FastTest
DataFrame
| FastTest | DataFrame | |
|---|---|---|
| 2 | 109 | |
| 11 | 2,293 | |
| - | - | |
| 10.0 | 9.4 | |
| over 1 year ago | 6 days ago | |
| C++ | C++ | |
| GNU General Public License v3.0 only | BSD 3-clause "New" or "Revised" License |
Stars - the number of stars that a project has on GitHub. Growth - month over month growth in stars.
Activity is a relative number indicating how actively a project is being developed. Recent commits have higher weight than older ones.
For example, an activity of 9.0 indicates that a project is amongst the top 10% of the most actively developed projects that we are tracking.
FastTest
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Backtesting Engines for Testing Intraday Data on Thousands of Symbols Simultaneously
Wrote my own in C++ with python wrapper: https://github.com/ntorm1/FastTest. It's not stable so do with that you will, but no problems handling thousands of symbols at whatever frequency.
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Update on C++ Algo Trading/ Data Analysis tool
Not sure exactly, depends a lot on your existing implementation. I implemented it as a C++ class that overloads the () operator to access the underlying data. For reference here is my implementation of it: https://github.com/ntorm1/FastTest/blob/main/include/Asset.h
DataFrame
- New multithreaded version of C++ DataFrame was released
- DataFrame: NEW Data - star count:2013.0
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C++ DataFrame vs. Polars
For a while, I have been hearing that Polars is so frighteningly fast that you shouldn’t look directly at it with unprotected eyes. So, I finally found time to learn a bit about Polars and write a very simple test/comparison for C++ DataFrame vs. Polars.
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C++ Show and Tell - July 2023
I have worked on C++ DataFrame for the past 5+ years in my spare times. It is comparable to Pandas or R data.frame, although it includes a lot more functionality.
- Allocators; one of the ignored souls of STL
What are some alternatives?
backtrader - Python Backtesting library for trading strategies
datatable - A Python package for manipulating 2-dimensional tabular data structures
db-benchmark - reproducible benchmark of database-like ops
sktime - A unified framework for machine learning with time series
polars - Dataframes powered by a multithreaded, vectorized query engine, written in Rust
zhetapi - A C++ ML and numerical analysis API, with an accompanying scripting language.
faiss - A library for efficient similarity search and clustering of dense vectors.
scientific-visualization-book - An open access book on scientific visualization using python and matplotlib
Tiger - C++ Matrix -- High performance and accurate (e.g. edge cases) matrix math library with expression template arithmetic operators
skorch - A scikit-learn compatible neural network library that wraps PyTorch
feedgnuplot - Tool to plot realtime and stored data from the commandline, using gnuplot.
matplotplusplus - Matplot++: A C++ Graphics Library for Data Visualization 📊🗾