kanwardusaj / wqu_machinelearning_finance

Create structured financial data in the form of tick, volume, and dollar bars from unstructured tick data. From Marcos Lopez de Prado's Advances in Financial Machine Learning textbook.

Machine Learning in Finance

Create structured financial data in the form of tick, volume, and dollar bars from unstructured tick data. From Marcos Lopez de Prado's Advances in Financial Machine Learning textbook. This implementation is for Windows OS as setting up cython may be challenging for many users in Windows. Connect with me for Linux / Mac OS Implementations.

This repo shall help future students of World Quant university.

Getting Started

For running this repository follow below steps for getting started in Windows -

1: install cython by running conda install -c anaconda cython in Anaconda prompt

2: go in C:\Users\Utilisateur\Anaconda3\Lib\distutils or wherever your distutils library is the create a distutils.cfg file (by using the notepad) and put [build]
compiler=mingw32 in it

3: get the latest version of Mingw-w64 (not just Mingw which support just 32 bits) at https://sourceforge.net/projects/mingw-w64/files/ and install it

4: add C:\Program Files (x86)\mingw-w64\i686-8.1.0-posix-dwarf-rt_v6-rev0\mingw32\bin to your Path here is a link on how to do that on windows 10: https://www.architectryan.com/2018/03/17/add-to-the-path-on-windows-10/

5: install libpython and m2w64-toolchain in your anaconda envirement by running conda install -c anaconda libpython and conda install -c msys2 m2w64-toolchain It come from these webpage https://python-at-risoe.pages.windenergy.dtu.dk/compiling-on-windows/common_errors.html and should correct the corresponding errors

Prerequisites

Ananconda

Cython

Installing

Install below libraries

conda install -c anaconda statsmodels

pip install seaborn

pip install cython

pip install pandas

pip install python

Built With

Anaconda

Jupyter Notebook

Run Instruction

Build C packages using command - python setup.py build_ext --inplace

Then run - python main.py in anaconda prompt

Contributing

NA

Versioning

Original version 10th September 2019

Authors

Kanwar Dusaj - Initial work -

License

This project is licensed under the MIT License - see the LICENSE.md file for details

Acknowledgments

https://github.com/Jackal08