dxlib - A Quantitative Finance Library

Built using Python, dxlib provides a comprehensive set of tools for the modern quantitative analyst.

It is a modular, extensible library tailored for both individual strategy developers and professional trading funds. Seamlessly integrating with powerful libraries like pandas and numpy, it fits naturally into your existing workflow.

Motivation

Seeing as other libraries related to quantitative development already exist, the goal of dxlib is to provide a more fledged alternative focusing on maintainability, extendability and performance. Below, we compare some alternatives:

• QuandL has been archived, and dxlib is a great alternative.
• QuantLib is a great library, and should be used in conjunction with dxlib, but its focus differs. Eventually, dxcore is meant to replace QuantLib within the context of dxlib.
• pandas, numpy, scikit and others are great, and should be used in conjunction with dxlib.

At the moment, dxlib can be used together with dxforge for strategy management, such as scheduling, automatic containerization and pre-built networking utils.

Quick Start

Take a look at our Examples.

Where We Are Now

All modules and objects serializable, deserializable, and extendable - focusing on thread-safety and lock-free implementations for parallel and/or distributed environments. For now, the cache system uses both HDF5 and JSON, and the networking system allows for interfacing with other systems through JSON serialization.

All modules and classes are built using Domain Driven Design, and are designed to be easily understood and used. I myself come from a computer science background, and whenever starting a new quant project, always found my code to end up extremely convoluted and messy. Therefore, I believe creating a library with a strong focus on modularization and performance rather than a collection of scripts is the way to go for professional trading setups.

Future Plans

In the future, dxlib will provide low-level routine encapsulation from dxcore. Additionally, dxstudio will provide GUI access to most of dxlib endpoints, for easy-to-use strategy prototyping, data analysis and other features!

• Current inbuilt handlers include REST and Websockets.
• Future encodings are planned to include FIX, SBE, and Protobuf.
• Future handlers are planned to include ZeroMQ, gRPC and rough UDP.

Development Setup

This project uses uv for dependency management, virtual environments, and build automation.

To get started, clone the repository and install the dependencies

git clone git@github.com:divergex/dxlib.git && cd dxlib
uv venv               # create virtual environment
uv sync --group dev   # install dev dependencies