Initial code release

apple · Jun 16, 2020 · 39197b5 · 39197b5
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diff --git a/.editorconfig b/.editorconfig
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+#
+# For licensing see accompanying LICENSE file.
+# Copyright (C) 2020 Apple Inc. All Rights Reserved.
+#
+# http://editorconfig.org
+
+# top-most EditorConfig file
+root = true
+
+# Default Configuration for most files
+[*]
+indent_style = space
+indent_size = 4
+trim_trailing_whitespace = true
+insert_final_newline = true
+charset = utf-8
+end_of_line = lf
+
+[Makefile]
+indent_style = tab
diff --git a/.gitignore b/.gitignore
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+*.pyc
+*.swp
+.coverage
+.mypy_cache/
+.venv/
+.idea/
+dist/
+runs/
diff --git a/ACKNOWLEDGEMENTS b/ACKNOWLEDGEMENTS
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+Acknowledgements
+
+Portions of ml-quant may utilize the following copyrighted
+material, the use of which is hereby acknowledged.
+
+_____________________
+
+AQR Capital Management, LLC, Lambda Foundry, Inc. and PyData Development Team (pandas)
+    BSD 3-Clause License
+
+    Copyright (c) 2008-2011, AQR Capital Management, LLC, Lambda Foundry, Inc. and PyData Development Team
+    All rights reserved.
+
+    Copyright (c) 2011-2020, Open source contributors.
+
+    Redistribution and use in source and binary forms, with or without
+    modification, are permitted provided that the following conditions are met:
+
+    * Redistributions of source code must retain the above copyright notice, this
+      list of conditions and the following disclaimer.
+
+    * Redistributions in binary form must reproduce the above copyright notice,
+      this list of conditions and the following disclaimer in the documentation
+      and/or other materials provided with the distribution.
+
+    * Neither the name of the copyright holder nor the names of its
+      contributors may be used to endorse or promote products derived from
+      this software without specific prior written permission.
+
+    THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
+    AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
+    IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
+    DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE
+    FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL
+    DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR
+    SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER
+    CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY,
+    OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+    OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+
+Holger Krekel and others (pytest)
+    The MIT License (MIT)
+
+    Copyright (c) 2004-2020 Holger Krekel and others
+
+    Permission is hereby granted, free of charge, to any person obtaining a copy of
+    this software and associated documentation files (the "Software"), to deal in
+    the Software without restriction, including without limitation the rights to
+    use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies
+    of the Software, and to permit persons to whom the Software is furnished to do
+    so, subject to the following conditions:
+
+    The above copyright notice and this permission notice shall be included in all
+    copies or substantial portions of the Software.
+
+    THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+    IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+    FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+    AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+    LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+    OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+    SOFTWARE.
+
+Jukka Lehtosalo and contributors (mypy)
+    The MIT License
+
+    Copyright (c) 2015-2019 Jukka Lehtosalo and contributors
+
+    Permission is hereby granted, free of charge, to any person obtaining a
+    copy of this software and associated documentation files (the "Software"),
+    to deal in the Software without restriction, including without limitation
+    the rights to use, copy, modify, merge, publish, distribute, sublicense,
+    and/or sell copies of the Software, and to permit persons to whom the
+    Software is furnished to do so, subject to the following conditions:
+
+    The above copyright notice and this permission notice shall be included in
+    all copies or substantial portions of the Software.
+
+    THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+    IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+    FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+    AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+    LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING
+    FROM, OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER
+    DEALINGS IN THE SOFTWARE.
+
+Ingy döt Net, Kirill Simonov (PyYAML)
+    Copyright (c) 2017-2020 Ingy döt Net
+    Copyright (c) 2006-2016 Kirill Simonov
+
+    Permission is hereby granted, free of charge, to any person obtaining a copy of
+    this software and associated documentation files (the "Software"), to deal in
+    the Software without restriction, including without limitation the rights to
+    use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies
+    of the Software, and to permit persons to whom the Software is furnished to do
+    so, subject to the following conditions:
+
+    The above copyright notice and this permission notice shall be included in all
+    copies or substantial portions of the Software.
+
+    THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+    IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+    FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+    AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+    LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+    OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+    SOFTWARE.
+
+pytest-cov Authors (pytest-cov)
+    The MIT License
+
+    Copyright (c) 2010 Meme Dough
+
+    Permission is hereby granted, free of charge, to any person obtaining a copy
+    of this software and associated documentation files (the "Software"), to deal
+    in the Software without restriction, including without limitation the rights
+    to use, copy, modify, merge, publish, distribute, sublicense, and/or sell
+    copies of the Software, and to permit persons to whom the Software is
+    furnished to do so, subject to the following conditions:
+
+    The above copyright notice and this permission notice shall be included in
+    all copies or substantial portions of the Software.
+
+    THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+    IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+    FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+    AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+    LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+    OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN
+    THE SOFTWARE.
+
+The PyTorch Authors (PyTorch)
+    From PyTorch:
+
+    Copyright (c) 2016-     Facebook, Inc            (Adam Paszke)
+    Copyright (c) 2014-     Facebook, Inc            (Soumith Chintala)
+    Copyright (c) 2011-2014 Idiap Research Institute (Ronan Collobert)
+    Copyright (c) 2012-2014 Deepmind Technologies    (Koray Kavukcuoglu)
+    Copyright (c) 2011-2012 NEC Laboratories America (Koray Kavukcuoglu)
+    Copyright (c) 2011-2013 NYU                      (Clement Farabet)
+    Copyright (c) 2006-2010 NEC Laboratories America (Ronan Collobert, Leon Bottou, Iain Melvin, Jason Weston)
+    Copyright (c) 2006      Idiap Research Institute (Samy Bengio)
+    Copyright (c) 2001-2004 Idiap Research Institute (Ronan Collobert, Samy Bengio, Johnny Mariethoz)
+
+    From Caffe2:
+
+    Copyright (c) 2016-present, Facebook Inc. All rights reserved.
+
+    All contributions by Facebook:
+    Copyright (c) 2016 Facebook Inc.
+
+    All contributions by Google:
+    Copyright (c) 2015 Google Inc.
+    All rights reserved.
+
+    All contributions by Yangqing Jia:
+    Copyright (c) 2015 Yangqing Jia
+    All rights reserved.
+
+    All contributions from Caffe:
+    Copyright(c) 2013, 2014, 2015, the respective contributors
+    All rights reserved.
+
+    All other contributions:
+    Copyright(c) 2015, 2016 the respective contributors
+    All rights reserved.
+
+    Caffe2 uses a copyright model similar to Caffe: each contributor holds
+    copyright over their contributions to Caffe2. The project versioning records
+    all such contribution and copyright details. If a contributor wants to further
+    mark their specific copyright on a particular contribution, they should
+    indicate their copyright solely in the commit message of the change when it is
+    committed.
+
+    All rights reserved.
+
+    Redistribution and use in source and binary forms, with or without
+    modification, are permitted provided that the following conditions are met:
+
+    1. Redistributions of source code must retain the above copyright
+       notice, this list of conditions and the following disclaimer.
+
+    2. Redistributions in binary form must reproduce the above copyright
+       notice, this list of conditions and the following disclaimer in the
+       documentation and/or other materials provided with the distribution.
+
+    3. Neither the names of Facebook, Deepmind Technologies, NYU, NEC Laboratories America
+       and IDIAP Research Institute nor the names of its contributors may be
+       used to endorse or promote products derived from this software without
+       specific prior written permission.
+
+    THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
+    AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
+    IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE
+    ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER OR CONTRIBUTORS BE
+    LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR
+    CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF
+    SUBSTITUTE GOODS OR SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS
+    INTERRUPTION) HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN
+    CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE)
+    ARISING IN ANY WAY OUT OF THE USE OF THIS SOFTWARE, EVEN IF ADVISED OF THE
+    POSSIBILITY OF SUCH DAMAGE.
+
+The Sphinx team (Sphinx)
+    Copyright (c) 2007-2019 by the Sphinx team (see AUTHORS file).
+    All rights reserved.
+
+    Redistribution and use in source and binary forms, with or without
+    modification, are permitted provided that the following conditions are
+    met:
+
+    * Redistributions of source code must retain the above copyright
+      notice, this list of conditions and the following disclaimer.
+
+    * Redistributions in binary form must reproduce the above copyright
+      notice, this list of conditions and the following disclaimer in the
+      documentation and/or other materials provided with the distribution.
+
+    THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS
+    "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT
+    LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR
+    A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT
+    HOLDER OR CONTRIBUTORS BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL,
+    SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES (INCLUDING, BUT NOT
+    LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR SERVICES; LOSS OF USE,
+    DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER CAUSED AND ON ANY
+    THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT
+    (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+    OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+
+The TensorFlow Authors (TensorBoard)
+   Copyright 2017, The TensorFlow Authors.
+
+   Licensed under the Apache License, Version 2.0 (the "License");
+   you may not use this file except in compliance with the License.
+   You may obtain a copy of the License at
+
+       http://www.apache.org/licenses/LICENSE-2.0
+
+   Unless required by applicable law or agreed to in writing, software
+   distributed under the License is distributed on an "AS IS" BASIS,
+   WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+   See the License for the specific language governing permissions and
+   limitations under the License.
+
+The torchvision Authors (torchvision)
+    BSD 3-Clause License
+
+    Copyright (c) Soumith Chintala 2016,
+    All rights reserved.
+
+    Redistribution and use in source and binary forms, with or without
+    modification, are permitted provided that the following conditions are met:
+
+    * Redistributions of source code must retain the above copyright notice, this
+      list of conditions and the following disclaimer.
+
+    * Redistributions in binary form must reproduce the above copyright notice,
+      this list of conditions and the following disclaimer in the documentation
+      and/or other materials provided with the distribution.
+
+    * Neither the name of the copyright holder nor the names of its
+      contributors may be used to endorse or promote products derived from
+      this software without specific prior written permission.
+
+    THIS SOFTWARE IS PROVIDED BY THE COPYRIGHT HOLDERS AND CONTRIBUTORS "AS IS"
+    AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE
+    IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE
+    DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT HOLDER OR CONTRIBUTORS BE LIABLE
+    FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL
+    DAMAGES (INCLUDING, BUT NOT LIMITED TO, PROCUREMENT OF SUBSTITUTE GOODS OR
+    SERVICES; LOSS OF USE, DATA, OR PROFITS; OR BUSINESS INTERRUPTION) HOWEVER
+    CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY,
+    OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE
+    OF THIS SOFTWARE, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE.
+
+Tarek Ziade, Ian Cordasco (flake8)
+    Copyright (C) 2011-2013 Tarek Ziade <tarek@ziade.org>
+    Copyright (C) 2012-2016 Ian Cordasco <graffatcolmingov@gmail.com>
+
+    Permission is hereby granted, free of charge, to any person obtaining a copy of
+    this software and associated documentation files (the "Software"), to deal in
+    the Software without restriction, including without limitation the rights to
+    use, copy, modify, merge, publish, distribute, sublicense, and/or sell copies
+    of the Software, and to permit persons to whom the Software is furnished to do
+    so, subject to the following conditions:
+
+    The above copyright notice and this permission notice shall be included in all
+    copies or substantial portions of the Software.
+
+    THE SOFTWARE IS PROVIDED "AS IS", WITHOUT WARRANTY OF ANY KIND, EXPRESS OR
+    IMPLIED, INCLUDING BUT NOT LIMITED TO THE WARRANTIES OF MERCHANTABILITY,
+    FITNESS FOR A PARTICULAR PURPOSE AND NONINFRINGEMENT. IN NO EVENT SHALL THE
+    AUTHORS OR COPYRIGHT HOLDERS BE LIABLE FOR ANY CLAIM, DAMAGES OR OTHER
+    LIABILITY, WHETHER IN AN ACTION OF CONTRACT, TORT OR OTHERWISE, ARISING FROM,
+    OUT OF OR IN CONNECTION WITH THE SOFTWARE OR THE USE OR OTHER DEALINGS IN THE
+    SOFTWARE.