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awesome-quant

A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance)
https://github.com/eric-erki/awesome-quant

Last synced: about 16 hours ago
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Python
- Numerical Libraries & Data Structures
  - statistics - Builtin Python library for all basic statistical calculations.
  - sympy - SymPy is a Python library for symbolic mathematics.
  - quantdsl - Domain specific language for quantitative analytics in finance and trading.
- Financial Instruments and Pricing
  - pynance - PyNance is open-source software for retrieving, analysing and visualizing data from stock and derivatives markets.
  - 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.
  - 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.
  - tia - Toolkit for integration and analysis.
  - pysabr - SABR model Python implementation.
  - pynance - PyNance is open-source software for retrieving, analysing and visualizing data from stock and derivatives markets.
- Trading & Backtesting
  - trade - trade is a Python framework for the development of financial applications.
  - zipline - Pythonic algorithmic trading library.
  - tradingWithPython - A collection of functions and classes for Quantitative trading.
  - pysentosa - Python API for sentosa trading system.
  - pandas_talib - A Python Pandas implementation of technical analysis indicators.
  - 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.
  - pythalesians - Python library to backtest trading strategies, plot charts, seamlessly download market data, analyse market patterns etc.
  - pybacktest - Vectorized backtesting framework in Python / pandas, designed to make your backtesting easier.
  - pyalgotrade - Python Algorithmic Trading Library.
  - pandas-ta - An easy to use Python 3 Pandas Extension with 80+Technical Analysis Indicators
  - ta - Technical Analysis Library using Pandas (Python)
  - algobroker - This is an execution engine for algo trading.
  - 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.
  - 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 optimisation in python, including classical efficient frontier and advanced methods.
  - 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.
  - Backtesting.py - Backtest trading strategies in Python
  - zvt - write trading algorithm once, run it on all markets
  - aat - Async Algorithmic Trading Engine
  - catalyst - An Algorithmic Trading Library for Crypto-Assets in Python
- Risk Analysis
  - 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.
  - 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.
  - visualize-wealth - Portfolio construction and quantitative analysis.
  - VisualPortfolio - This tool is used to visualize the perfomance of a portfolio.
- Time Series
  - hasura/quandl-metabase - Hasura quickstart to visualize Quandl's timeseries datasets with Metabase.
  - ARCH - ARCH models in Python.
  - 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.
- Data Sources
  - chinesestockapi - Python API to get Chinese stock price.
  - tushare - A utility for crawling historical and Real-time Quotes data of China stocks.
  - jsm - Get the japanese stock market data.
  - bronto-python - Bronto API Integration for Python.
  - 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.
  - 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.
  - inquisitor - Python Interface to Econdb.com API.
  - yfi - Yahoo! YQL library.
  - 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.
  - 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.
  - 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.
  - IEX - Python Interface for retrieving real-time and historical prices and equities data from The Investor's Exchange.
  - alpaca-trade-api - Python interface for retrieving real-time and historical prices from Alpaca API as well as trade execution.
  - yahoo-finance - Python module to get stock data from Yahoo! Finance.
  - yfinanceapi - Finance API for Python.
  - ccy - Python module for currencies.
  - FRB - Python Client for FRED® API.
- Excel Integration
  - xlwings - Make Excel fly with Python.
  - openpyxl - Read/Write Excel 2007 xlsx/xlsm files.
  - xlsxwriter - Write files in the Excel 2007+ XLSX file format.
  - DataNitro - DataNitro also offers full-featured Python-Excel integration, including UDFs. Trial downloads are available, but users must purchase a license.
  - xlrd - Library for developers to extract data from Microsoft Excel spreadsheet files.
  - xlwt - Library to create spreadsheet files compatible with MS Excel 97/2000/XP/2003 XLS files, on any platform.
  - xlloop - XLLoop is an open source framework for implementing Excel user-defined functions (UDFs) on a centralised server (a function server).
- Indicators
  - Tulipy - Financial Technical Analysis Indicator Library (Python bindings for [tulipindicators]( https://github.com/TulipCharts/tulipindicators))
- Factor Analysis
  - alphalens - Performance analysis of predictive alpha factors.
- Calendars
  - trading_calendars - Stock Exchange Trading Calendars.
  - bizdays - Business days calculations and utilities.
  - pandas_market_calendars - Exchange calendars to use with pandas for trading applications.
R
- Numerical Libraries & Data Structures
  - 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.
  - TSdbi - Provides a common interface to time series databases.
  - 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.
  - tseries - Time Series Analysis and Computational Finance.
  - sparseEigen - Sparse pricipal component analysis.
  - zoo - S3 Infrastructure for Regular and Irregular Time Series (Z's Ordered Observations).
  - 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 Sources
  - IBrokers - Provides native R access to Interactive Brokers Trader Workstation API.
  - Rblpapi - An R Interface to 'Bloomberg' is provided via the 'Blp API'.
  - 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.
- Financial Instruments and Pricing
  - quantmod - Quantitative Financial Modelling Framework.
  - fAsianOptions - EBM and Asian Option Valuation.
  - fAssets - Analysing and Modelling Financial Assets.
  - fBasics - Markets and Basic Statistics.
  - fBonds - Bonds and Interest Rate Models.
  - fExoticOptions - Exotic Option Valuation.
  - fOptions - Pricing and Evaluating Basic Options.
  - fPortfolio - Portfolio Selection and Optimization.
  - portfolio - Analysing equity portfolios.
  - portfolioSim - Framework for simulating equity portfolio strategies.
  - 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.
  - options.studies - options trading studies functions for use with options.data package and shiny.
  - sparseIndexTracking - Portfolio design to track an index.
  - covFactorModel - Covariance matrix estimation via factor models.
  - riskParityPortfolio - Blazingly fast design of risk parity portfolios.
  - r-quant - R code for quantitative analysis in finance.
  - RQuantLib - RQuantLib connects GNU R with QuantLib.
- Trading
  - backtest - Exploring Portfolio-Based Conjectures About Financial Instruments.
  - pa - Performance Attribution for Equity Portfolios.
  - TTR - Technical Trading Rules.
  - QuantTools - Enhanced Quantitative Trading Modelling.
- Risk Analysis
  - PerformanceAnalytics - Econometric tools for performance and risk analysis.
- Time Series
  - 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.
- Calendars
  - timeDate - Chronological and Calendar Objects
  - bizdays - Business days calculations and utilities
Julia
- FrameWorks
  - FinancialMarkets.jl - Describe and model financial markets objects using Julia.
  - Miletus.jl - A financial contract definition, modeling language, and valuation framework.
  - QuantLib.jl - Quantlib implementation in pure Julia.
  - Ito.jl - A Julia package for quantitative finance.
  - TALib.jl - A Julia wrapper for TA-Lib.
  - 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).
Haskell
- Data Visualization
  - hqfl - Haskell Quantitative Finance Library.
Frameworks
- Data Visualization
  - QuantLibAddin - Excel support.
  - QuantLibXL - Excel support.
  - JQuantLib - Java port.
Matlab
- FrameWorks
  - QUANTAXIS - Integrated Quantitative Toolbox with Matlab.

Programming Languages

Python 65 Julia 10 R 10 Jupyter Notebook 9 HTML 3 C++ 1 Cython 1

Ecosyste.ms: Awesome

awesome-quant

Python

Numerical Libraries & Data Structures

Financial Instruments and Pricing

Trading & Backtesting

Risk Analysis

Time Series

Data Sources

Excel Integration

Indicators

Factor Analysis

Calendars

R

Numerical Libraries & Data Structures

Data Sources

Financial Instruments and Pricing

Trading

Risk Analysis

Time Series

Calendars

Julia

FrameWorks

Haskell

Data Visualization

Frameworks

Data Visualization

Matlab

FrameWorks