequency Estimator of Future Prices.

Installation

pip install microprice

Usage

from microprice import MicroPriceEstimator, load_sample_data

mpe = MicroPriceEstimator(symbol="AAPL",
                          n_imbalances=10,
                          n_spread=2,
                          dt=1)

T = mpe.load(load_sample_data())

mpe.fit(T, iterations=6)