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v3.0.0-alpha.2 — Part I: Financial Data

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@stefan-jansen stefan-jansen released this 22 Jun 10:36
v3.0.0-alpha.2
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Part I is live. With this tag the repository becomes runnable: clone it, install with Docker or uv, pull the free datasets, and execute the first five chapters end to end.

The code is rolled out in batches over the coming weeks, toward the full launch in July, in book order so every link resolves and the repo stays coherent at each step.

What's here

  • Foundation — the shared utils/ library, the data/ download scripts and loaders (free tier needs no API keys), the Docker environments, and the test suite that runs the notebooks in CI.
  • Part I — Financial Data (Chapters 1–5), with READMEs and paired Jupytext notebooks:
    • 1. The Process Is Your Edge — the research-to-production workflow and the evidence boundary that separates exploration from confirmation.
    • 2. The Financial Data Universe — a taxonomy of market, fundamental, and alternative data; survivorship bias; storage-format benchmarks.
    • 3. Market Microstructure — raw exchange messages to feature-ready bars: NASDAQ ITCH parsing, limit-order-book reconstruction, and bar-sampling methods.
    • 4. Fundamental and Alternative Data — point-in-time SEC EDGAR pipelines, entity resolution, and alternative-data evaluation.
    • 5. Synthetic Financial Data — TimeGAN, Tail-GAN, Sig-CWGAN, and diffusion generators for robust validation when history is short.

Get started

git clone https://github.com/stefan-jansen/machine-learning-for-trading.git
cd machine-learning-for-trading
cp .env.example .env
docker compose pull ml4t                       # or: pip install uv && uv sync
uv run python data/download_all.py --free-only
uv run python 01_process_is_edge/factor_regimes.py

What's next

Part II (research design and feature engineering, Chapters 6–10) follows, then the rest in book order. ⭐ Watch or star the repo to follow along, and subscribe to the twice-weekly Insights newsletter.

Free Lightning Lessons — Wednesday, June 24, 2026

The live cohort course From Research to Production starts July 6, 2026.

Looking for the second edition? It is complete and stable on the second-edition branch — git checkout second-edition.

This is a pre-release. The complete third edition will ship as v3.0.0.

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