{"repo":"Menooker/KunQuant","free":true,"listed":false,"github":"https://github.com/Menooker/KunQuant","clone":"git clone https://github.com/Menooker/KunQuant.git","description":"A compiler, optimizer and executor for financial expressions and factors","language":"C++","stars":316,"topics":["avx512","compiler","quant","python","quantitative-finance","alpha101"],"license":"Apache-2.0","category":"trading","readme_excerpt":"KunQuant KunQuant is a optimizer, code generator and executor for financial expressions and factors, e.g. (close - open) /((high - low) + 0.001) . The initial aim of it is to generate efficient implementation code for Alpha101 of WorldQuant and Alpha158 of Qlib. Some existing implementations of Alpha101 is straightforward but too simple. Hence we are developing KunQuant to provide optimizated code on a batch of general customized factors. This project has mainly two parts: KunQuant and KunRunner . KunQuant is an optimizer & code generator written in Python. It takes a batch of financial expressions as the input and it generates highly optimized C++ code for computing these expressions. KunRunner is a supporting runtime library and Python wrapper to load and run the generated C++ code from KunQuant. Startring from version 0.1.0 , KunQuant no longer depends on cmake to run the generated factor code. Users can use pure Python interfaces to build and run factors. Experiments show that KunQuant-generated code can be more than 170x faster than naive implementation based on Pandas. We ran Alpha001 Alpha101 with Pandas-based code and our optimized code. See results below: Datatype Pandas-based KunQuant 1-thread KunQuant 4-threads --- --- --- --- Single precision (STs layout) 6.138s 0.083s 0.027s Double precision (TS layout) 6.332s 0.120s 0.031s The data was collected on 4-core Intel i7-7700HQ CPU, running synthetic data of 64 stocks with 260 rows of data. Environment: We also support","default_branch":null,"files":null,"tree":[],"storefront":"/r/Menooker","claimed":false,"request_supported":{"post":"https://gitbuyer.com/r/Menooker/KunQuant/request-supported","requests":0},"note":"indexed from public GitHub; nothing is for sale on this page. Clone it from GitHub. Paid listings live at /search."}