Awesome Systematic Trading

or Quantitative Trading + a bit data science infra

Star History

Interested in systematic trading? Check QuantBox

A curated list of awesome libraries, packages and resources for Systematic Trading (Quantitative Trading)

Open access: all rights granted for use and re-use of any kind, by anyone, at no cost, under your choice of either the free MIT License or Creative Commons CC-BY International Public License.

© 2021 Zhe Wang (知乎 | [email protected])

How do we pick the projects?

Fit in Systematic Trading / Quantitative Trading domain
Good coding style and software architecture
(Optional) Under active development
(Optional) Reasonable test coverage

Overall, I tend to pick decent or promising libraries that closely related to systematic trading instead of including as many libraries as possible.

Please raise a PR if you found some good fit projects for this repo or remove some outdated projects. Thanks!

Search page by languages you are interested in to find related libraries. For example: Ctrl+F, Rust

And I count crypto as whole new category: >> Click ME to Systematic Crypto.

Awesome Systematic Trading

Backtest + live trading

General purpose

Event Driven Frameworks

Note: the one marked as Live Trading has reasonable live trading support for at least 1 broker. Otherwise, backtest function only.

aat | Python, C++, Live Trading| - an asynchronous, event-driven framework for writing algorithmic trading strategies in python with optional acceleration in C++. It is designed to be modular and extensible, with support for a wide variety of instruments and strategies, live trading across (and between) multiple exchanges.
* barter-rs | Rust | - Open-source Rust framework for building event-driven live-trading & backtesting systems. Algorithmic trade with the peace of mind that comes from knowing your strategies have been backtested with a near-identical trading Engine.
Better Quant | C++, Live Trading | - Better quant today, best quant tomorrow. 💪
Botvana | Rust | - high-performance and event-driven trading system built using Rust
backtrader | Python, Live Trading | - Event driven Python Backtesting library for trading strategies
backtesting.py | Python | - Backtesting.py is a Python framework for inferring viability of trading strategies on historical (past) data. Improved upon the vision of Backtrader, and by all means surpassingly comparable to other accessible alternatives, Backtesting.py is lightweight, fast, user-friendly, intuitive, interactive, intelligent and, hopefully, future-proof.
FlashFunk | Rust | - High Performance Runtime in Rust
gobacktest | Go | - A Go implementation of event-driven backtesting framework
Hikyuu | C++, Python| - Hikyuu Quant Framework 基于C++/Python的开源量化交易研究框架
lumibot | Python | - A very simple yet useful backtesting and sample based live trading framework (a bit slow to run...)
* nautilus_trader | Python, Cython, Rust, Live Trading | - A high-performance algorithmic trading platform and event-driven backtester
QuantConnect | C#, .NET, Live Trading | - Lean Algorithmic Trading Engine by QuantConnect (Python, C#)
QUANTAXIS | Python, Rust, Live Trading | - QUANTAXIS 支持任务调度分布式部署的股票/期货/期权/港股/虚拟货币数据/回测/模拟/交易/可视化/多账户纯本地量化解决方案
Rqalpha | Python | - A extendable, replaceable Python algorithmic backtest && trading framework supporting multiple securities
quanttrader | Python | - Backtest and live trading in Python. Event based. Similar to backtesting.py.
qf-lib | Python | - Modular Python library that provides an advanced event driven backtester and a set of high quality tools for quantitative finance. Integrated with various data vendors and brokers, supports Crypto, Stocks and Futures.
sdoosa-algo-trade-python | Python | - This project is mainly for newbies into algo trading who are interested in learning to code their own trading algo using python interpreter.
* vnpy | Python, Stock, Futures, Crypto, Live Trading | - Python-based open source quantitative trading system development framework, officially released in January 2015, has grown step by step into a full-featured quantitative trading platform
WonderTrader | C++, Python | - WonderTrader——量化研发交易一站式框架
zvt | Python, Stock, Backtest | - Modular quant framework
zipline | Python | - Zipline is a Pythonic algorithmic trading library. It is an event-driven system for backtesting.
PandoraTrader | C++ | - CTP 高频量化交易平台 C++ Trade Platform for quant developer
hftbacktest | Python | - 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.
* bt | Python | - Flexible backtesting for Python based on Algo and Strategy Tree

Vector Based Frameworks

pysystemtrade | Python, Live Trading | - Systematic Trading in python from book by Rob Carver
finmarketpy | Python | - Python library for backtesting trading strategies & analyzing financial markets (formerly pythalesians)
vectorbt | Python, numba | - vectorbt takes a novel approach to backtesting: it operates entirely on pandas and NumPy objects, and is accelerated by Numba to analyze any data at speed and scale. This allows for testing of many thousands of strategies in seconds.
fund-strategy | TypeScript | - 一个简单实用的基金投资策略分析，基金回测工具
fastquant | Python | - Backtest and optimize your ML trading strategies with only 3 lines of code

Crypto currency focus

triangular-arbitrage2 | TypeScript | - a server side application for perform triangular arbitrage.
bTrader | Rust | - Triangle arbitrage trading bot for Binance
crypto-crawler-rs | Rust | - Crawl orderbook and trade messages from crypto exchanges
cryptotrader-core | Rust | - Simple to use Crypto Exchange REST API client in rust.
openlimits | Rust | - A Rust high performance cryptocurrency trading API with support for multiple exchanges and language wrappers.
Freqtrade | Python | - Freqtrade is a free and open source crypto trading bot written in Python. It is designed to support all major exchanges and be controlled via Telegram. It contains backtesting, plotting and money management tools as well as strategy optimization by machine learning.
* Hummingbot | Python, Cython, Live Trading | - A client for crypto market making
Jesse | Python | - Jesse is an advanced crypto trading framework which aims to simplify researching and defining trading strategies.
* OctoBot | Python, Cython, Live Trading| - Cryptocurrency trading bot for TA, arbitrage and social trading with an advanced web interface
Kelp | Go, Live Trading | - Kelp is a free and open-source trading bot for the Stellar DEX and 100+ centralized exchanges
exc | Rust | - The abstraction layer of exchanges.

Machine Learning / Reinforcement Learning Focused

ML, RL

FinRL | Python | - FinRL is the first open-source framework to demonstrate the great potential of applying deep reinforcement learning in quantitative finance.
* QLib (Microsoft) | Python, Cython | - Qlib is an AI-oriented quantitative investment platform, which aims to realize the potential, empower the research, and create the value of AI technologies in quantitative investment. With Qlib, you can easily try your ideas to create better Quant investment strategies. An increasing number of SOTA Quant research works/papers are released in Qlib.
TradingGym | Python, Live Trading | - Trading and Backtesting environment for training reinforcement learning agent or simple rule base algo.
Stock Trading Bot using Deep Q-Learning | Python | - Stock Trading Bot using Deep Q-Learning

Alpha Collections

Alpha

Python quantitative trading strategies including VIX Calculator, Pattern Recognition, Commodity Trading Advisor, Monte Carlo, Options Straddle, Shooting Star, London Breakout, Heikin-Ashi, Pair Trading, RSI, Bollinger Bands, Parabolic SAR, Dual Thrust, Awesome, MACD
analyzingalpha
ThetaGang - ThetaGang is an IBKR bot for collecting money
- https://www.reddit.com/r/options/comments/a36k4j/the_wheel_aka_triple_income_strategy_explained/
PyTrendFollow | Python | - PyTrendFollow - systematic futures trading using trend following
czsc - 缠中说禅技术分析工具 | Python | - 缠中说禅技术分析工具；缠论；股票；期货；Quant；量化交易
volest || - A complete set of volatility estimators based on Euan Sinclair's Volatility Trading
quant-trading | Python | - Python quantitative trading strategies including VIX Calculator, Pattern Recognition, Commodity Trading Advisor, Monte Carlo, Options Straddle, Shooting Star, London Breakout, Heikin-Ashi, Pair Trading, RSI, Bollinger Bands, Parabolic SAR, Dual Thrust, Awesome, MACD
一个中文策略合集 | Python |
一个实盘的股票趋势策略 | Python | -
Quantitative-analysis | Python | - 量化研究-券商金工研报复现
torchquantum | Cython, C, Python | - TorchQuantum is a backtesting framework that integrates the structure of PyTorch and WorldQuant's Operator for efficient quantitative financial analysis.
OpenAlpha | C++ | - An open source equity statistical arbitrage backtest simulator, use the same API as WorldQuant's WebSim

Arbitrage (Crypto)

Note: these bots are old and not maintained. I put them here just to show some logic of crypto arbitrage.

Blackbird | C++ | - Blackbird Bitcoin Arbitrage: a long/short market-neutral strategy
bitcoin-arbitrage | Python | - Bitcoin arbitrage - opportunity detector
R2 Bitcoin Arbitrager | TypeScript | - R2 Bitcoin Arbitrager is an automatic arbitrage trading system powered by Node.js + TypeScript.

Basic libraries

Fundamental libraries

Cvxpy | Python, C++ | - A Python-embedded modeling language for convex optimization problems.
Numpy | Python, C | - The fundamental package for scientific computing with Python
Scipy | Python, C | - Fundamental algorithms for scientific computing in Python
Pandas | Python, Cython | - Flexible and powerful data analysis / manipulation library for Python, providing labeled data structures similar to R data.frame objects, statistical functions, and much more
Sikit-learn | Python, Cython | - Machine learning in Python
Keras | Python | - The most user friendly Deep Learning for humans in Python
TensorFlow | Python, C++ | - More low level Deep Learning framework
Pytorch | Python | - Tensors and Dynamic neural networks in Python with strong GPU acceleration
PyMC | Python | - Probabilistic Programming in Python: Bayesian Modeling and Probabilistic Machine Learning with Aesara

Computation Graph

Dask | Python | - Parallel computing with task scheduling in Python with a Pandas like API
Ray | Python, C++ | - An open source framework that provides a simple, universal API for building distributed applications.
Incremental (JaneStreet) | Ocaml | - Incremental is a library that gives you a way of building complex computations that can update efficiently in response to their inputs changing, inspired by the work of Umut Acar et. al. on self-adjusting computations. Incremental can be useful in a number of applications
GraphKit | Python | - A lightweight Python module for creating and running ordered graphs of computations.
Man MDF | Python | - Data-flow programming toolkit for Python
Tributary | Python | - Streaming reactive and dataflow graphs in Python
Hamilton | Python | - A scalable general purpose micro-framework for defining dataflows. You can use it to build dataframes, numpy matrices, python objects, ML models, etc. Embed Hamilton anywhere python runs, e.g. spark, airflow, jupyter, fastapi, python scripts, etc.
loman | Python | - Loman is a Python library designed to allow quantitative researchers to control complex live updating calculation processes
Anchors - C++ | C++ | - C++ library for incremental computing
Anchors - Rust | Rust | - self adjusting computations in rust

Alternative libraries

Numpy Alternatives

ndarray | Rust | - ndarray: an N-dimensional array with array views, multidimensional slicing, and efficient operations

Pandas Alternatives

Polars | Rust, Python | - Polars is a blazingly fast DataFrames library implemented in Rust using Apache Arrow Columnar Format as memory model.
Vaex | Python, C++ | - Out-of-Core hybrid Apache Arrow/NumPy DataFrame for Python, ML, visualization and exploration of big tabular data at a billion rows per second
Modin | Python | - Modin: Speed up your Pandas workflows by changing a single line of code
Koalas | Python | - Koalas: pandas API on Apache Spark

Analytic tools

Metrics computation

ffn | Python | - A financial function library for Python
quantstats | Python | - Portfolio analytics for quants, written in Python

Indicators

TA-Lib | C | - Perform technical analysis of financial market data
- Python Wrapper | Python |
- Go Port | Go |
- Rust Wrapper | Rust |
ta-rust | Rust | - Technical analysis library for Rust language
finta | Python | - Common financial technical indicators implemented in Pandas
pandas-ta | Python | - Pandas Technical Analysis (Pandas TA) is an easy to use library that leverages the Pandas package with more than 130 Indicators and Utility functions and more than 60 TA Lib Candlestick Patterns.

Pricing

Quantlib
- PyQL | Python, Cython | - Python wrapper of the famous pricing library QuantLib
- QuantLib.jl | Julia | - Quantlib implementation in pure Julia.
FinancePy | Python | - A Python Finance Library that focuses on the pricing and risk-management of Financial Derivatives, including fixed-income, equity, FX and credit derivatives.
tf-quant-finance - High-performance TensorFlow library for quantitative finance from Google
vollib | Python | - Fundamentally a swig/python wrapper around Peter Jaeckel's lets_be_rational. lets_be_rational focuses exclusively on Black76, while Vollib extends this to add support for Black-Scholes and Black-Scholes-Merton.

Risk

pyfolio | Python | - Portfolio and risk analytics in Python

Optimization

Deepdow | Python | - Python package connecting portfolio optimization and deep learning. Its goal is to facilitate research of networks that perform weight allocation in one forward pass.
PyPortfolioOpt | Python | - Financial portfolio optimizations in python, including classical efficient frontier, Black-Litterman, Hierarchical Risk Parity
Riskfolio-Lib | Python | - Portfolio Optimization and Quantitative Strategic Asset Allocation in Python
empyrial | Python | - Empyrial is a Python-based open-source quantitative investment library dedicated to financial institutions and retail investors, officially released in March 2021.
spectre | Python | - spectre is a GPU-accelerated Parallel quantitative trading library, focused on performance.

TimeSeries Analysis

statsmodels - Python module that allows users to explore data, estimate statistical models, and perform statistical tests.
tsfresh - Automatic extraction of relevant features from time series.
Facebook Prophet - Tool for producing high quality forecasts for time series data that has multiple seasonality with linear or non-linear growth.
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.

Visualization

D-Tale (Man Group) | JavaScript, Python | - D-Tale is the combination of a Flask back-end and a React front-end to bring you an easy way to view & analyze Pandas data structures.
mplfinance | Python | - Financial Markets Data Visualization using Matplotlib
btplotting | Python, bokeh | - btplotting provides plotting for backtests, optimization results and live data from backtrader.

Databases

ArcticDB (Man Group) | C++, Python | - ArcticDB is a high performance, serverless DataFrame database built for the Python Data Science ecosystem.
Arctic (Man Group) | Python | - High performance datastore for time series and tick data
Marketstore | Go | - DataFrame Server for Financial Timeseries Data
Tectonicdb | Rust | - Tectonicdb is a fast, highly compressed standalone database and streaming protocol for order book ticks.

Data Source

Stocks and General

* OpenBB Terminal | Python | - Investment Research for Everyone, Anywhere.
findatapy |Python| - findatapy creates an easy to use Python API to download market data from many sources including Quandl, Bloomberg, Yahoo, Google etc. using a unified high level interface.
yfinance |Python| - yfinance offers a threaded and Pythonic way to download market data from Yahoo!Ⓡ finance.
pandas-datareader |Python| - Up to date remote data access for pandas, works for multiple versions of pandas.
Wallstreet |Python| - Wallstreet: Real time Stock and Option tools
TuShare |Python| - TuShare is a utility for crawling historical data of China stocks
Investpy - Financial Data Extraction from Investing.com with Python
AkShare |Python| - AKShare is an elegant and simple financial data interface library for Python, built for human beings! 开源财经数据接口库
Fundamental Analysis Data | Python | - Fully-fledged Fundamental Analysis package capable of collecting 20 years of Company Profiles, Financial Statements, Ratios and Stock Data of 20.000+ companies.

Alternative

SEC EDGAR Filing API

Crypto

Cryptofeed |Python| - Cryptocurrency Exchange Websocket Data Feed Handler with Asyncio

Broker APIs

Ib_insync | Python | - Python sync/async framework for Interactive Brokers API
PENDAX | JavaScript | - A free Javascript library allowing simplified interaction with trading and data commands on a growing list of cryptocurrency exchanges like FTX, OKX, ByBit, & more.
ccxt | Python, JavaScript | - A JavaScript / Python / PHP cryptocurrency trading API with support for more than 100 bitcoin/altcoin exchanges
Coinnect | Rust | - Coinnect is a Rust library aiming to provide a complete access to main crypto currencies exchanges via REST API.
More is coming... (PR welcome)

🔥 Quant Shops Code and Blog

JaneStreet
- JaneStreet Tech Blog
- JaneStreet Tech Podcast
- Tech Talks
- Open Source
  - Tech stack: Ocaml, C, F#
Man AHL
- Man Group Tech Blog
- Podcast
- Open Source
  - Tech stack: Python, JavaScript, Java, C, Go
DE Show
- Open Source
  - Tech stack: Python, TypeScript, JavaScript, Rust, Nix
Two Sigma
- Two Signal Engineering
- Open Source
  - Tech stack: Python, Java, C, Clojure, Rust
Hudson River Trading - HRT
- HRT Engineering

Resources

Books

Blogs

Tutorials

Algorithmic Trading for Cryptocurrencies in Python - A simple yet practical experiment tutorial for cryto trading.

Courses

Hudson and Thames Quantitative Research - Our mission is to promote the scientific method within investment management by codifying frameworks, algorithms, and best practices.
More is coming... (PR welcome)

Relevant Projects

量化交易知识集 @ 泛程序员 - Collect knowledge around systematic trading, including software design, trading strategies, statistical skill. 量化交易/系统化交易知识集
Awesome Quant 中文 - 中国的Quant相关资源索引
awesome-deep-trading - List of awesome resources for machine learning-based algorithmic trading
Awesome Crypto Trading Bots

wangzhe3224/awesome-systematic-trading

wangzhe3224

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