Top 5 C++ quantitative-finance Projects

QuantLib

1 4,810 9.8 C++

The QuantLib C++ library
Riskfolio-Lib

193 2,682 7.4 C++

Portfolio Optimization and Quantitative Strategic Asset Allocation in Python

Project mention: Riskfolio-Lib: NEW Portfolio Selection and Optimisation - star count:2361.0 | /r/algoprojects | 2023-11-14

InfluxDB

www.influxdata.com sponsored

Power Real-Time Data Analytics at Scale. Get real-time insights from all types of time series data with InfluxDB. Ingest, query, and analyze billions of data points in real-time with unbounded cardinality.
ArcticDB

4 1,097 9.8 C++

ArcticDB is a high performance, serverless DataFrame database built for the Python Data Science ecosystem.

Project mention: Speed Test - ArcticDB, HDF, Feather, Parquet | /r/algotrading | 2023-11-21

ArcticDB is a new data store for pandas DataFrames (https://arcticdb.io/). I have no affiliation with the project but wanted to see how it would compare on speed versus the other file format storage options available in Pandas: HDF, Feather, and Parquet. I could not find much on-line about how Arctic compares to the other options in terms of speed, so I ran some tests myself.

Engine

2 447 9.9 C++

Open Source Risk Engine (by OpenSourceRisk)
ThinkingInSimd

1 3 2.3 C++

An essay comparing performance implications of ignoring AVX acceleration

Project mention: Fastest Branchless Binary Search | news.ycombinator.com | 2023-08-11

> In this case std::lower_bound is very slightly but consistently faster than sb_lower_bound. To always get the best performance it is possible for libraries to use sb_lower_bound whenever directly working on primitive types and std::lower_bound otherwise.
I will say that if this is the case, there are probably much better versions of binary search out there for primitive types. I made one just screwing around with SIMD that's 3x faster than std::lower_bound until becoming memory bound:
https://github.com/matthewkolbe/ThinkingInSimd/tree/main/alg...

WorkOS

workos.com sponsored

The modern identity platform for B2B SaaS. The APIs are flexible and easy-to-use, supporting authentication, user identity, and complex enterprise features like SSO and SCIM provisioning.

NOTE: The open source projects on this list are ordered by number of github stars. The number of mentions indicates repo mentiontions in the last 12 Months or since we started tracking (Dec 2020).