sekai

Finance

The sekai.finance toolkit. Classes are exported from sekai.finance; functions from their modules (sekai.finance.features, sekai.finance.metrics, …). See the Finance toolkit pages for explanations and examples.

Market data

sekai.finance.data. See Market data and backtesting.

::: sekai.finance.data.MarketData

Sampling

sekai.finance.sampling. See Episode samplers.

::: sekai.finance.sampling.EpisodeSampler

::: sekai.finance.sampling.RandomStart

::: sekai.finance.sampling.SequentialStart

::: sekai.finance.sampling.FixedStart

::: sekai.finance.sampling.as_sampler

::: sekai.finance.sampling.sample_start

::: sekai.finance.sampling.first_start

::: sekai.finance.sampling.resolve_start

Simulators

sekai.finance.simulators. See Market simulators.

::: sekai.finance.simulators.MarketModel

::: sekai.finance.simulators.Simulation

::: sekai.finance.simulators.GBM

::: sekai.finance.simulators.Heston

::: sekai.finance.simulators.MertonJumpDiffusion

::: sekai.finance.simulators.RegimeSwitching

::: sekai.finance.simulators.GARCH

::: sekai.finance.simulators.MeanReverting

::: sekai.finance.simulators.CointegratedPair

::: sekai.finance.simulators.BlockBootstrap

::: sekai.finance.simulators.ListingProcess

::: sekai.finance.simulators.Randomized

Features

sekai.finance.features. See Point-in-time features.

::: sekai.finance.features options: show_root_heading: false members: - log_returns - simple_returns - momentum - lag - forward_fill - rolling_mean - rolling_std - rolling_zscore - ewm_mean - ewm_std - realized_volatility - cross_sectional_zscore - cross_sectional_rank - asof_join - check_causal

Costs

sekai.finance.costs. See Cost models.

::: sekai.finance.costs.CostModel

::: sekai.finance.costs.NoCost

::: sekai.finance.costs.ProportionalCost

::: sekai.finance.costs.SpreadCost

::: sekai.finance.costs.FixedCost

::: sekai.finance.costs.SquareRootImpact

::: sekai.finance.costs.CompositeCost

::: sekai.finance.costs.as_cost_model

Account

sekai.finance.account. See Account rules.

::: sekai.finance.account.AccountConfig

::: sekai.finance.account.project_weights

::: sekai.finance.account.Settlement

::: sekai.finance.account.settle

::: sekai.finance.account.turnover

Rewards

sekai.finance.rewards. See Reward functions.

::: sekai.finance.rewards.StepOutcome

::: sekai.finance.rewards.RewardFunction

::: sekai.finance.rewards.LogReturn

::: sekai.finance.rewards.SimpleReturn

::: sekai.finance.rewards.ProfitAndLoss

::: sekai.finance.rewards.MeanVariance

::: sekai.finance.rewards.TurnoverPenalty

::: sekai.finance.rewards.DrawdownPenalty

::: sekai.finance.rewards.DifferentialSharpe

Metrics

sekai.finance.metrics. See Performance metrics.

::: sekai.finance.metrics options: show_root_heading: false members: - total_return - annualized_return - annualized_volatility - sharpe_ratio - sortino_ratio - drawdown_series - max_drawdown - calmar_ratio - value_at_risk - conditional_value_at_risk - hit_rate - equity_curve - returns_from_equity - PerformanceSummary - performance_summary - PnLSummary - pnl_summary - RecordPerformance

Universe

sekai.finance.universe. See Slots and dynamic universes.

::: sekai.finance.universe.SlotMap

Order book

sekai.finance.lob. See Order books.

::: sekai.finance.lob.OrderBook

::: sekai.finance.lob.Side

::: sekai.finance.lob.Order

::: sekai.finance.lob.Fill

::: sekai.finance.lob.BACKGROUND

::: sekai.finance.lob.ZeroIntelligenceFlow

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