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Functions1,255 in github.com/Open-Quant/openquant

⨍ Functions 1,255◇ Types & classes 174↳ Endpoints 2
↓ 2 callersFunctionascii_table
()
crates/openquant/src/microstructural_features.rs:429
↓ 2 callersFunctionaverage_holding_period
(target_positions: &[(NaiveDateTime, f64)])
crates/openquant/src/backtest_statistics.rs:34
↓ 2 callersFunctionaverage_pairwise_prediction_correlation
( per_model_predictions: &[Vec<f64>], )
crates/openquant/src/ensemble_methods.rs:182
↓ 2 callersFunctionbet_size_dynamic_checked
( pos: &[f64], max_pos: &[f64], m_p: &[f64], f: &[f64], )
crates/openquant/src/bet_sizing.rs:365
↓ 2 callersFunctionbet_size_reserve
( t1: &[(NaiveDateTime, NaiveDateTime)], side: &[f64], fit: &[f64; 5], )
crates/openquant/src/bet_sizing.rs:562
↓ 2 callersFunctionbias_variance_noise
( y_true: &[f64], per_model_predictions: &[Vec<f64>], )
crates/openquant/src/ensemble_methods.rs:36
↓ 2 callersFunctionbootstrap_sample_indices
( n_samples: usize, sample_size: usize, seed: u64, )
crates/openquant/src/ensemble_methods.rs:86
↓ 2 callersFunctionbuild_bounds
(n: usize, bounds: &WeightBounds)
crates/openquant/src/cla.rs:443
↓ 2 callersFunctionbuild_data
(n: usize)
crates/openquant/tests/backtesting_engine.rs:7
↓ 2 callersMethodcalculate_conditional_drawdown_risk_from_matrix
( &self, returns: &DMatrix<f64>, confidence_level: f64, )
crates/openquant/src/risk_metrics.rs:101
↓ 2 callersMethodcalculate_expected_shortfall_from_matrix
( &self, returns: &DMatrix<f64>, confidence_level: f64, )
crates/openquant/src/risk_metrics.rs:61
↓ 2 callersMethodcalculate_value_at_risk_from_matrix
( &self, returns: &DMatrix<f64>, confidence_level: f64, )
crates/openquant/src/risk_metrics.rs:40
↓ 2 callersMethodcardinality
(self)
crates/openquant/src/combinatorial_optimization.rs:64
↓ 2 callersFunctioncenter
(v: &[f64])
crates/openquant/src/fingerprint.rs:274
↓ 2 callersFunctionchapter_eq
(left: str, right: str)
scripts/afml_docs_loop.py:112
↓ 2 callersFunctioncheck_bounds_feasible
(bounds: &[(f64, f64)])
crates/openquant/src/cla.rs:455
↓ 2 callersFunctionclean_ohlcv
( df: pl.DataFrame, *, dedupe_keep: str = "last", return_report: bool = False, )
python/openquant/data.py:170
↓ 2 callersFunctionclean_ohlcv_columns
( columns: &OhlcvColumns, keep_last: bool, )
crates/openquant/src/data_processing.rs:379
↓ 2 callersFunctioncluster_conditional_drawdown
( returns: &DMatrix<f64>, cov: &DMatrix<f64>, confidence_level: f64, indices: &[usize], )
crates/openquant/src/hcaa.rs:431
↓ 2 callersFunctioncluster_expected_shortfall
( returns: &DMatrix<f64>, cov: &DMatrix<f64>, confidence_level: f64, indices: &[usize], )
crates/openquant/src/hcaa.rs:408
↓ 2 callersFunctioncluster_sharpe
( expected: &[f64], cov: &DMatrix<f64>, indices: &[usize], )
crates/openquant/src/hcaa.rs:380
↓ 2 callersFunctioncluster_variance
(cov: &DMatrix<f64>, indices: &[usize])
crates/openquant/src/hrp.rs:331
↓ 2 callersFunctioncomb
(n: usize, k: usize)
crates/openquant/src/ef3m.rs:28
↓ 2 callersFunctioncompute_etf_series
( open: &Table, close: &Table, alloc: &Table, costs: &Table, rates: Option<&Table>, )
crates/openquant/src/etf_trick.rs:196
↓ 2 callersFunctioncompute_pca
( feature_rows: &[Vec<f64>], variance_thresh: f64, )
crates/openquant/src/feature_importance.rs:207
↓ 2 callersFunctioncontiguous_folds
(n_samples: usize, n_folds: usize)
crates/openquant/src/backtesting_engine.rs:488
↓ 2 callersFunctioncorr_to_distance
(corr: &DMatrix<f64>)
crates/openquant/src/onc.rs:316
↓ 2 callersFunctiondiagnostics_to_dict
(py: Python<'_>, d_in: &openquant::synthetic_backtesting::StabilityDiagnostics)
crates/pyopenquant/src/synthetic_bt.rs:29
↓ 2 callersFunctionefficient_risk_from_inputs
( exp_ret: &[f64], cov: &DMatrix<f64>, target_return: f64, bounds: &[(f64, f64)], _risk_fr
crates/openquant/src/portfolio_optimization.rs:354
↓ 2 callersFunctionevaluate_rule_on_paths
( paths: &[Vec<f64>], rule: TradingRule, max_holding_steps: usize, annualization_factor: f64,
crates/openquant/src/synthetic_backtesting.rs:197
↓ 2 callersFunctionevaluate_splits
( splits: &[SplitDefinition], evaluator: &mut E, )
crates/openquant/src/backtesting_engine.rs:374
↓ 2 callersFunctionfeature_pca_analysis
( feature_rows: &[Vec<f64>], feature_importance_mean: &[f64], variance_thresh: f64, )
crates/openquant/src/feature_importance.rs:145
↓ 2 callersFunctionfilter_hits_to_chapter
(hits: list[dict[str, Any]], chapter: str)
scripts/afml_docs_loop.py:119
↓ 2 callersFunctionfit_impl
( predictor: F, x: &[Vec<f64>], num_values: usize, pairwise_combinations: Option<&[(usize, usi
crates/openquant/src/fingerprint.rs:127
↓ 2 callersFunctionfixture_dir
()
crates/openquant/tests/filters.rs:19
↓ 2 callersFunctionfixture_dir
()
crates/openquant/tests/etf_trick.rs:3
↓ 2 callersFunctionfixture_dir
()
crates/openquant/tests/futures_roll.rs:18
↓ 2 callersFunctionflush_section
()
scripts/afml_semantic_index.py:186
↓ 2 callersFunctionfrac_diff
(series: &[f64], diff_amt: f64, thresh: f64)
crates/openquant/src/fracdiff.rs:40
↓ 2 callersFunctionfrac_diff_ffd
(series: &[f64], diff_amt: f64, thresh: f64)
crates/openquant/src/fracdiff.rs:73
↓ 2 callersMethodframe
(self)
python/openquant/adapters.py:146
↓ 2 callersFunctionget_av_uniqueness_from_triple_barrier
Average uniqueness from triple barrier events (index + t1).
crates/openquant/src/sampling.rs:119
↓ 2 callersFunctionget_avg_tick_size
(tick_sizes: &[f64])
crates/openquant/src/microstructural_features.rs:356
↓ 2 callersFunctionget_bar_based_amihud_lambda
( close: &[f64], dollar_volume: &[f64], window: usize, )
crates/openquant/src/microstructural_features.rs:228
↓ 2 callersFunctionget_bar_based_hasbrouck_lambda
( close: &[f64], dollar_volume: &[f64], window: usize, )
crates/openquant/src/microstructural_features.rs:262
↓ 2 callersFunctionget_bar_based_kyle_lambda
(close: &[f64], volume: &[f64], window: usize)
crates/openquant/src/microstructural_features.rs:197
↓ 2 callersFunctionget_bekker_parkinson_vol
(high: &[f64], low: &[f64], window: usize)
crates/openquant/src/microstructural_features.rs:175
↓ 2 callersFunctionget_bvc_buy_volume
(close: &[f64], volume: &[f64], window: usize)
crates/openquant/src/microstructural_features.rs:384
↓ 2 callersFunctionget_chow_type_stat
( _log_prices: &[f64], _min_length: usize, )
crates/openquant/src/structural_breaks.rs:24
↓ 2 callersFunctionget_corwin_schultz_estimator
(high: &[f64], low: &[f64], window: usize)
crates/openquant/src/microstructural_features.rs:158
↓ 2 callersFunctionget_garman_class_vol
Garman-Klass volatility estimator. Mirrors mlfinlab.util.volatility.get_garman_class_vol.
crates/openquant/src/util/volatility.rs:67
↓ 2 callersFunctionget_onc_clusters
(corr_mat: &DMatrix<f64>, repeat: usize)
crates/openquant/src/onc.rs:41
↓ 2 callersFunctionget_parksinson_vol
Parkinson volatility estimator. Mirrors mlfinlab.util.volatility.get_parksinson_vol.
crates/openquant/src/util/volatility.rs:52
↓ 2 callersFunctionget_roll_impact
(close: &[f64], dollar_volume: &[f64], window: usize)
crates/openquant/src/microstructural_features.rs:45
↓ 2 callersFunctionget_trades_based_amihud_lambda
(log_ret: &[f64], dollar_volume: &[f64])
crates/openquant/src/microstructural_features.rs:321
↓ 2 callersFunctionget_trades_based_hasbrouck_lambda
( log_ret: &[f64], dollar_volume: &[f64], aggressor_flags: &[f64], )
crates/openquant/src/microstructural_features.rs:331
↓ 2 callersFunctionget_trades_based_kyle_lambda
( price_diff: &[f64], volume: &[f64], aggressor_flags: &[f64], )
crates/openquant/src/microstructural_features.rs:306
↓ 2 callersFunctionget_w
(price_div: f64, m_bet_size: f64, func: &str)
crates/openquant/src/bet_sizing.rs:229
↓ 2 callersFunctionget_w_checked
(price_div: f64, m_bet_size: f64, func: &str)
crates/openquant/src/bet_sizing.rs:233
↓ 2 callersFunctionget_weights_by_return
Sample weights by return attribution.
crates/openquant/src/sample_weights.rs:50
↓ 2 callersFunctionget_yang_zhang_vol
Yang-Zhang volatility estimator. Mirrors mlfinlab.util.volatility.get_yang_zhang_vol.
crates/openquant/src/util/volatility.rs:95
↓ 2 callersFunctionhistogram2d
(x: &[f64], y: &[f64], n_bins: usize)
crates/openquant/src/codependence.rs:81
↓ 2 callersFunctionimbalance_bars
Construct imbalance bars by accumulating signed imbalance (tick, volume, or dollar) until the absolute imbalance crosses `threshold`. Trailing partial
crates/openquant/src/data_structures.rs:166
↓ 2 callersFunctionimplied_frequency_asymmetric
( precision: f64, target_sharpe: f64, payout: AsymmetricPayout, )
crates/openquant/src/strategy_risk.rs:166
↓ 2 callersFunctionimplied_frequency_symmetric
( precision: f64, target_sharpe: f64, )
crates/openquant/src/strategy_risk.rs:82
↓ 2 callersFunctionimplied_precision_symmetric
( target_sharpe: f64, annual_bet_frequency: f64, )
crates/openquant/src/strategy_risk.rs:63
↓ 2 callersFunctioninformation_ratio
(returns: &[f64], benchmark: f64, entries_per_year: f64)
crates/openquant/src/backtest_statistics.rs:180
↓ 2 callersFunctioninverse_variance
(cov: &DMatrix<f64>, bounds: &[(f64, f64)])
crates/openquant/src/portfolio_optimization.rs:282
↓ 2 callersFunctionis_better
(candidate: f64, incumbent: f64, sense: ObjectiveSense)
crates/openquant/src/combinatorial_optimization.rs:479
↓ 2 callersFunctionis_probably_boilerplate
(line: str)
scripts/afml_semantic_index.py:86
↓ 2 callersMethoditer_4
(&self, mu_2: f64, p_1: f64)
crates/openquant/src/ef3m.rs:101
↓ 2 callersMethoditer_5
(&self, mu_2: f64, p_1: f64)
crates/openquant/src/ef3m.rs:145
↓ 2 callersFunctionlimit_price
(t_pos: f64, pos: f64, f: f64, w: f64, max_pos: f64, func: &str)
crates/openquant/src/bet_sizing.rs:262
↓ 2 callersFunctionload_close_series
()
crates/openquant/tests/fracdiff.rs:4
↓ 2 callersFunctionload_dollar_bar_sample
()
crates/openquant/tests/backtest_statistics.rs:11
↓ 2 callersFunctionload_fixture
()
crates/openquant/tests/portfolio_optimization.rs:31
↓ 2 callersFunctionlog_returns
(series: &[(NaiveDateTime, f64)])
crates/openquant/tests/backtest_statistics.rs:25
↓ 2 callersFunctionmake_dataset
()
crates/openquant/tests/feature_importance.rs:63
↓ 2 callersFunctionmake_series
( start: &str, periods: usize, freq_minutes: i64, )
crates/openquant/tests/hyperparameter_tuning.rs:12
↓ 2 callersFunctionmaybe_record_progress
( progress: &mut Vec<ProgressSnapshot>, elapsed: Duration, completed_molecules: usize, total_m
crates/openquant/src/hpc_parallel.rs:382
↓ 2 callersFunctionmda_importance
( X: Sequence[Sequence[float]], y: Sequence[float], feature_names: Sequence[str] | None = None,
python/openquant/feature_diagnostics.py:342
↓ 2 callersFunctionmean_decrease_accuracy
( model: &mut C, x: &[Vec<f64>], y: &[f64], feature_names: &[String], splits: &[(Vec<usize
crates/openquant/src/feature_importance.rs:58
↓ 2 callersFunctionmean_decrease_impurity
( per_tree_importances: &[Vec<f64>], feature_names: &[String], )
crates/openquant/src/feature_importance.rs:21
↓ 2 callersFunctionminimum_track_record_length
( observed_sr: f64, benchmark_sr: f64, skewness: f64, kurtosis: f64, alpha: f64, )
crates/openquant/src/backtest_statistics.rs:234
↓ 2 callersFunctionnormal_pdf
(x: f64, mu: f64, sigma: f64)
crates/openquant/src/bet_sizing.rs:429
↓ 2 callersFunctionnormalize_text
(text: str)
scripts/afml_semantic_index.py:73
↓ 2 callersFunctionnormalize_usize_map
(effect: &BTreeMap<usize, f64>)
crates/openquant/src/fingerprint.rs:279
↓ 2 callersFunctionnum_concurrent_events
Number of concurrent events per bar.
crates/openquant/src/sampling.rs:140
↓ 2 callersFunctionnum_concurrent_events
Compute number of concurrent events for each timestamp.
crates/openquant/src/sample_weights.rs:6
↓ 2 callersFunctionols_line
(x: &[f64], y: &[f64])
crates/openquant/src/fingerprint.rs:310
↓ 2 callersFunctionones
(n: usize)
crates/openquant/src/portfolio_optimization.rs:200
↓ 2 callersFunctionotr_result_to_dict
(py: Python<'_>, r: openquant::synthetic_backtesting::OtrSearchResult)
crates/pyopenquant/src/synthetic_bt.rs:41
↓ 2 callersFunctionou_params_to_dict
(py: Python<'_>, p: &openquant::synthetic_backtesting::OuProcessParams)
crates/pyopenquant/src/synthetic_bt.rs:6
↓ 2 callersFunctionparse_datetime
(s: &str)
crates/openquant/src/microstructural_features.rs:503
↓ 2 callersFunctionparse_vertical_barriers
( values: Option<Vec<(String, String)>>, )
crates/pyopenquant/src/helpers.rs:60
↓ 2 callersFunctionpearson_corr
(x: &[f64], y: &[f64])
crates/openquant/src/feature_importance.rs:414
↓ 2 callersFunctionpick_hit_in_chapter
(results: list[dict[str, Any]], chapter: str)
scripts/afml_docs_loop.py:123
↓ 2 callersMethodplot_effects
(&self)
crates/openquant/src/fingerprint.rs:69
↓ 2 callersFunctionproject_to_bounds
(weights: &mut [f64], bounds: &[(f64, f64)])
crates/openquant/src/cla.rs:465
↓ 2 callersFunctionquality_report_columns
( columns: &OhlcvColumns, rows_removed_by_deduplication: usize, )
crates/openquant/src/data_processing.rs:371
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