Milestone 3: Empirical Bayes adaptive shrinkage, Long-Only EM timing, Polymarket walk-forward capacity curve, Crypto regime-conditioned composite, and Microstructure Maker queue fee sensitivity
f784e93 verified | """Market-data ingestion, normalization, storage, and validation primitives. | |
| The package deliberately contains no authenticated or order-entry API. Binance | |
| support is restricted to public market-data endpoints. | |
| """ | |
| from microstructure.data.book import ( | |
| BookSnapshot, | |
| DepthDelta, | |
| ReconstructionResult, | |
| reconstruct_snapshot_and_deltas, | |
| ) | |
| from microstructure.data.quality import QualityFinding, ValidationReport, validate_table | |
| from microstructure.data.schemas import SCHEMA_VERSION, get_schema, table_from_records | |
| from microstructure.data.storage import DatasetWriteResult, write_partitioned_parquet | |
| from microstructure.data.synthetic import SyntheticMarketData, generate_synthetic_market | |
| __all__ = [ | |
| "SCHEMA_VERSION", | |
| "BookSnapshot", | |
| "DatasetWriteResult", | |
| "DepthDelta", | |
| "QualityFinding", | |
| "ReconstructionResult", | |
| "SyntheticMarketData", | |
| "ValidationReport", | |
| "generate_synthetic_market", | |
| "get_schema", | |
| "reconstruct_snapshot_and_deltas", | |
| "table_from_records", | |
| "validate_table", | |
| "write_partitioned_parquet", | |
| ] | |