tick.dataset.fetch_hawkes_bund_data

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:

  1. Mid-price movement up

  2. Mid-price movement down

  3. Buyer initiated trades that do not move the mid-price

  4. Seller initiated trades that do not move the mid-price

Returns

output : list of list of np.ndarray, dim=(20, 4, _)

List of 20 days of 4 timestamps data.

Examples using tick.dataset.fetch_hawkes_bund_data