API Surfaces

Rust modules (core)

• data_structures — bar construction (dollar, volume, tick, imbalance, run, time)
• filters — CUSUM and z-score event filters
• labeling — triple-barrier and meta-labeling
• fracdiff — fractional differentiation (FFD)
• sampling — indicator matrix and sequential bootstrap
• sample_weights — uniqueness and time-decay weighting
• cross_validation — purged k-fold with embargo
• feature_importance — MDI, MDA, single-feature importance
• backtesting_engine — walk-forward, purged CV, CPCV
• backtest_statistics — Sharpe, drawdown, holding period
• risk_metrics — VaR, Expected Shortfall, CDaR
• strategy_risk — strategy failure probability
• bet_sizing — probability-to-position conversion
• hrp, hcaa, cla, portfolio_optimization — portfolio construction
• structural_breaks — SADF, Chow, CUSUM variants
• microstructural_features — impact, spread, VPIN, entropy
• hpc_parallel, streaming_hpc, combinatorial_optimization — HPC utilities

Python namespaces

• data — load_ohlcv, clean_ohlcv, align_calendar, data_quality_report
• bars — build_time_bars, build_tick_bars, build_volume_bars, build_dollar_bars
• feature_diagnostics — mdi_importance, mda_importance, sfi_importance, orthogonalize_features_pca, substitution_effect_report
• pipeline — run_mid_frequency_pipeline, run_mid_frequency_pipeline_frames, summarize_pipeline
• research — make_synthetic_futures_dataset, run_flywheel_iteration
• adapters — to_polars_signal_frame, to_polars_event_frame, to_polars_backtest_frame, SignalStreamBuffer
• viz — prepare_feature_importance_payload, prepare_drawdown_payload, prepare_regime_payload, prepare_frontier_payload
• _core.labeling — triple_barrier_labels, meta_labels (Rust bindings)
• _core.filters — cusum_filter_indices, cusum_filter_timestamps (Rust bindings)
• _core.fracdiff — frac_diff_ffd, get_weights_ffd (Rust bindings)
• _core.sampling — seq_bootstrap, get_ind_matrix (Rust bindings)
• _core.sample_weights — get_weights_by_return, get_weights_by_time_decay (Rust bindings)

Full module docs: All Modules