wilsonfreitas/awesome-quant

Awesome Quant

A curated list of insanely awesome libraries, packages and resources for Quants (Quantitative Finance).

Contents

• Numerical Libraries & Data Structures
• Financial Instruments & Pricing
• Technical Indicators
• Trading & Backtesting
• Portfolio Optimization & Risk Analysis
• Factor Analysis
• Sentiment Analysis & Alternative Data
• Time Series Analysis
• Market Data & Data Sources
• Prediction Markets
• Calendars & Market Hours
• Visualization
• Excel & Spreadsheet Integration
• Quant Research Environments
• Cross-Language Frameworks
• Reproducing Works, Training & Books
• Commercial & Proprietary Services
• Historical & Archived Projects
• Related Lists

Numerical Libraries & Data Structures

• numpy - Python - NumPy is the fundamental package for scientific computing with Python. GitHub
• scipy - Python - SciPy (pronounced “Sigh Pie”) is a Python-based ecosystem of open-source software for mathematics, science, and engineering. GitHub
• pandas - 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
• polars - Python - Polars is a blazingly fast DataFrame library for manipulating structured data. GitHub
• quantdsl - Python - Domain specific language for quantitative analytics in finance and trading.
• statistics - Python - Builtin Python library for all basic statistical calculations.
• sympy - Python - SymPy is a Python library for symbolic mathematics. GitHub
• pymc3 - Python - Probabilistic Programming in Python: Bayesian Modeling and Probabilistic Machine Learning with Theano. GitHub
• modelx - Python - Python reimagination of spreadsheets as formula-centric objects that are interoperable with pandas. GitHub
• ArcticDB - Python - High performance datastore for time series and tick data.
• CRNG - Python - Contingency Random Number Generator that produces random numbers with real financial market statistical signatures (fat tails, volatility clustering, kurtosis). Matches 86% of real market metrics vs 14% for NumPy.
• 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 - 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.
• sparseEigen - R - Sparse principal component analysis.
• TSdbi - R - Provides a common interface to time series databases.
• tseries - R - Time Series Analysis and Computational Finance.
• zoo - R - S3 Infrastructure for Regular and Irregular Time Series (Z's Ordered Observations).
• tis - R - Functions and S3 classes for time indexes and time indexed series, which are compatible with FAME frequencies.
• tfplot - R - Utilities for simple manipulation and quick plotting of time series data.
• tframe - R - A kernel of functions for programming time series methods in a way that is relatively independently of the representation of time.
• Temporal.jl - Julia - Flexible and efficient time series class & methods.
• DataFrames.jl - Julia - In-memory tabular data in Julia.
• TSFrames.jl - Julia - Handle timeseries data on top of the powerful and mature DataFrames.jl.
• TimeArrays.jl - Julia - Time series handling for Julia.
• jacobian - Python MCP - Exact computation and conjecture testing across polynomial maps, linear algebra, and graph algorithms for agent-driven mathematical research.

Financial Instruments & Pricing

• PyQL - Python - QuantLib's Python port.
• vollib - Python - vollib is a python library for calculating option prices, implied volatility and greeks.
• py_vollib - Python - vollib Python implementation.
• vanilla-option-pricers - Python - Fast, vectorised Black-Scholes-Merton and Bachelier pricers and implied volatility fitters, including inverse options for crypto derivatives.
• StochVolModels - Python - Pricing analytics and Monte Carlo simulation for stochastic volatility models, including the log-normal SV model and the Heston model.
• QuantPy - Python - A framework for quantitative finance In python.
• Finance-Python - Python - Python tools for Finance.
• ffn - Python - A financial function library for Python.
• pynance - Python - Lightweight Python library for assembling and analyzing financial data.
• tia - Python - Toolkit for integration and analysis.
• pysabr - Python - SABR model Python implementation.
• 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.
• gs-quant - Python - Python toolkit for quantitative finance.
• willowtree - Python - Robust and flexible Python implementation of the willow tree lattice for derivatives pricing.
• financial-engineering - Python - Applications of Monte Carlo methods to financial engineering projects, in Python.
• optlib - Python - A library for financial options pricing written in Python.
• tf-quant-finance - Python - High-performance TensorFlow library for quantitative finance.
• Q-Fin - Python - A Python library for mathematical finance.
• Quantsbin - Python - Tools for pricing and plotting of vanilla option prices, greeks and various other analysis around them.
• finoptions - Python - Complete python implementation of R package fOptions with partial implementation of fExoticOptions for pricing various options.
• pypme - Python - PME (Public Market Equivalent) calculation.
• AbsBox - Python - A Python based library to model cashflow for structured product like Asset-backed securities (ABS) and Mortgage-backed securities (MBS).
• mortgagemath - Python - Cent-accurate mortgage amortization schedules with Decimal arithmetic and published-source validation across six countries.
• Intrinsic-Value-Calculator - Python - A Python tool for quick calculations of a stock's fair value using Discounted Cash Flow analysis.
• Kelly-Criterion - Python - Kelly Criterion implemented in Python to size portfolios based on J. L. Kelly Jr's formula.
• rateslib - Python - A fixed income library for pricing bonds and bond futures, and derivatives such as IRS, cross-currency and FX swaps.
• fypy - Python - Vanilla and exotic option pricing library to support quantitative R&D. Focus on pricing interesting/useful models and contracts (including and beyond Black-Scholes), as well as calibration of financial models to market data.
• Pyderivatives - Python - Toolkit for option pricing, implied volatility surfaces, risk-neutral densities, and pricing kernel surfaces with support for advanced models including Heston, Kou, and Bates.
• quantra - Python - High-performance pricing engine built on QuantLib. It exposes QuantLib's functionality through gRPC and REST APIs, enabling distributed computations with FlatBuffers serialization.
• optionlab - Python - A Python library for evaluating option trading strategies.
• flashalpha - Python - Python client for the FlashAlpha options analytics API.
• QuantOracle - Python - Free quant finance API with 63 deterministic endpoints + 15 free interactive calculators at quantoracle.dev. Options pricing with full Greeks, Monte Carlo, Kelly, VaR, Sharpe, CAGR, crypto liquidation, impermanent loss, plus live crypto volatility/funding data and 24/7 position monitoring with webhook alerts. 1,000 free calls/day, no API key.
• BDE Score - Python - Multi-factor quantitative stock analysis MCP server for US, HK, and CN A-share markets. Transparent 0-100 scoring from 40+ indicators. Listed on Official MCP Registry.
• implied-expectations - Python - Reverse DCF that solves for the revenue growth, duration, and operating margin a stock price implies, from SEC EDGAR fundamentals.
• RQuantLib - R - RQuantLib connects GNU R with QuantLib.
• quantmod - R - Quantitative Financial Modelling Framework. GitHub
• Rmetrics - R - The premier open source software solution for teaching and training quantitative finance.
• fAsianOptions - EBM and Asian Option Valuation.
• fAssets - Analysing and Modelling Financial Assets.
• fBasics - Markets and Basic Statistics.
• fBonds - Bonds and Interest Rate Models.
• fExoticOptions - Exotic Option Valuation.
• fOptions - Pricing and Evaluating Basic Options.
• fPortfolio - Portfolio Selection and Optimization.
• sde - R - Simulation and Inference for Stochastic Differential Equations.
• YieldCurve - R - Modelling and estimation of the yield curve.
• SmithWilsonYieldCurve - R - Constructs a yield curve by the Smith-Wilson method from a table of LIBOR and SWAP rates.
• ycinterextra - R - Yield curve or zero-coupon prices interpolation and extrapolation.
• AmericanCallOpt - R - This package includes pricing function for selected American call options with underlying assets that generate payouts.
• VarSwapPrice - R - Pricing a variance swap on an equity index.
• RND - R - Risk Neutral Density Extraction Package.
• LSMonteCarlo - R - American options pricing with Least Squares Monte Carlo method.
• OptHedging - R - Estimation of value and hedging strategy of call and put options.
• tvm - R - Time Value of Money Functions.
• OptionPricing - R - Option Pricing with Efficient Simulation Algorithms.
• credule - R - Credit Default Swap Functions.
• derivmkts - R - Functions and R Code to Accompany Derivatives Markets. GitHub
• FinCal - R - Package for time value of money calculation, time series analysis and computational finance.
• r-quant - R - R code for quantitative analysis in finance.
• options.studies - R - options trading studies functions for use with options.data package and shiny.
• fmbasics - R - Financial Market Building Blocks.
• R-fixedincome - R - Fixed income tools for R.
• QuantLib.jl - Julia - Quantlib implementation in pure Julia.
• Miletus.jl - Julia - A financial contract definition, modeling language, and valuation framework.
• Strata - Java - Modern open-source analytics and market risk library designed and written in Java. GitHub
• JQuantLib - Java - JQuantLib is a free, open-source, comprehensive framework for quantitative finance, written in 100% Java.
• finmath.net - Java - Java library with algorithms and methodologies related to mathematical finance. GitHub
• quantcomponents - Java - Free Java components for Quantitative Finance and Algorithmic Trading.
• DRIP - Java - Fixed Income, Asset Allocation, Transaction Cost Analysis, XVA Metrics Libraries.
• finance.js - JavaScript - A JavaScript library for common financial calculations.
• hagan-sabr - TypeScript - SABR stochastic-volatility model (Hagan 2002 lognormal/normal expansions, Obłój correction, smile calibration); zero dependencies, matches QuantLib's sabrVolatility to 1e-9.
• svi-vol-surface - TypeScript - Gatheral SVI volatility surface (raw/natural/jump-wings), butterfly and calendar arbitrage checks, slice calibration; zero dependencies.
• compounded-sofr - TypeScript - SOFR compounding-in-arrears per ARRC/ISDA conventions (lookback, observation shift, lockout) and the SOFR Index method; reproduces the NY Fed's published averages.
• day-count-conventions - TypeScript - ISDA 2006 day-count conventions (30/360 family, ACT/360, ACT/365F, ACT/ACT ISDA and ICMA); zero dependencies.
• tips-index-ratio - TypeScript - US TIPS inflation math per 31 CFR 356 Appendix B (reference-CPI interpolation, index ratios); reproduces TreasuryDirect's published values.
• 32nds - TypeScript - US Treasury price quote math: parse and format 32nds quotes (105-16+), ticks, and basis points; zero dependencies.
• quantfin - Haskell - quant finance in pure haskell.
• Haxcel - Haskell - Excel Addin for Haskell.
• Ffinar - Haskell - A financial maths library in Haskell.
• QuantScale - Scala - Scala Quantitative Finance Library.
• Scala Quant - Scala - Scala library for working with stock data from IFTTT recipes or Google Finance.
• QuantMath - Rust - Financial maths library for risk-neutral pricing and risk.
• RustQuant - Rust - Quantitative finance library written in Rust.
• QoX - Python - Finite difference pricing library written in Rust.

Technical Indicators

• pandas_talib - Python - A Python Pandas implementation of technical analysis indicators.
• Tulipy - Python - Financial Technical Analysis Indicator Library (Python bindings for tulipindicators).
• lppls - Python - A Python module for fitting the Log-Periodic Power Law Singularity (LPPLS) model.
• talipp - Python - Incremental technical analysis library for Python.
• streaming_indicators - Python - A python library for computing technical analysis indicators on streaming data.
• QuantWave - Python Rust Polars - Polars-native technical analysis and backtesting with bit-identical batch and streaming parity, plus an agent skill for consistent research-to-live strategy code.
• TA-Lib Python - Python - Python wrapper for TA-Lib ().
• ta - Python - Technical Analysis Library using Pandas (Python).
• bta-lib - Python - Technical Analysis library in pandas for backtesting algotrading and quantitative analysis.
• TTR - R - Technical Trading Rules.
• TALib.jl - Julia - A Julia wrapper for TA-Lib.
• Indicators.jl - Julia - Financial market technical analysis & indicators on top of Temporal.
• TechnicalIndicatorCharts.jl - Julia - Visualize OnlineTechnicalIndicators.jl using LightweightCharts.jl.
• MarketTechnicals.jl - Julia - Technical analysis of financial time series on top of TimeSeries.
• OnlineTechnicalIndicators.jl - Julia - Julia Technical Analysis Indicators via online algorithms.
• ta4j - Java - A Java library for technical analysis.
• IndicatorTS - JavaScript - Indicator is a TypeScript module providing various stock technical analysis indicators, strategies, and a backtest framework for trading.
• orderflow - JavaScript - Orderflow trade aggregator for building Footprint Candles from exchange websocket data.
• IndicatorGo - Golang - IndicatorGo is a Golang module providing various stock technical analysis indicators, strategies, and a backtest framework for trading.
• TradeAggregation - Rust - Aggregate trades into user-defined candles using information driven rules.
• SlidingFeatures - Rust - Chainable tree-like sliding windows for signal processing and technical analysis.
• fin-primitives - Rust - Financial market primitives in Rust: Price/Quantity/Symbol newtypes, BTreeMap order book, OHLCV aggregation, SMA/EMA/RSI indicators, position ledger with PnL, and composable risk monitor.
• Wickra - Rust Python JavaScript C++ C# Golang Java R - Streaming-first technical-analysis library with a Rust core: 514 indicators updating in O(1) per tick, with bit-exact batch-vs-streaming results.
• wickworks - REST MCP - Stateless OHLC analyzer: POST bars and requested indicators, get back RSI/MACD/Bollinger/ADX/ATR/VWAP/Ichimoku plus smart-money-concept primitives (order blocks, FVGs, BOS/CHoCH, swing structure). No database, no AI signals.

Trading & Backtesting

• Crypto Pump Scanner - Python - Bybit perpetual-futures trading bot with volume-spike detection, new-listing monitoring, staged take profits, and trailing stops.
• SHORTLIST - Python - Local-first macOS workbench for A-share and US stock strategy screening, paper trading, position sizing, and risk alerts with read-only broker integrations.
• AgentQuant - Python - Trading-strategy research framework with iterative proposal generation, backtesting, SQLite memory, holdout evaluation, walk-forward experiments, and experimental genetic-algorithm and differential-evolution optimizers.
• exitkit - Python - Catalogue of twenty-seven position-exit policies (stop-loss, take-profit, time, volatility, signal-reversal and convergence) behind one interface, with a drop-in adapter for backtesting.py.
• lesson-book - Python - Local-first determ