mirror of
https://github.com/mihakralj/QuanTAlib.git
synced 2026-07-28 01:37:43 +00:00
Miha Kralj
105 lines
3.7 KiB
Markdown
105 lines
3.7 KiB
Markdown
# quantalib
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[](https://pypi.org/project/quantalib/)
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[](https://pypi.org/project/quantalib/)
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[](https://github.com/mihakralj/quantalib/blob/main/LICENSE)
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393 technical analysis indicators compiled to native code via .NET NativeAOT, called from Python through `ctypes`. Same SIMD-accelerated engine as the [QuanTAlib](https://github.com/mihakralj/quantalib) .NET package. Zero Python math reimplementation.
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```bash
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pip install quantalib
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```
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## Quick Start
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```python
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import numpy as np
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import quantalib as qtl
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close = np.random.default_rng(42).normal(100, 2, size=500)
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sma = qtl.sma(close, period=20)
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rsi = qtl.rsi(close, period=14)
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upper, mid, lower = qtl.bbands(close, period=20, std=2.0)
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```
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Works with **pandas**, **polars**, and **pyarrow** — same-type-in, same-type-out:
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```python
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# pandas — preserves index
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import pandas as pd
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s = pd.Series(close, name="close")
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rsi = qtl.rsi(s, period=14) # → pd.Series
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# polars — zero-copy-friendly
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import polars as pl
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s = pl.Series("close", close)
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rsi = qtl.rsi(s, period=14) # → pl.Series
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bb = qtl.bbands(s, period=20) # → pl.DataFrame (upper, mid, lower)
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# pyarrow — for Arrow-native pipelines
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import pyarrow as pa
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a = pa.array(close, type=pa.float64())
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rsi = qtl.rsi(a, period=14) # → pa.Array
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```
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> **pandas-ta users:** `length=` is accepted everywhere as an alias for `period=`.
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Install optional backends:
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```bash
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pip install quantalib[pandas] # pandas / pd.Series support
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pip install quantalib[polars] # polars / pl.Series support
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pip install quantalib[pyarrow] # pyarrow / pa.Array support
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pip install quantalib[all] # all three
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```
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## Performance (500,000 bars, AVX-512)
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| Indicator | quantalib | pandas-ta | Ratio |
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| --------- | --------: | --------: | ----: |
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| SMA | 328 μs | ~50 ms | ~150× |
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| EMA | 421 μs | ~45 ms | ~107× |
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| WMA | 302 μs | ~60 ms | ~199× |
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| RSI | 517 μs | ~80 ms | ~155× |
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The `ctypes` call adds 5-15 μs overhead. For arrays above a few hundred bars, NativeAOT wins by two orders of magnitude.
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## Categories
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| Category | Module | Examples |
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| -------- | ------ | -------- |
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| Channels | `channels` | bbands, kchannel, dchannel, aberr |
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| Core | `core` | ha, midpoint, avgprice, typprice |
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| Cycles | `cycles` | ht_dcperiod, ht_sine, cg, dsp |
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| Dynamics | `dynamics` | adx, aroon, ichimoku, supertrend |
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| Errors | `errors` | mse, rmse, mae, mape, huber |
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| Filters | `filters` | kalman, sgf, hp, butter2, wavelet |
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| Momentum | `momentum` | rsi, macd, roc, mom, tsi |
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| Numerics | `numerics` | fft, normalize, sigmoid, slope |
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| Oscillators | `oscillators` | stoch, cci, fisher, qqe, willr |
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| Reversals | `reversals` | psar, pivot, fractals, swings |
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| Statistics | `statistics` | zscore, correlation, entropy, linreg |
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| Trends FIR | `trends_fir` | sma, wma, hma, alma, trima |
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| Trends IIR | `trends_iir` | ema, dema, tema, kama, jma |
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| Volatility | `volatility` | atr, bbw, stddev, hv, tr |
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| Volume | `volume` | obv, vwma, mfi, cmf, adl |
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## Requirements
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- Python 3.10+
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- NumPy >= 1.24
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- Pre-built wheels: `win-x64`, `linux-x64`, `osx-x64`, `osx-arm64`
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### Optional dependencies
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| Extra | Minimum version | Enables |
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| ----- | --------------- | ------- |
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| `pandas` | ≥ 1.5 | `pd.Series` / `pd.DataFrame` round-trip |
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| `polars` | ≥ 0.20 | `pl.Series` / `pl.DataFrame` round-trip |
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| `pyarrow` | ≥ 14.0 | `pa.Array` / `pa.ChunkedArray` round-trip |
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## License
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[Apache License 2.0](https://github.com/mihakralj/quantalib/blob/main/LICENSE)
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