mirror of
https://github.com/mihakralj/QuanTAlib.git
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Miha Kralj
a7b7207801
- Updated mathematical foundations and performance profiles where necessary to maintain clarity and coherence.
87 lines
5.5 KiB
Markdown
87 lines
5.5 KiB
Markdown
[](https://app.codacy.com/gh/mihakralj/QuanTAlib/dashboard?utm_source=gh&utm_medium=referral&utm_content=&utm_campaign=Badge_grade)
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[](https://codecov.io/gh/mihakralj/QuanTAlib)
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[](https://sonarcloud.io/summary/new_code?id=mihakralj_QuanTAlib)
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[](https://www.codefactor.io/repository/github/mihakralj/quantalib/overview/main)
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[](https://www.nuget.org/packages/QuanTAlib/)
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[](https://www.nuget.org/packages/QuanTAlib/)
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[](https://github.com/mihakralj/QuanTAlib/watchers)
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[](https://dotnet.microsoft.com/en-us/download/dotnet)
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# QuanTAlib - Quantitative Technical Indicators Without Compromises
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TA libraries face a fundamental choice: accept approximations for simplicity OR enforce math rigor. QuanTAlib chooses rigor.
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**Quan**titative **TA** **lib**rary (QuanTAlib) is a C# library built on the premise that you shouldn't have to choose. Modern CPUs process 4-8 FLOPS per cycle via SIMD. Modern .NET exposes memory layouts making hardware acceleration trivial. QuanTAlib exploits both. **Result:** mathematically rigorous indicators at speeds making real-time multi-symbol analysis practical on ordinary hardware.
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## Key Features
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- **Zero Allocation**: Hot paths are allocation-free. No GC pauses during trading.
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- **SIMD Accelerated**: Uses AVX2/AVX-512 for 8x throughput on modern CPUs.
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- **O(1) Streaming**: Constant time updates regardless of lookback period.
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- **Platform Agnostic**: Runs on .NET 8/9/10, compatible with Quantower, NinjaTrader, QuantConnect.
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- **Mathematically Rigorous**: Validated against original research papers and established libraries.
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## Indicators
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| Category | What It Measures | Representative Indicators |
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| -------- | ---------------- | ------------------------- |
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| [**Trends**](../lib/trends/_index.md) | Direction and strength of price movement through smoothing and filtering | SMA, EMA, WMA, HMA, JMA, KAMA, ALMA, DEMA, TEMA, T3 |
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| [**Volatility**](../lib/volatility/_index.md) | Size and variability of price movements | ATR, StdDev, Bollinger Bands, Keltner Channels, Historical Volatility |
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| [**Momentum**](../lib/momentum/_index.md) | Speed and magnitude of price changes | RSI, Stochastic, CCI, Williams %R, MACD, Momentum, ROC |
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| [**Volume**](../lib/volume/_index.md) | Trading activity and price-volume relationships | OBV, VWAP, Volume ROC, A/D, MFI |
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| [**Channels**](../lib/channels/_index.md) | Price boundaries and range definitions | Donchian Channels, Keltner Channels, Price Channels |
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| [**Statistics**](../lib/statistics/_index.md) | Mathematical relationships between price series | Correlation, Covariance, Beta, Z-Score, Linear Regression |
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| [**Numerics**](../lib/numerics/_index.md) | Mathematical transformations and signal processing | Convolution, Filters, Integration, Differentiation, Smoothing |
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| [**Errors**](../lib/errors/_index.md) | Measurement accuracy and model fit quality | MAE, RMSE, Residuals, R-Squared |
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| [**Forecasts**](../lib/forecasts/_index.md) | Future price prediction and projection | Linear Regression Forecast, Moving Average Projection |
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| [**Cycles**](../lib/cycles/_index.md) | Periodic patterns and dominant frequencies | Hilbert Transform, Dominant Cycle, Instantaneous Phase, Sine Wave |
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## Quick Start
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Install from NuGet:
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```bash
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dotnet add package QuanTAlib
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```
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Calculate an SMA in real-time:
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```csharp
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using QuanTAlib;
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var sma = new Sma(period: 14);
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double price = 100.0;
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// Update with new price
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var result = sma.Update(new TValue(DateTime.UtcNow, price));
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if (result.IsHot)
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{
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Console.WriteLine($"SMA: {result.Value}");
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}
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```
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## Performance Snapshot
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QuanTAlib is designed for speed. Here is how it compares calculating a 500,000 bar SMA against other libraries:
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| Library | Mean Time | Allocations | Relative Speed |
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|----------------------|--------------|-------------|----------------------|
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| **QuanTAlib (Span)** | **318.3 μs** | **0 B** | **1.00x (baseline)** |
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| TA-Lib | 356.4 μs | 34 B | 1.12x slower |
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| Tulip Indicators | 359.3 μs | 0 B | 1.13x slower |
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| Skender Indicators | 71,277 μs | 50.8 MB | 224x slower |
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*See [Benchmarks](benchmarks.md) for full details and methodology.*
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## Documentation
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- [**Architecture**](architecture.md): Learn about SoA layout, SIMD, and design philosophy.
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- [**Indicators**](INDICATORS.md): Full catalog of available indicators and their mathematical families.
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- [**Benchmarks**](benchmarks.md): Detailed performance evidence and test methodology.
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- [**Usage Guides**](usage.md): Detailed patterns for Span, Streaming, Batch, and Eventing modes.
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- [**Integration**](integration.md): Setup guides for Quantower, NinjaTrader, and QuantConnect.
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- [**Glossary**](glossary.md): Definitions of core QuanTAlib concepts, types, and terminology.
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