A quantitative finance library and cli for systematic trading
Project description
quantlib
Minimal, self-contained CLI tools and library for quantitative finance.
Subcommands
- corr: Compute correlation matrices over time from returns.
- costs: Calculate Sharpe Ratio (SR) costs for instruments based on spread and fees.
Install (editable - for developers)
From the repo root:
cd quantlibpython -m pip install -e .
This installs the quantlib command.
Build a single binary with PyInstaller
From quantlib/:
make build
Binary will be at dist/quantlib.
Docker
Pull a published image from GitHub Container Registry:
docker pull ghcr.io/rodionlim/quantlib-st:latest
Run a quick correlation query by piping a CSV into the container (one-liner):
cat sample_data/returns_10x4.csv | docker run --rm -i ghcr.io/rodionlim/quantlib-st:latest corr --min-periods 3 --ew-lookback 10
When publishing the image the Makefile also tags and pushes :latest in addition to the versioned tag.
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