atelier-rs

Overview

Engine for High Frequency, Synthetic and Historical, Market Microstructure Modeling. At a high level it provides the following major components:

• Full orderbook granularity.
• Stochastic process functions for synthetic data generation.
• Distributed convex methods for model training/inference.

Workspace

These are the other published crates members of the workspace:

• atelier-data: Core data structures and I/O tools.
• atelier-dcml: Distributed Convex Machine Learning.
• atelier-generators: Probabilistic generators and events simulation.
• atelier-results: Standardized results, errors and successes.
• atelier-synth: Synthetic Data Generation for the atelier-rs engine.

Github hosted:

• benches
• examples
• tests

atelier-rs is the "entrypoint" for the atelier-rs workspace