tick.dataset.
fetch_hawkes_bund_data
()[source]¶Load Hawkes formatted bund data from https://github.com/X-DataInitiative/tick-datasets/tree/master/hawkes/bund
This data is meant to be fitted with Hawkes processes. It contains for each day 4 time series representing:
Mid-price movement up
Mid-price movement down
Buyer initiated trades that do not move the mid-price
Seller initiated trades that do not move the mid-price
output : list
of list
of np.ndarray
, dim=(20, 4, _)
List of 20 days of 4 timestamps data.
tick.dataset.fetch_hawkes_bund_data
¶