Naming conventions

For tclf to work, we impose constraints on the column names. The following input is required by each rule. Data requirements are additive, if multiple rules are applied.

Rule	Layer Name	Columns
No classification	("nan","sub")	None
Tick test	("tick","sub")	trade_price, price_{sub}_lag
Reverse tick Test	("rev_tick","sub")	trade_price, price_{sub}_lead
Quote Rule	("quote","sub")	trade_price, ask_{sub}, bid_{sub}
Lee-Ready Algorithm	("lr","sub")	trade_price, price_{sub}_lag, ask_{sub}, bid_{sub}
EMO Algorithm	("emo","sub")	trade_price, price_{sub}_lag, ask_{sub}, bid_{sub}
CLNV Rule	("clnv","sub")	trade_price, price_{sub}_lag, ask_{sub}, bid_{sub}
Reverse Lee-Ready Algorithm	("rev_lr","sub")	trade_price, price_{sub}_lead, ask_{sub}, bid_{sub}
Reverse EMO Algorithm	("rev_emo","sub")	trade_price, price_{sub}_lead, ask_{sub}, bid_{sub}
Reverse CLNV Rule	("rev_clnv","sub")	trade_price, price_{sub}_lead, ask_{sub}, bid_{sub}
Depth rule	("depth","sub")	trade_price, ask_{sub}, bid_{sub}, ask_size_{sub}, bid_size_{sub}
Trade size rule	("trade_size","sub")	trade_size, ask_size_{sub}, bid_size_{sub}