Awesome Quant
A curated list of insanely awesome libraries, packages and resources
for Quants (Quantitative Finance).
Languages
Python
Numerical Libraries &
Data Structures
- numpy - NumPy is the fundamental
package for scientific computing with Python.
- scipy - SciPy (pronounced “Sigh
Pie”) is a Python-based ecosystem of open-source software for
mathematics, science, and engineering.
- pandas - pandas is an open
source, BSD-licensed library providing high-performance, easy-to-use
data structures and data analysis tools for the Python programming
language.
- quantdsl -
Domain specific language for quantitative analytics in finance and
trading.
- statistics
- Builtin Python library for all basic statistical calculations.
- sympy - SymPy is a Python
library for symbolic mathematics.
- pymc3 - Probabilistic
Programming in Python: Bayesian Modeling and Probabilistic Machine
Learning with Theano.
- modelx - Python reimagination
of spreadsheets as formula-centric objects that are interoperable with
pandas.
- ArcticDB - High
performance datastore for time series and tick data.
Financial Instruments and
Pricing
- OpenBB
Terminal - Terminal for investment research for everyone.
- PyQL - QuantLib’s
Python port.
- pyfin - Basic
options pricing in Python. ARCHIVED
- vollib - vollib is a
python library for calculating option prices, implied volatility and
greeks.
- QuantPy - A
framework for quantitative finance In python.
- Finance-Python
- Python tools for Finance.
- ffn - A financial
function library for Python.
- pynance -
Lightweight Python library for assembling and analysing financial
data.
- tia - Toolkit for
integration and analysis.
- hasura/base-python-dash
- Hasura quickstart to deploy Dash framework. Written on top of Flask,
Plotly.js, and React.js, Dash is ideal for building data visualization
apps with highly custom user interfaces in pure Python.
- hasura/base-python-bokeh
- Hasura quickstart to visualize data with bokeh library.
- pysabr - SABR model
Python implementation.
- FinancePy - A
Python Finance Library that focuses on the pricing and risk-management
of Financial Derivatives, including fixed-income, equity, FX and credit
derivatives.
- gs-quant -
Python toolkit for quantitative finance
- willowtree
- Robust and flexible Python implementation of the willow tree lattice
for derivatives pricing.
- financial-engineering
- Applications of Monte Carlo methods to financial engineering projects,
in Python.
- optlib - A library
for financial options pricing written in Python.
- tf-quant-finance -
High-performance TensorFlow library for quantitative finance.
- Q-Fin -
A Python library for mathematical finance.
- Quantsbin -
Tools for pricing and plotting of vanilla option prices, greeks and
various other analysis around them.
- finoptions -
Complete python implementation of R package fOptions with partial
implementation of fExoticOptions for pricing various options.
- pypme - PME (Public
Market Equivalent) calculation.
- AbsBox - A Python
based library to model cashflow for structured product like Asset-backed
securities (ABS) and Mortgage-backed securities (MBS).
- Intrinsic-Value-Calculator
- A Python tool for quick calculations of a stock’s fair value using
Discounted Cash Flow analysis.
- Kelly-Criterion
- Kelly Criterion implemented in Python to size portfolios based on J.
L. Kelly Jr’s formula.
- rateslib - A
fixed income library for pricing bonds and bond futures, and derivatives
such as IRS, cross-currency and FX swaps.
Indicators
Trading & Backtesting
- skfolio - Python
library for portfolio optimization built on top of scikit-learn. It
provides a unified interface and sklearn compatible tools to build, tune
and cross-validate portfolio models.
- Investing
algorithm framework - Framework for developing, backtesting, and
deploying automated trading algorithms.
- QSTrader -
QSTrader backtesting simulation engine.
- Blankly -
Fully integrated backtesting, paper trading, and live deployment.
- TA-Lib - Python
wrapper for TA-Lib (http://ta-lib.org/).
- zipline -
Pythonic algorithmic trading library.
- QuantSoftware
Toolkit - Python-based open source software framework designed to
support portfolio construction and management.
- quantitative -
Quantitative finance, and backtesting library.
- analyzer - Python
framework for real-time financial and backtesting trading
strategies.
- bt - Flexible
Backtesting for Python.
- backtrader -
Python Backtesting library for trading strategies.
- pythalesians -
Python library to backtest trading strategies, plot charts, seamlessly
download market data, analyze market patterns etc.
- pybacktest -
Vectorized backtesting framework in Python / pandas, designed to make
your backtesting easier.
- pyalgotrade -
Python Algorithmic Trading Library.
- basana - A Python
async and event driven framework for algorithmic trading, with a focus
on crypto currencies.
- tradingWithPython
- A collection of functions and classes for Quantitative trading.
- Pandas TA -
Pandas TA is an easy to use Python 3 Pandas Extension with 115+
Indicators. Easily build Custom Strategies.
- ta - Technical
Analysis Library using Pandas (Python)
- algobroker -
This is an execution engine for algo trading.
- pysentosa - Python
API for sentosa trading system.
- finmarketpy -
Python library for backtesting trading strategies and analyzing
financial markets.
- binary-martingale
- Computer program to automatically trade binary options martingale
style.
- fooltrader -
the project using big-data technology to provide an uniform way to
analyze the whole market.
- zvt - the project using
sql, pandas to provide an uniform and extendable way to record data,
computing factors, select securities, backtesting, realtime trading and
it could show all of them in clearly charts in realtime.
- pylivetrader
- zipline-compatible live trading library.
- pipeline-live -
zipline’s pipeline capability with IEX for live trading.
- zipline-extensions
- Zipline extensions and adapters for QuantRocket.
- moonshot -
Vectorized backtester and trading engine for QuantRocket based on
Pandas.
- PyPortfolioOpt
- Financial portfolio optimization in python, including classical
efficient frontier and advanced methods.
- Eiten - Eiten is an
open source toolkit by Tradytics that implements various statistical and
algorithmic investing strategies such as Eigen Portfolios, Minimum
Variance Portfolios, Maximum Sharpe Ratio Portfolios, and Genetic
Algorithms based Portfolios.
- riskparity.py -
fast and scalable design of risk parity portfolios with TensorFlow
2.0
- mlfinlab
- Implementations regarding “Advances in Financial Machine Learning” by
Marcos Lopez de Prado. (Feature Engineering, Financial Data Structures,
Meta-Labeling)
- pyqstrat - A fast,
extensible, transparent python library for backtesting quantitative
strategies.
- NowTrade -
Python library for backtesting technical/mechanical strategies in the
stock and currency markets.
- pinkfish - A
backtester and spreadsheet library for security analysis.
- aat - Async
Algorithmic Trading Engine
- Backtesting.py
- Backtest trading strategies in Python
- catalyst - An
Algorithmic Trading Library for Crypto-Assets in Python
- quantstats -
Portfolio analytics for quants, written in Python
- qtpylib -
QTPyLib, Pythonic Algorithmic Trading http://qtpylib.io
- Quantdom -
Python-based framework for backtesting trading strategies &
analyzing financial markets [GUI :neckbeard:]
- freqtrade -
Free, open source crypto trading bot
- algorithmic-trading-with-python
- Free
pandas and scikit-learn resources for
trading simulation, backtesting, and machine learning on financial
data.
- DeepDow -
Portfolio optimization with deep learning
- Qlib - An
AI-oriented Quantitative Investment Platform by Microsoft. Full ML
pipeline of data processing, model training, back-testing; and covers
the entire chain of quantitative investment: alpha seeking, risk
modeling, portfolio optimization, and order execution.
- machine-learning-for-trading
- Code and resources for Machine Learning for Algorithmic Trading
- AlphaPy -
Automated Machine Learning [AutoML] with Python, scikit-learn, Keras,
XGBoost, LightGBM, and CatBoost
- jesse - An advanced
crypto trading bot written in Python
- rqalpha - A
extendable, replaceable Python algorithmic backtest && trading
framework supporting multiple securities.
- FinRL-Library
- A Deep Reinforcement Learning Library for Automated Trading in
Quantitative Finance. NeurIPS 2020.
- bulbea -
Deep Learning based Python Library for Stock Market Prediction and
Modelling.
- ib_nope - Automated
trading system for NOPE strategy over IBKR TWS.
- OctoBot -
Open source cryptocurrency trading bot for high frequency, arbitrage, TA
and social trading with an advanced web interface.
- bta-lib -
Technical Analysis library in pandas for backtesting algotrading and
quantitative analysis.
- Stock-Prediction-Models
- Gathers machine learning and deep learning models for Stock
forecasting including trading bots and simulations.
- TuneTA - TuneTA
optimizes technical indicators using a distance correlation measure to a
user defined target feature such as next day return.
- AutoTrader
- A Python-based development platform for automated trading systems -
from backtesting to optimisation to livetrading.
- fast-trade - A
library built with backtest portability and performance in mind for
backtest trading strategies.
- qf-lib - QF-Lib is
a Python library that provides high quality tools for quantitative
finance.
- tda-api - Gather
data and trade equities, options, and ETFs via TDAmeritrade.
- vectorbt - Find
your trading edge, using a powerful toolkit for backtesting, algorithmic
trading, and research.
- Lean - Lean
Algorithmic Trading Engine by QuantConnect (Python, C#).
- fast-trade - Low
code backtesting library utilizing pandas and technical analysis
indicators.
- pysystemtrade -
pysystemtrade is the open source version of Robert Carver’s backtesting
and trading engine that implements systems according to the framework
outlined in his book “Systematic Trading”, which is further developed on
his blog.
- pytrendseries -
Detect trend in time series, drawdown, drawdown within a constant
look-back window , maximum drawdown, time underwater.
- PyLOB - Fully
functioning fast Limit Order Book written in Python.
- PyBroker -
Algorithmic Trading with Machine Learning.
- OctoBot
Script - A quant framework to create cryptocurrencies strategies -
from backtesting to optimisation to livetrading.
- hftbacktest - A
high-frequency trading and market-making backtesting tool accounts for
limit orders, queue positions, and latencies, utilizing full tick data
for trades and order books.
- vnpy - VeighNa is a
Python-based open source quantitative trading system development
framework.
- Intelligent
Trading Bot - Automatically generating signals and trading based on
machine learning and feature engineering
- fastquant -
fastquant allows you to easily backtest investment strategies with as
few as 3 lines of python code.
- nautilus_trader
- A high-performance algorithmic trading platform and event-driven
backtester.
Risk Analysis
- pyfolio -
Portfolio and risk analytics in Python.
- empyrical -
Common financial risk and performance metrics.
- fecon235 -
Computational tools for financial economics include: Gaussian Mixture
model of leptokurtotic risk, adaptive Boltzmann portfolios.
- finance - Financial
Risk Calculations. Optimized for ease of use through class construction
and operator overload.
- qfrm - Quantitative
Financial Risk Management: awesome OOP tools for measuring, managing and
visualizing risk of financial instruments and portfolios.
- visualize-wealth
- Portfolio construction and quantitative analysis.
- VisualPortfolio
- This tool is used to visualize the performance of a portfolio.
- universal-portfolios
- Collection of algorithms for online portfolio selection.
- FinQuant - A
program for financial portfolio management, analysis and
optimisation.
- Empyrial -
Portfolio’s risk and performance analytics and returns predictions.
- risktools -
Risk tools for use within the crude and crude products trading space
with partial implementation of R’s PerformanceAnalytics.
- Riskfolio-Lib
- Portfolio Optimization and Quantitative Strategic Asset Allocation in
Python.
- empyrical-reloaded
- Common financial risk and performance metrics. empyrical fork.
- pyfolio-reloaded
- Portfolio and risk analytics in Python. pyfolio fork.
- fortitudo.tech
- Conditional Value-at-Risk (CVaR) portfolio optimization and Entropy
Pooling views / stress-testing in Python.
Factor Analysis
- alphalens -
Performance analysis of predictive alpha factors.
- Spectre -
GPU-accelerated Factors analysis library and Backtester
Quant Research Environment
- Jupyter Quant
- A dockerized Jupyter quant research environment with preloaded tools
for quant analysis, statsmodels, pymc, arch, py_vollib,
zipline-reloaded, PyPortfolioOpt, etc.
Time Series
- ARCH - ARCH models in
Python.
- statsmodels -
Python module that allows users to explore data, estimate statistical
models, and perform statistical tests.
- dynts - Python
package for timeseries analysis and manipulation.
- PyFlux - Python
library for timeseries modelling and inference (frequentist and
Bayesian) on models.
- tsfresh -
Automatic extraction of relevant features from time series.
- hasura/quandl-metabase
- Hasura quickstart to visualize Quandl’s timeseries datasets with
Metabase.
- Facebook Prophet -
Tool for producing high quality forecasts for time series data that has
multiple seasonality with linear or non-linear growth.
- tsmoothie - A
python library for time-series smoothing and outlier detection in a
vectorized way.
- pmdarima - A
statistical library designed to fill the void in Python’s time series
analysis capabilities, including the equivalent of R’s auto.arima
function.
- gluon-ts -
vProbabilistic time series modeling in Python.
Calendars
Data Sources
- yfinance -
Yahoo! Finance market data downloader (+faster Pandas Datareader)
- findatapy -
Python library to download market data via Bloomberg, Quandl, Yahoo
etc.
- googlefinance -
Python module to get real-time stock data from Google Finance API.
- yahoo-finance
- Python module to get stock data from Yahoo! Finance.
- pandas-datareader
- Python module to get data from various sources (Google Finance, Yahoo
Finance, FRED, OECD, Fama/French, World Bank, Eurostat…) into Pandas
datastructures such as DataFrame, Panel with a caching mechanism.
- pandas-finance
- High level API for access to and analysis of financial data.
- pyhoofinance
- Rapidly queries Yahoo Finance for multiple tickers and returns typed
data for analysis.
- yfinanceapi
- Finance API for Python.
- yql-finance -
yql-finance is simple and fast. API returns stock closing prices for
current period of time and current stock ticker (i.e. APPL, GOOGL).
- ystockquote -
Retrieve stock quote data from Yahoo Finance.
- wallstreet -
Real time stock and option data.
- stock_extractor
- General Purpose Stock Extractors from Online Resources.
- Stockex - Python
wrapper for Yahoo! Finance API.
- finsymbols -
Obtains stock symbols and relating information for SP500, AMEX, NYSE,
and NASDAQ.
- FRB - Python Client
for FRED® API.
- inquisitor -
Python Interface to Econdb.com API.
- yfi - Yahoo! YQL
library.
- chinesestockapi -
Python API to get Chinese stock price.
- exchange - Get
current exchange rate.
- ticks - Simple
command line tool to get stock ticker data.
- pybbg - Python
interface to Bloomberg COM APIs.
- ccy - Python module
for currencies.
- tushare - A utility
for crawling historical and Real-time Quotes data of China stocks.
- jsm - Get the japanese
stock market data.
- cn_stock_src -
Utility for retrieving basic China stock data from different
sources.
- coinmarketcap -
Python API for coinmarketcap.
- after-hours -
Obtain pre market and after hours stock prices for a given symbol.
- bronto-python
- Bronto API Integration for Python.
- pytdx - Python
Interface for retrieving chinese stock realtime quote data from
TongDaXin Nodes.
- pdblp - A
simple interface to integrate pandas and the Bloomberg Open API.
- tiingo -
Python interface for daily composite prices/OHLC/Volume + Real-time News
Feeds, powered by the Tiingo Data Platform.
- iexfinance
- Python Interface for retrieving real-time and historical prices and
equities data from The Investor’s Exchange.
- pyEX - Python
interface to IEX with emphasis on pandas, support for streaming data,
premium data, points data (economic, rates, commodities), and technical
indicators.
- alpaca-trade-api
- Python interface for retrieving real-time and historical prices from
Alpaca API as well as trade execution.
- metatrader5 -
API Connector to MetaTrader 5 Terminal
- akshare -
AkShare is an elegant and simple financial data interface library for
Python, built for human beings! https://akshare.readthedocs.io
- yahooquery -
Python interface for retrieving data through unofficial Yahoo Finance
API.
- investpy -
Financial Data Extraction from Investing.com with Python! https://investpy.readthedocs.io/
- yliveticker -
Live stream of market data from Yahoo Finance websocket.
- bbgbridge - Easy
to use Bloomberg Desktop API wrapper for Python.
- alpha_vantage -
A python wrapper for Alpha Vantage API for financial data.
- FinanceDataReader
- Open Source Financial data reader for U.S, Korean, Japanese, Chinese,
Vietnamese Stocks
- pystlouisfed -
Python client for Federal Reserve Bank of St. Louis API - FRED, ALFRED,
GeoFRED and FRASER.
- python-bcb
- Python interface to Brazilian Central Bank web services.
- market-prices -
Create meaningful OHLCV datasets from knowledge of exchange-calendars
(works out-the-box with data from Yahoo Finance).
- tardis-python -
Python interface for Tardis.dev high frequency crypto market data
- lake-api -
Python interface for Crypto Lake high frequency crypto market data
- tessa - simple,
hassle-free access to price information of financial assets (currently
based on yfinance and pycoingecko), including search and a symbol
class.
- pandaSDMX - Python
package that implements SDMX 2.1 (ISO 17369:2013), a format for exchange
of statistical data and metadata used by national statistical agencies,
central banks, and international organisations.
- cif - Python package
that include few composite indicators, which summarize multidimensional
relationships between individual economic indicators.
- finagg - finagg is
a Python package that provides implementations of popular and free
financial APIs, tools for aggregating historical data from those APIs
into SQL databases, and tools for transforming aggregated data into
features useful for analysis and AI/ML.
- FinanceDatabase -
This is a database of 300.000+ symbols containing Equities, ETFs, Funds,
Indices, Currencies, Cryptocurrencies and Money Markets.
Excel Integration
- xlwings - Make Excel fly with
Python.
- openpyxl -
Read/Write Excel 2007 xlsx/xlsm files.
- xlrd - Library
for developers to extract data from Microsoft Excel spreadsheet
files.
- xlsxwriter - Write
files in the Excel 2007+ XLSX file format.
- xlwt - Library to
create spreadsheet files compatible with MS Excel 97/2000/XP/2003 XLS
files, on any platform.
- DataNitro - DataNitro also
offers full-featured Python-Excel integration, including UDFs. Trial
downloads are available, but users must purchase a license.
- xlloop - XLLoop is an
open source framework for implementing Excel user-defined functions
(UDFs) on a centralised server (a function server).
- expy - The
ExPy add-in allows easy use of Python directly from within an Microsoft
Excel spreadsheet, both to execute arbitrary code and to define new
Excel functions.
- pyxll - PyXLL is an Excel add-in
that enables you to extend Excel using nothing but Python code.
Visualization
- D-Tale - Visualizer
for pandas dataframes and xarray datasets.
- mplfinance -
matplotlib utilities for the visualization, and visual analysis, of
financial data.
- finplot -
Performant and effortless finance plotting for Python.
- finvizfinance -
Finviz analysis python library.
- market-analy
- Analysis and interactive charting using market-prices and
bqplot.
R
Numerical Libraries &
Data Structures
- xts - eXtensible
Time Series: Provide for uniform handling of R’s different time-based
data classes by extending zoo, maximizing native format information
preservation and allowing for user level customization and extension,
while simplifying cross-class interoperability.
- data.table -
Extension of data.frame: Fast aggregation of large data (e.g. 100GB in
RAM), fast ordered joins, fast add/modify/delete of columns by group
using no copies at all, list columns and a fast file reader (fread).
Offers a natural and flexible syntax, for faster development.
- sparseEigen -
Sparse pricipal component analysis.
- TSdbi - Provides a
common interface to time series databases.
- tseries
- Time Series Analysis and Computational Finance.
- zoo -
S3 Infrastructure for Regular and Irregular Time Series (Z’s Ordered
Observations).
- tis -
Functions and S3 classes for time indexes and time indexed series, which
are compatible with FAME frequencies.
- tfplot
- Utilities for simple manipulation and quick plotting of time series
data.
- tframe
- A kernel of functions for programming time series methods in a way
that is relatively independently of the representation of time.
Data Sources
- IBrokers
- Provides native R access to Interactive Brokers Trader Workstation
API.
- Rblpapi - An R
Interface to ‘Bloomberg’ is provided via the ‘Blp API’.
- Quandl - Get Financial
Data Directly Into R.
- Rbitcoin -
Unified markets API interface (bitstamp, kraken, btce, bitmarket).
- GetTDData -
Downloads and aggregates data for Brazilian government issued bonds
directly from the website of Tesouro Direto.
- GetHFData -
Downloads and aggregates high frequency trading data for Brazilian
instruments directly from Bovespa ftp site.
- Reddit
WallstreetBets API - Provides daily top 50 stocks from reddit
(subreddit) Wallstreetbets and their sentiments via the API.
- td - Interfaces the
‘twelvedata’ API for stocks and (digital and standard) currencies.
- rbcb - R
interface to Brazilian Central Bank web services.
- rb3 - A bunch of
downloaders and parsers for data delivered from B3.
- simfinapi
- Makes ‘SimFin’ data (https://simfin.com/) easily accessible in R.
Financial Instruments and
Pricing
- RQuantLib -
RQuantLib connects GNU R with QuantLib.
- quantmod
- Quantitative Financial Modelling Framework.
- Rmetrics - The premier open
source software solution for teaching and training quantitative finance.
- portfolio -
Analysing equity portfolios.
- sparseIndexTracking
- Portfolio design to track an index.
- covFactorModel -
Covariance matrix estimation via factor models.
- riskParityPortfolio
- Blazingly fast design of risk parity portfolios.
- sde -
Simulation and Inference for Stochastic Differential Equations.
- YieldCurve
- Modelling and estimation of the yield curve.
- SmithWilsonYieldCurve
- Constructs a yield curve by the Smith-Wilson method from a table of
LIBOR and SWAP rates.
- ycinterextra
- Yield curve or zero-coupon prices interpolation and
extrapolation.
- AmericanCallOpt
- This package includes pricing function for selected American call
options with underlying assets that generate payouts.
- VarSwapPrice
- Pricing a variance swap on an equity index.
- RND -
Risk Neutral Density Extraction Package.
- LSMonteCarlo
- American options pricing with Least Squares Monte Carlo method.
- OptHedging
- Estimation of value and hedging strategy of call and put options.
- tvm -
Time Value of Money Functions.
- OptionPricing
- Option Pricing with Efficient Simulation Algorithms.
- credule - Credit
Default Swap Functions.
- derivmkts
- Functions and R Code to Accompany Derivatives Markets.
- FinCal - Package
for time value of money calculation, time series analysis and
computational finance.
- r-quant - R code
for quantitative analysis in finance.
- options.studies
- options trading studies functions for use with options.data package
and shiny.
- PortfolioAnalytics
- Portfolio Analysis, Including Numerical Methods for Optimizationof
Portfolios.
- fmbasics -
Financial Market Building Blocks.
- R-fixedincome
- Fixed income tools for R.
Trading
- backtest
- Exploring Portfolio-Based Conjectures About Financial
Instruments.
- pa -
Performance Attribution for Equity Portfolios.
- TTR - Technical
Trading Rules.
- QuantTools -
Enhanced Quantitative Trading Modelling.
- blotter -
Transaction infrastructure for defining instruments, transactions,
portfolios and accounts for trading systems and simulation. Provides
portfolio support for multi-asset class and multi-currency portfolios.
Actively maintained and developed.
Backtesting
- quantstrat -
Transaction-oriented infrastructure for constructing trading systems and
simulation. Provides support for multi-asset class and multi-currency
portfolios for backtesting and other financial research.
Risk Analysis
Factor Analysis
- FactorAnalytics
- The FactorAnalytics package contains fitting and analysis methods for
the three main types of factor models used in conjunction with portfolio
construction, optimization and risk management, namely fundamental
factor models, time series factor models and statistical factor
models.
- Expected
Returns - Solutions for enhancing portfolio diversification and
replications of seminal papers with R, most of which are discussed in
one of the best investment references of the recent decade, Expected
Returns: An Investors Guide to Harvesting Market Rewards by Antti
Ilmanen.
Time Series
- tseries
- Time Series Analysis and Computational Finance.
- fGarch
- Rmetrics - Autoregressive Conditional Heteroskedastic Modelling.
- timeSeries
- Rmetrics - Financial Time Series Objects.
- rugarch -
Univariate GARCH Models.
- rmgarch -
Multivariate GARCH Models.
- tidypredict
- Run predictions inside the database https://tidypredict.netlify.com/.
- tidyquant -
Bringing financial analysis to the tidyverse.
- timetk - A
toolkit for working with time series in R.
- tibbletime -
Built on top of the tidyverse, tibbletime is an extension that allows
for the creation of time aware tibbles through the setting of a time
index.
- matrixprofile
- Time series data mining library built on top of the novel Matrix
Profile data structure and algorithms.
- garchmodels -
A parsnip backend for GARCH models.
Calendars
- timeDate
- Chronological and Calendar Objects
- bizdays -
Business days calculations and utilities
Matlab
FrameWorks
- QUANTAXIS -
Integrated Quantitative Toolbox with Matlab.
Julia
- Lucky.jl -
Modular, asynchronous trading engine in pure Julia.
- QuantLib.jl -
Quantlib implementation in pure Julia.
- Ito.jl - A Julia
package for quantitative finance.
- TALib.jl - A
Julia wrapper for TA-Lib.
- IncTA.jl -
Julia Incremental Technical Analysis Indicators
- Miletus.jl - A
financial contract definition, modeling language, and valuation
framework.
- Temporal.jl -
Flexible and efficient time series class & methods.
- Indicators.jl -
Financial market technical analysis & indicators on top of
Temporal.
- Strategems.jl -
Quantitative systematic trading strategy development and
backtesting.
- TimeSeries.jl -
Time series toolkit for Julia.
- MarketTechnicals.jl
- Technical analysis of financial time series on top of TimeSeries.
- MarketData.jl -
Time series market data.
- TimeFrames.jl -
A Julia library that defines TimeFrame (essentially for resampling
TimeSeries).
- DataFrames.jl -
In-memory tabular data in Julia
- TSFrames.jl -
Handle timeseries data on top of the powerful and mature
DataFrames.jl
Java
- Strata - Modern
open-source analytics and market risk library designed and written in
Java.
- JQuantLib -
JQuantLib is a free, open-source, comprehensive framework for
quantitative finance, written in 100% Java.
- finmath.net - Java library with
algorithms and methodologies related to mathematical finance.
- quantcomponents -
Free Java components for Quantitative Finance and Algorithmic
Trading.
- DRIP - Fixed
Income, Asset Allocation, Transaction Cost Analysis, XVA Metrics
Libraries.
- ta4j - A Java library for
technical analysis.
JavaScript
- finance.js
- A JavaScript library for common financial calculations.
- portfolio-allocation
- PortfolioAllocation is a JavaScript library designed to help
constructing financial portfolios made of several assets: bonds,
commodities, cryptocurrencies, currencies, exchange traded funds (ETFs),
mutual funds, stocks…
- Ghostfolio -
Wealth management software to keep track of financial assets like
stocks, ETFs or cryptocurrencies and make solid, data-driven investment
decisions.
- IndicatorTS -
Indicator is a TypeScript module providing various stock technical
analysis indicators, strategies, and a backtest framework for
trading.
- ccxt - A JavaScript /
Python / PHP cryptocurrency trading API with support for more than 100
bitcoin/altcoin exchanges.
- PENDAX -
Javascript SDK for Trading/Data API and Websockets for FTX, FTXUS, OKX,
Bybit, & More.
Data Visualization
Haskell
- quantfin
- quant finance in pure haskell.
- Haxcel - Excel
Addin for Haskell.
- Ffinar - A
financial maths library in Haskell.
Scala
- QuantScale
- Scala Quantitative Finance Library.
- Scala Quant -
Scala library for working with stock data from IFTTT recipes or Google
Finance.
Ruby
- Jiji - Open Source
Forex algorithmic trading framework using OANDA REST API.
Elixir/Erlang
- Tai - Open
Source composable, real time, market data and trade execution
toolkit.
- Workbench -
From Idea to Execution - Manage your trading operation across a globally
distributed cluster
- Prop - An
open and opinionated trading platform using productive & familiar
open source libraries and tools for strategy research, execution and
operation.
Golang
- Kelp - Kelp is an
open-source Golang algorithmic cryptocurrency trading bot that runs on
centralized exchanges and Stellar DEX (command-line usage and desktop
GUI).
- marketstore -
DataFrame Server for Financial Timeseries Data.
- IndicatorGo -
IndicatorGo is a Golang module providing various stock technical
analysis indicators, strategies, and a backtest framework for
trading.
CPP
- QuantLib - The
QuantLib project is aimed at providing a comprehensive software
framework for quantitative finance.
- TradeFrame
- C++ 17 based framework/library (with sample applications) for testing
options based automated trading ideas using DTN IQ real time data feed
and Interactive Brokers (TWS API) for trade execution. Comes with
built-in Option
Greeks/IV calculation library.
Frameworks
- QuantLib - The
QuantLib project is aimed at providing a comprehensive software
framework for quantitative finance.
- TA-Lib - perform technical analysis
of financial market data.
- Portfolio Optimizer -
Portfolio Optimizer is a Web API for portfolio analysis and
optimization.
CSharp
- QuantConnect -
Lean Engine is an open-source fully managed C# algorithmic trading
engine built for desktop and cloud usage.
- StockSharp -
Algorithmic trading and quantitative trading open source platform to
develop trading robots (stock markets, forex, crypto, bitcoins, and
options).
- TDAmeritrade.DotNetCore
- Free, open-source .NET Client for the TD Ameritrade Trading Platform.
Helps developers integrate TD Ameritrade API into custom trading
solutions.
Rust
- QuantMath -
Financial maths library for risk-neutral pricing and risk
- Barter -
Open-source Rust framework for building event-driven live-trading &
backtesting systems
- LFEST -
Simulated perpetual futures exchange to trade your strategy
against.
- TradeAggregation
- Aggregate trades into user-defined candles using information driven
rules.
- SlidingFeatures
- Chainable tree-like sliding windows for signal processing and
technical analysis.
- RustQuant -
Quantitative finance library written in Rust.
- finalytics -
A rust library for financial data analysis.
Reproducing Works, Training
& Books
- Derman
Papers - Notebooks that replicate original quantitative finance
papers from Emanuel Derman.
- ML-Quant - Top Quant
resources like ArXiv (sanity), SSRN, RePec, Journals, Podcasts, Videos,
and Blogs.
- volatility-trading
- A complete set of volatility estimators based on Euan Sinclair’s
Volatility Trading.
- quant -
Quantitative Finance and Algorithmic Trading exhaust; mostly ipython
notebooks based on Quantopian, Zipline, or Pandas.
- fecon235 - Open
source project for software tools in financial economics. Many jupyter
notebook to verify theoretical ideas and practical methods
interactively.
- Quantitative-Notebooks
- Educational notebooks on quantitative finance, algorithmic trading,
financial modelling and investment strategy
- QuantEcon - Lecture series on
economics, finance, econometrics and data science; QuantEcon.py,
QuantEcon.jl, notebooks
- FinanceHub -
Resources for Quantitative Finance
- Python_Option_Pricing
- An libary to price financial options written in Python. Includes:
Black Scholes, Black 76, Implied Volatility, American, European, Asian,
Spread Options.
- python-training
- J.P. Morgan’s Python training for business analysts and traders.
- Stock_Analysis_For_Quant
- Different Types of Stock Analysis in Excel, Matlab, Power BI, Python,
R, and Tableau.
- algorithmic-trading-with-python
- Source code for Algorithmic Trading with Python (2020) by Chris
Conlan.
- MEDIUM_NoteBook
- Repository containing notebooks of cerlymarco’s posts on
Medium.
- QuantFinance -
Training materials in quantitative finance.
- IPythonScripts -
Tutorials about Quantitative Finance in Python and QuantLib: Pricing,
xVAs, Hedging, Portfolio Optimisation, Machine Learning and Deep
Learning.
- Computational-Finance-Course
- Materials for the course of Computational Finance.
- Machine-Learning-for-Asset-Managers
- Implementation of code snippets, exercises and application to live
data from Machine Learning for Asset Managers (Elements in Quantitative
Finance) written by Prof. Marcos López de Prado.
- Python-for-Finance-Cookbook
- Python for Finance Cookbook, published by Packt.
- modelos_vol_derivativos
- “Modelos de Volatilidade para Derivativos” book’s Jupyter
notebooks
- NMOF -
Functions, examples and data from the first and the second edition of
“Numerical Methods and Optimization in Finance” by M. Gilli, D. Maringer
and E. Schumann (2019, ISBN:978-0128150658).
- py4fi2nd -
Jupyter Notebooks and code for Python for Finance (2nd ed., O’Reilly) by
Yves Hilpisch.
- aiif - Jupyter
Notebooks and code for the book Artificial Intelligence in Finance
(O’Reilly) by Yves Hilpisch.
- py4at - Jupyter
Notebooks and code for the book Python for Algorithmic Trading
(O’Reilly) by Yves Hilpisch.
- dawp - Jupyter
Notebooks and code for Derivatives Analytics with Python (Wiley Finance)
by Yves Hilpisch.
- dx - DX Analytics |
Financial and Derivatives Analytics with Python.
- QuantFinanceBook
- Quantitative Finance book.
- rough_bergomi
- A Python implementation of the rough Bergomi model.
- frh-fx - A
python implementation of the fast-reversion Heston model of Mechkov for
FX purposes.
- Value
Investing Studies - A collection of data analysis studies that
examine the performance and characteristics of value investing over long
periods of time.
- Machine
Learning Asset Management - Machine Learning in Asset Management (by
@firmai).
- Deep
Learning Machine Learning Stock - Deep Learning and Machine Learning
stocks represent a promising long-term or short-term opportunity for
investors and traders.
- Technical
Analysis and Feature Engineering - Feature Engineering and Feature
Importance of Machine Learning in Financial Market.
- Differential
Machine Learning and Axes that matter by Brian Huge and Antoine
Savine - Implement, demonstrate, reproduce and extend the results of
the Risk articles ‘Differential Machine Learning’ (2020) and ‘PCA with a
Difference’ (2021) by Huge and Savine, and cover implementation details
left out from the papers.
- systematictradingexamples
- Examples of code related to book Systematic Trading and blog
- pysystemtrade_examples
- Examples using pysystemtrade for Robert Carver’s blog.
- ML_Finance_Codes
- Machine Learning in Finance: From Theory to Practice Book
- Hands-On
Machine Learning for Algorithmic Trading - Hands-On Machine Learning
for Algorithmic Trading, published by Packt
- financialnoob-misc -
Codes from @financialnoob’s posts
- MesoSim
Options Trading Strategy Library - Free and public Options Trading
strategy library for MesoSim.
- Quant-Finance-With-Python-Code
- Repo for code examples in Quantitative Finance with Python by Chris
Kelliher
- QuantFinanceTraining
- This repository contains codes that were executed during my training
in the CQF (Certificate in Quantitative Finance). The codes are
organized by class, facilitating navigation and reference.
- Statistical-Learning-based-Portfolio-Optimization
- This R Shiny App utilizes the Hierarchical Equal Risk Contribution
(HERC) approach, a modern portfolio optimization method developed by
Raffinot (2018).
- book_irds3 -
Code repository for Pricing and Trading Interest Rate Derivatives.
- Autoencoder-Asset-Pricing-Models
- Reimplementation of Autoencoder Asset Pricing Models (GKX,
2019).
- Finance -
150+ quantitative finance Python programs to help you gather,
manipulate, and analyze stock market data.
- 101_formulaic_alphas
- Implemention of 101
formulaic alphas using qstrader.