Metadata-Version: 2.1
Name: microprice
Version: 0.1.1
Summary: A Jax implementation of Micro-Price: A High Frequency Estimator of Future Prices.
Home-page: https://github.com/alexandrebrilhante/quantnet
Author: Alexandre Brilhante
Author-email: alexandre.brilhante@gmail.com
Project-URL: Bug Tracker, https://github.com/alexandrebrilhante/microprice/issues
Classifier: Programming Language :: Python :: 3
Classifier: License :: OSI Approved :: MIT License
Classifier: Operating System :: OS Independent
Requires-Python: >=3.8
Description-Content-Type: text/markdown
License-File: LICENSE.md

# microprice

![PyPI - Python Version](https://img.shields.io/pypi/pyversions/microprice)
![GitHub](https://img.shields.io/github/license/alexandrebrilhante/quantnet)

A Jax implementation of [Micro-Price: A High Frequency Estimator of Future Prices](https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2970694).

## Installation
```bash
pip install microprice
```

## Usage
```python
from microprice import MicroPriceEstimator, load_sample_data

mpe = MicroPriceEstimator(symbol="AAPL",
                          n_imbalances=10,
                          n_spread=2,
                          dt=1)

T = mpe.load(load_sample_data())

mpe.fit(T, iterations(6))
```
