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Co-Authored-By: Claude Haiku 4.5 <noreply@anthropic.com>
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Wilson Freitas
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@@ -27,15 +27,15 @@ A curated list of insanely awesome libraries, packages and resources for Quants
## Numerical Libraries & Data Structures
- [numpy](https://www.numpy.org) - `Python` - NumPy is the fundamental package for scientific computing with Python. [GitHub](https://github.com/numpy/numpy).
- [scipy](https://www.scipy.org) - `Python` - SciPy (pronounced “Sigh Pie”) is a Python-based ecosystem of open-source software for mathematics, science, and engineering. [GitHub](https://github.com/scipy/scipy).
- [pandas](https://pandas.pydata.org) - `Python` - 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. [GitHub](https://github.com/pandas-dev/pandas).
- [polars](https://docs.pola.rs/) - `Python` - Polars is a blazingly fast DataFrame library for manipulating structured data. [GitHub](https://github.com/pola-rs/polars).
- [numpy](https://www.numpy.org) - `Python` - NumPy is the fundamental package for scientific computing with Python. [GitHub](https://github.com/numpy/numpy)
- [scipy](https://www.scipy.org) - `Python` - SciPy (pronounced “Sigh Pie”) is a Python-based ecosystem of open-source software for mathematics, science, and engineering. [GitHub](https://github.com/scipy/scipy)
- [pandas](https://pandas.pydata.org) - `Python` - 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. [GitHub](https://github.com/pandas-dev/pandas)
- [polars](https://docs.pola.rs/) - `Python` - Polars is a blazingly fast DataFrame library for manipulating structured data. [GitHub](https://github.com/pola-rs/polars)
- [quantdsl](https://github.com/johnbywater/quantdsl) - `Python` - Domain specific language for quantitative analytics in finance and trading.
- [statistics](https://docs.python.org/3/library/statistics.html) - `Python` - Builtin Python library for all basic statistical calculations.
- [sympy](https://www.sympy.org/) - `Python` - SymPy is a Python library for symbolic mathematics. [GitHub](https://github.com/sympy/sympy).
- [pymc3](https://docs.pymc.io/) - `Python` - Probabilistic Programming in Python: Bayesian Modeling and Probabilistic Machine Learning with Theano. [GitHub](https://github.com/pymc-devs/pymc).
- [modelx](https://docs.modelx.io/) - `Python` - Python reimagination of spreadsheets as formula-centric objects that are interoperable with pandas. [GitHub](https://github.com/fumitoh/modelx).
- [sympy](https://www.sympy.org/) - `Python` - SymPy is a Python library for symbolic mathematics. [GitHub](https://github.com/sympy/sympy)
- [pymc3](https://docs.pymc.io/) - `Python` - Probabilistic Programming in Python: Bayesian Modeling and Probabilistic Machine Learning with Theano. [GitHub](https://github.com/pymc-devs/pymc)
- [modelx](https://docs.modelx.io/) - `Python` - Python reimagination of spreadsheets as formula-centric objects that are interoperable with pandas. [GitHub](https://github.com/fumitoh/modelx)
- [ArcticDB](https://github.com/man-group/ArcticDB) - `Python` - High performance datastore for time series and tick data.
- [xts](https://github.com/joshuaulrich/xts) - `R` - 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](https://github.com/Rdatatable/data.table) - `R` - 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.
@@ -82,7 +82,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants
- [optionlab](https://github.com/rgaveiga/optionlab) - `Python` - A Python library for evaluating option trading strategies.
- [flashalpha](https://github.com/FlashAlpha-lab/flashalpha-python) - `Python` - Python client for the FlashAlpha options analytics API.
- [RQuantLib](https://github.com/eddelbuettel/rquantlib) - `R` - RQuantLib connects GNU R with QuantLib.
- [quantmod](https://cran.r-project.org/web/packages/quantmod/index.html) - `R` - Quantitative Financial Modelling Framework. [GitHub](https://github.com/joshuaulrich/quantmod).
- [quantmod](https://cran.r-project.org/web/packages/quantmod/index.html) - `R` - Quantitative Financial Modelling Framework. [GitHub](https://github.com/joshuaulrich/quantmod)
- [Rmetrics](https://www.rmetrics.org) - `R` - The premier open source software solution for teaching and training quantitative finance.
- [fAsianOptions](https://cran.r-project.org/web/packages/fAsianOptions/index.html) - EBM and Asian Option Valuation.
- [fAssets](https://cran.r-project.org/web/packages/fAssets/index.html) - Analysing and Modelling Financial Assets.
@@ -103,7 +103,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants
- [tvm](https://cran.r-project.org/web/packages/tvm/index.html) - `R` - Time Value of Money Functions.
- [OptionPricing](https://cran.r-project.org/web/packages/OptionPricing/index.html) - `R` - Option Pricing with Efficient Simulation Algorithms.
- [credule](https://github.com/blenezet/credule) - `R` - Credit Default Swap Functions.
- [derivmkts](https://cran.r-project.org/web/packages/derivmkts/index.html) - `R` - Functions and R Code to Accompany Derivatives Markets. [GitHub](https://github.com/rmcd1024/derivmkts).
- [derivmkts](https://cran.r-project.org/web/packages/derivmkts/index.html) - `R` - Functions and R Code to Accompany Derivatives Markets. [GitHub](https://github.com/rmcd1024/derivmkts)
- [FinCal](https://github.com/felixfan/FinCal) - `R` - Package for time value of money calculation, time series analysis and computational finance.
- [r-quant](https://github.com/artyyouth/r-quant) - `R` - R code for quantitative analysis in finance.
- [options.studies](https://github.com/taylorizing/options.studies) - `R` - options trading studies functions for use with options.data package and shiny.
@@ -112,9 +112,9 @@ A curated list of insanely awesome libraries, packages and resources for Quants
- [QuantLib.jl](https://github.com/pazzo83/QuantLib.jl) - `Julia` - Quantlib implementation in pure Julia.
- [Ito.jl](https://github.com/aviks/Ito.jl) - `Julia` - A Julia package for quantitative finance.
- [Miletus.jl](https://github.com/JuliaComputing/Miletus.jl) - `Julia` - A financial contract definition, modeling language, and valuation framework.
- [Strata](http://strata.opengamma.io/) - `Java` - Modern open-source analytics and market risk library designed and written in Java. [GitHub](https://github.com/OpenGamma/Strata).
- [Strata](http://strata.opengamma.io/) - `Java` - Modern open-source analytics and market risk library designed and written in Java. [GitHub](https://github.com/OpenGamma/Strata)
- [JQuantLib](https://github.com/frgomes/jquantlib) - `Java` - JQuantLib is a free, open-source, comprehensive framework for quantitative finance, written in 100% Java.
- [finmath.net](http://finmath.net) - `Java` - Java library with algorithms and methodologies related to mathematical finance. [GitHub](https://github.com/finmath/finmath-lib).
- [finmath.net](http://finmath.net) - `Java` - Java library with algorithms and methodologies related to mathematical finance. [GitHub](https://github.com/finmath/finmath-lib)
- [quantcomponents](https://github.com/lsgro/quantcomponents) - `Java` - Free Java components for Quantitative Finance and Algorithmic Trading.
- [DRIP](https://lakshmidrip.github.io/DRIP) - `Java` - Fixed Income, Asset Allocation, Transaction Cost Analysis, XVA Metrics Libraries.
- [finance.js](https://github.com/ebradyjobory/finance.js) - `JavaScript` - A JavaScript library for common financial calculations.
@@ -320,7 +320,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants
## Time Series Analysis
- [ARCH](https://github.com/bashtage/arch) - `Python` - ARCH models in Python.
- [statsmodels](http://statsmodels.sourceforge.net) - `Python` - Python module that allows users to explore data, estimate statistical models, and perform statistical tests. [GitHub](https://github.com/statsmodels/statsmodels).
- [statsmodels](http://statsmodels.sourceforge.net) - `Python` - Python module that allows users to explore data, estimate statistical models, and perform statistical tests. [GitHub](https://github.com/statsmodels/statsmodels)
- [dynts](https://github.com/quantmind/dynts) - `Python` - Python package for timeseries analysis and manipulation.
- [PyFlux](https://github.com/RJT1990/pyflux) - `Python` - Python library for timeseries modelling and inference (frequentist and Bayesian) on models.
- [tsfresh](https://github.com/blue-yonder/tsfresh) - `Python` - Automatic extraction of relevant features from time series.
@@ -366,7 +366,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants
- [wallstreet](https://github.com/mcdallas/wallstreet) - `Python` - Real time stock and option data.
- [stock_extractor](https://github.com/ZachLiuGIS/stock_extractor) - `Python` - General Purpose Stock Extractors from Online Resources.
- [Stockex](https://github.com/cttn/Stockex) - `Python` - Python wrapper for Yahoo! Finance API.
- [SwapAPI](https://swapapi.dev) - `Python` - Free DEX aggregator API returning executable swap calldata across 46 EVM chains. No API key required. [GitHub](https://github.com/swap-api/swap-api).
- [SwapAPI](https://swapapi.dev) - `Python` - Free DEX aggregator API returning executable swap calldata across 46 EVM chains. No API key required. [GitHub](https://github.com/swap-api/swap-api)
- [finsymbols](https://github.com/skillachie/finsymbols) - `Python` - Obtains stock symbols and relating information for SP500, AMEX, NYSE, and NASDAQ.
- [FRB](https://github.com/avelkoski/FRB) - `Python` - Python Client for FRED® API.
- [inquisitor](https://github.com/econdb/inquisitor) - `Python` - Python Interface to Econdb.com API.
@@ -385,7 +385,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants
- [coinmarketcap](https://github.com/barnumbirr/coinmarketcap) - `Python` - Python API for coinmarketcap.
- [coinpulse](https://github.com/soutone/coinpulse-python) - `Python` - Python SDK for cryptocurrency portfolio tracking with real-time prices, P/L calculations, and price alerts. Free tier available.
- [after-hours](https://github.com/datawrestler/after-hours) - `Python` - Obtain pre market and after hours stock prices for a given symbol.
- [bronto-python](https://pypi.org/project/bronto-python/) - `Python` - Bronto API Integration for Python. [GitHub](https://github.com/Scotts-Marketplace/bronto-python).
- [bronto-python](https://pypi.org/project/bronto-python/) - `Python` - Bronto API Integration for Python. [GitHub](https://github.com/Scotts-Marketplace/bronto-python)
- [pytdx](https://github.com/rainx/pytdx) - `Python` - Python Interface for retrieving chinese stock realtime quote data from TongDaXin Nodes.
- [pdblp](https://github.com/matthewgilbert/pdblp) - `Python` - A simple interface to integrate pandas and the Bloomberg Open API.
- [tiingo](https://github.com/hydrosquall/tiingo-python) - `Python` - Python interface for daily composite prices/OHLC/Volume + Real-time News Feeds, powered by the Tiingo Data Platform.
@@ -419,7 +419,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants
- [fedfred](https://nikhilxsunder.github.io/fedfred/) - `Python` - FRED & GeoFRED Economic data API with preprocessed dataframe output in pandas/geopandas, polars/polars_st, and dask dataframes/geodataframes.
- [edgar-sec](https://nikhilxsunder.github.io/edgar-sec/) - `Python` - EDGAR Financial data API with preprocessed dataclass outputs.
- [edgartools](https://github.com/dgunning/edgartools) - `Python` - AI-native SEC EDGAR library with XBRL financials, clean text extraction, 17+ typed forms, and pandas DataFrames.
- [FXMacroData](https://fxmacrodata.com/) - `Python` - Real-time forex macroeconomic API for all major currency pairs sourced from central bank announcements. [GitHub](https://github.com/fxmacrodata/fxmacrodata).
- [FXMacroData](https://fxmacrodata.com/) - `Python` - Real-time forex macroeconomic API for all major currency pairs sourced from central bank announcements. [GitHub](https://github.com/fxmacrodata/fxmacrodata)
- [uk-sic-codes](https://github.com/borschai/uk-sic-codes) - `Python` - UK SIC 2007 industry classification code lookup, search, and validation. 731 codes, 21 sections. [PyPI](https://pypi.org/project/uk-sic-codes/).
- [uk-company-number](https://github.com/borschai/uk-company-number) - `Python` - Validate, format, and identify UK Companies House company numbers. Supports all 27 prefixes. [PyPI](https://pypi.org/project/uk-company-number/).
- [IBrokers](https://cran.r-project.org/web/packages/IBrokers/index.html) - `R` - Provides native R access to Interactive Brokers Trader Workstation API.
@@ -471,12 +471,12 @@ A curated list of insanely awesome libraries, packages and resources for Quants
## Excel & Spreadsheet Integration
- [xlwings](https://www.xlwings.org/) - `Python` - Make Excel fly with Python. [GitHub](https://github.com/xlwings/xlwings).
- [xlwings](https://www.xlwings.org/) - `Python` - Make Excel fly with Python. [GitHub](https://github.com/xlwings/xlwings)
- [openpyxl](https://openpyxl.readthedocs.io/en/latest/) - `Python` - Read/Write Excel 2007 xlsx/xlsm files.
- [xlrd](https://github.com/python-excel/xlrd) - `Python` - Library for developers to extract data from Microsoft Excel spreadsheet files.
- [xlsxwriter](https://xlsxwriter.readthedocs.io/) - `Python` - Write files in the Excel 2007+ XLSX file format. [GitHub](https://github.com/jmcnamara/XlsxWriter).
- [xlsxwriter](https://xlsxwriter.readthedocs.io/) - `Python` - Write files in the Excel 2007+ XLSX file format. [GitHub](https://github.com/jmcnamara/XlsxWriter)
- [xlwt](https://github.com/python-excel/xlwt) - `Python` - Library to create spreadsheet files compatible with MS Excel 97/2000/XP/2003 XLS files, on any platform.
- [xlloop](http://xlloop.sourceforge.net) - `Python` - XLLoop is an open source framework for implementing Excel user-defined functions (UDFs) on a centralised server (a function server). [GitHub](https://github.com/poidasmith/xlloop).
- [xlloop](http://xlloop.sourceforge.net) - `Python` - XLLoop is an open source framework for implementing Excel user-defined functions (UDFs) on a centralised server (a function server). [GitHub](https://github.com/poidasmith/xlloop)
- [expy](http://www.bnikolic.co.uk/expy/expy.html) - `Python` - 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](https://www.pyxll.com) - `Python` - PyXLL is an Excel add-in that enables you to extend Excel using nothing but Python code.
@@ -486,7 +486,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants
## Cross-Language Frameworks
- [RunMat](https://runmat.org) - High performance, Open Source, MATLAB syntax runtime. [GitHub](https://github.com/runmat-org/runmat).
- [RunMat](https://runmat.org) - High performance, Open Source, MATLAB syntax runtime. [GitHub](https://github.com/runmat-org/runmat)
- [QuantLib](https://github.com/lballabio/QuantLib) - The QuantLib project is aimed at providing a comprehensive software framework for quantitative finance.
- [QuantLibRisks](https://github.com/auto-differentiation/QuantLib-Risks-Cpp) - Fast risks with QuantLib in C++.
- [XAD](https://github.com/auto-differentiation/xad) - Automatic Differentation (AAD) Library.
@@ -501,7 +501,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants
- [PyQL](https://github.com/enthought/pyql) - Python port.
- [QuantLib.jl](https://github.com/pazzo83/QuantLib.jl) - Julia port.
- [QuantLib-Python Documentation](https://quantlib-python-docs.readthedocs.io/) - Documentation for the Python bindings for the QuantLib library.
- [TA-Lib](https://ta-lib.org) - perform technical analysis of financial market data. [GitHub](https://github.com/TA-Lib/ta-lib).
- [TA-Lib](https://ta-lib.org) - perform technical analysis of financial market data. [GitHub](https://github.com/TA-Lib/ta-lib)
- [ta-lib-python](https://github.com/TA-Lib/ta-lib-python).
- [ta-lib](https://github.com/TA-Lib/ta-lib).
- [RunMat](https://github.com/runmat-org/runmat) - Rust runtime for MATLAB-syntax array math with automatic CPU/GPU execution and fused kernels for quant simulations.
@@ -559,7 +559,7 @@ A curated list of insanely awesome libraries, packages and resources for Quants
- [RoughVolatilityWorkshop](https://github.com/jgatheral/RoughVolatilityWorkshop) - 2024 QuantMind's Rough Volatility Workshop lectures.
- [AFML](https://github.com/boyboi86/AFML) - All the answers for exercises from Advances in Financial Machine Learning by Dr Marco Lopez de Parodo.
- [AlgoTradingLib](https://github.com/usdaud/algotradinglib.github.io) - A catalog of algorithmic trading libraries, frameworks, strategies, and educational materials.
- [Portfolio Optimization Book](https://portfoliooptimizationbook.com/) - Prof. Daniel Palomar's Portfolio Optimization Book. [GitHub](https://github.com/dppalomar/pob).
- [Portfolio Optimization Book](https://portfoliooptimizationbook.com/) - Prof. Daniel Palomar's Portfolio Optimization Book. [GitHub](https://github.com/dppalomar/pob)
## Commercial & Proprietary Services