Change documentation 📄

.vscode/settings.json

@@ -0,0 +1,3 @@
+{
+    "esbonio.sphinx.confDir": ""
+}

README.md

@@ -0,0 +1,39 @@
+![GitHubActions](https://github.com/karelze/tclf//actions/workflows/tests.yaml/badge.svg)
+![Codecov](https://codecov.io/gh/karlze/tclf/branch/master/graph/badge.svg)
+![CircleCI](https://dl.circleci.com/status-badge/img/gh/KarelZe/tclf/tree/master.svg?style=svg)
+![ReadTheDocs](https://readthedocs.org/projects/tclf/badge/?version=latest)
+
+# TCLF 💸
+
+[`scikit-learn`](https://scikit-learn.org/stable/)-compatible implementation of popular trade classification algorithms to classify financial markets transactions into buyer- and seller-initiated trades.
+
+## Algorithms
+
+- Tick test
+- Quote rule
+- LR algorithm
+- EMO rule
+- CLNV rule
+- Depth rule
+- Tradesize rule
+
+## Usage
+
+<https://tclf.readthedocs.io/en/latest/quick_start.html>
+
+## References
+
+<div class="csl-bib-body" style="line-height: 2; margin-left: 2em; text-indent:-2em;">
+  <div class="csl-entry">Chakrabarty, B., Li, B., Nguyen, V., &amp; Van Ness, R. A. (2007). Trade classification algorithms for electronic communications network trades. <i>Journal of Banking &amp; Finance</i>, <i>31</i>(12), 3806–3821. <a href="https://doi.org/10.1016/j.jbankfin.2007.03.003">https://doi.org/10.1016/j.jbankfin.2007.03.003</a></div>
+  <span class="Z3988" title="url_ver=Z39.88-2004&amp;ctx_ver=Z39.88-2004&amp;rfr_id=info%3Asid%2Fzotero.org%3A2&amp;rft_id=info%3Adoi%2F10.1016%2Fj.jbankfin.2007.03.003&amp;rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&amp;rft.genre=article&amp;rft.atitle=Trade%20classification%20algorithms%20for%20electronic%20communications%20network%20trades&amp;rft.jtitle=Journal%20of%20Banking%20%26%20Finance&amp;rft.volume=31&amp;rft.issue=12&amp;rft.aufirst=Bidisha&amp;rft.aulast=Chakrabarty&amp;rft.au=Bidisha%20Chakrabarty&amp;rft.au=Bingguang%20Li&amp;rft.au=Vanthuan%20Nguyen&amp;rft.au=Robert%20A.%20Van%20Ness&amp;rft.date=2007&amp;rft.pages=3806%E2%80%933821&amp;rft.spage=3806&amp;rft.epage=3821"></span>
+  <div class="csl-entry">Ellis, K., Michaely, R., &amp; O’Hara, M. (2000). The accuracy of trade classification rules: Evidence from nasdaq. <i>The Journal of Financial and Quantitative Analysis</i>, <i>35</i>(4), 529–551. <a href="https://doi.org/10.2307/2676254">https://doi.org/10.2307/2676254</a></div>
+  <span class="Z3988" title="url_ver=Z39.88-2004&amp;ctx_ver=Z39.88-2004&amp;rfr_id=info%3Asid%2Fzotero.org%3A2&amp;rft_id=info%3Adoi%2F10.2307%2F2676254&amp;rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&amp;rft.genre=article&amp;rft.atitle=The%20accuracy%20of%20trade%20classification%20rules%3A%20evidence%20from%20nasdaq&amp;rft.jtitle=The%20Journal%20of%20Financial%20and%20Quantitative%20Analysis&amp;rft.volume=35&amp;rft.issue=4&amp;rft.aufirst=Katrina&amp;rft.aulast=Ellis&amp;rft.au=Katrina%20Ellis&amp;rft.au=Roni%20Michaely&amp;rft.au=Maureen%20O'Hara&amp;rft.date=2000&amp;rft.pages=529%E2%80%93551&amp;rft.spage=529&amp;rft.epage=551"></span>
+  <div class="csl-entry">Grauer, C., Schuster, P., &amp; Uhrig-Homburg, M. (2023). <i>Option trade classification</i>. <a href="https://doi.org/10.2139/ssrn.4098475">https://doi.org/10.2139/ssrn.4098475</a></div>
+  <span class="Z3988" title="url_ver=Z39.88-2004&amp;ctx_ver=Z39.88-2004&amp;rfr_id=info%3Asid%2Fzotero.org%3A2&amp;rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&amp;rft.type=document&amp;rft.title=Option%20trade%20classification&amp;rft.aufirst=Caroline&amp;rft.aulast=Grauer&amp;rft.au=Caroline%20Grauer&amp;rft.au=Philipp%20Schuster&amp;rft.au=Marliese%20Uhrig-Homburg&amp;rft.date=2023"></span>
+  <div class="csl-entry">Harris, L. (1989). A day-end transaction price anomaly. <i>The Journal of Financial and Quantitative Analysis</i>, <i>24</i>(1), 29. <a href="https://doi.org/10.2307/2330746">https://doi.org/10.2307/2330746</a></div>
+  <span class="Z3988" title="url_ver=Z39.88-2004&amp;ctx_ver=Z39.88-2004&amp;rfr_id=info%3Asid%2Fzotero.org%3A2&amp;rft_id=info%3Adoi%2F10.2307%2F2330746&amp;rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&amp;rft.genre=article&amp;rft.atitle=A%20day-end%20transaction%20price%20anomaly&amp;rft.jtitle=The%20Journal%20of%20Financial%20and%20Quantitative%20Analysis&amp;rft.volume=24&amp;rft.issue=1&amp;rft.aufirst=Lawrence&amp;rft.aulast=Harris&amp;rft.au=Lawrence%20Harris&amp;rft.date=1989&amp;rft.pages=29"></span>
+  <div class="csl-entry">Hasbrouck, J. (2009). Trading costs and returns for U.s. Equities: Estimating effective costs from daily data. <i>The Journal of Finance</i>, <i>64</i>(3), 1445–1477. <a href="https://doi.org/10.1111/j.1540-6261.2009.01469.x">https://doi.org/10.1111/j.1540-6261.2009.01469.x</a></div>
+  <span class="Z3988" title="url_ver=Z39.88-2004&amp;ctx_ver=Z39.88-2004&amp;rfr_id=info%3Asid%2Fzotero.org%3A2&amp;rft_id=info%3Adoi%2F10.1111%2Fj.1540-6261.2009.01469.x&amp;rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&amp;rft.genre=article&amp;rft.atitle=Trading%20costs%20and%20returns%20for%20U.s.%20Equities%3A%20estimating%20effective%20costs%20from%20daily%20data&amp;rft.jtitle=The%20Journal%20of%20Finance&amp;rft.volume=64&amp;rft.issue=3&amp;rft.aufirst=Joel&amp;rft.aulast=Hasbrouck&amp;rft.au=Joel%20Hasbrouck&amp;rft.date=2009&amp;rft.pages=1445%E2%80%931477&amp;rft.spage=1445&amp;rft.epage=1477"></span>
+  <div class="csl-entry">Lee, C., &amp; Ready, M. J. (1991). Inferring trade direction from intraday data. <i>The Journal of Finance</i>, <i>46</i>(2), 733–746. <a href="https://doi.org/10.1111/j.1540-6261.1991.tb02683.x">https://doi.org/10.1111/j.1540-6261.1991.tb02683.x</a></div>
+  <span class="Z3988" title="url_ver=Z39.88-2004&amp;ctx_ver=Z39.88-2004&amp;rfr_id=info%3Asid%2Fzotero.org%3A2&amp;rft_id=info%3Adoi%2F10.1111%2Fj.1540-6261.1991.tb02683.x&amp;rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&amp;rft.genre=article&amp;rft.atitle=Inferring%20trade%20direction%20from%20intraday%20data&amp;rft.jtitle=The%20Journal%20of%20Finance&amp;rft.volume=46&amp;rft.issue=2&amp;rft.aufirst=Charles&amp;rft.aulast=Lee&amp;rft.au=Charles%20Lee&amp;rft.au=Mark%20J.%20Ready&amp;rft.date=1991&amp;rft.pages=733%E2%80%93746&amp;rft.spage=733&amp;rft.epage=746"></span>
+</div>

doc/conf.py

@@ -14,7 +14,7 @@
 import os
 import sys
 
-import sphinx_rtd_theme
+import furo
 
 # Add to sys.path the top-level directory where the package is located.
 sys.path.insert(0, os.path.abspath(".."))
@@ -40,6 +40,7 @@
     "sphinx.ext.viewcode",
     "numpydoc",
     "sphinx_gallery.gen_gallery",
+    "myst_parser",
 ]
 
 # this is needed for some reason...
@@ -65,7 +66,7 @@
 autosummary_generate = True
 
 # The suffix of source filenames.
-source_suffix = ".rst"
+source_suffix = ['.rst', '.md']
 
 # The encoding of source files.
 # source_encoding = 'utf-8-sig'
@@ -124,7 +125,7 @@
 pygments_style = "sphinx"
 
 # Custom style
-html_style = "css/project-template.css"
+# html_style = "css/project-template.css"
 
 # A list of ignored prefixes for module index sorting.
 # modindex_common_prefix = []
@@ -137,15 +138,15 @@
 
 # The theme to use for HTML and HTML Help pages.  See the documentation for
 # a list of builtin themes.
-html_theme = "sphinx_rtd_theme"
+html_theme = "furo"
 
 # Theme options are theme-specific and customize the look and feel of a theme
 # further.  For a list of options available for each theme, see the
 # documentation.
 # html_theme_options = {}
 
 # Add any paths that contain custom themes here, relative to this directory.
-html_theme_path = [sphinx_rtd_theme.get_html_theme_path()]
+# html_theme_path = [furo.get_html_theme_path()]
 
 # The name for this set of Sphinx documents.  If None, it defaults to
 # "<project> v<release> documentation".