Rust implementations of the methods in Advances in Financial Machine Learning, with Python bindings.
Documentation · Quickstart · Issues
Pre-release (0.1.0, unpublished). The Rust core covers most AFML chapters and is
tested in CI; the Python bindings expose 32 submodules. Nothing is on crates.io or
PyPI yet, so installing means building from source. Open work is tracked in
issues; the reasoning behind it is in
docs/design/production-readiness-brief.md.
Requires a Rust toolchain (pinned by rust-toolchain.toml), Python 3.11+ and
uv.
git clone https://github.com/Open-Quant/openquant.git && cd openquant
uv venv --python 3.13 .venv
uv sync --group dev
uv run --python .venv/bin/python maturin develop --manifest-path crates/pyopenquant/Cargo.toml
uv run --python .venv/bin/python python -c "import openquant; print('ok')"The package is published on PyPI as pyopenquant (from v0.1.0, pip install pyopenquant);
the import name is openquant. Do not pip install openquant - that name on PyPI belongs
to an unrelated project.
The extension crate (crates/pyopenquant) is built into a wheel with maturin and is
never published to crates.io.
# Fast validation (what CI runs on every PR)
cargo test --workspace --lib --tests --all-features -- --skip test_sadf_test
# Long-running SADF hotspot (explicit; CI runs it nightly and on release tags)
cargo test -p openquant --test structural_breaks test_sadf_test -- --ignored
# Benchmarks
cargo bench -p openquant --bench perf_hotspots --bench synthetic_ticker_pipeline
# Collect + check benchmark thresholds against the committed baseline (machine-specific;
# CI instead compares a PR's head with its base on the same runner)
python3 scripts/collect_bench_results.py --criterion-dir target/criterion --out benchmarks/latest_benchmarks.json --allow-list benchmarks/benchmark_manifest.json
python3 scripts/check_bench_thresholds.py --baseline benchmarks/baseline_benchmarks.json --latest benchmarks/latest_benchmarks.json --max-regression-pct 35 --overrides benchmarks/threshold_overrides.json# Python env + bindings
uv venv --python 3.13 .venv
uv sync --group dev
uv run --python .venv/bin/python maturin develop --manifest-path crates/pyopenquant/Cargo.toml
# Notebook logic smoke + reproducible experiment run
uv run --python .venv/bin/python python notebooks/python/scripts/smoke_all.py
uv run --python .venv/bin/python python experiments/run_pipeline.py --config experiments/configs/futures_oil_baseline.toml --out experiments/artifacts
# Rust notebook-companion smoke
cargo run -p openquant --example research_notebook_smoke
# Python pipeline micro-benchmark (for speed demos)
uv run --python .venv/bin/python python python/benchmarks/benchmark_pipeline.py --iterations 30 --bars 2048
# Python data-processing benchmark (per-function throughput/latency + JSON output)
uv run --python .venv/bin/python python python/benchmarks/benchmark_data_processing.py --rows-per-symbol 200000 --symbols 4 --iterations 7 --out benchmarks/data_processing/latest.jsoncrates/openquant/src/: core library modulescrates/openquant/tests/: Rust test suitecrates/openquant/benches/: criterion benchmarkstests/fixtures/: shared fixturesbenchmarks/: baseline + latest benchmark snapshotsnotebooks/: Python notebooks + Rust Evcxr companionsexperiments/: config-driven experiment runner + artifacts
- Publishing checklist:
docs/publishing.md - Stabilization + productionization checklist:
docs/stabilization_productionization.md - Latest benchmark report:
docs/benchmark_snapshot.md - Python bindings quickstart + API map:
docs/python_bindings.md - Notebook-first workflow + promotion checklist:
docs/research_workflow.md
The documentation at https://open-quant.github.io/openquant/ is built from docs-site/ (Astro + Starlight).
cd docs-site
bun install
bun run devBuild output is published by GitHub Actions workflow: .github/workflows/docs-pages.yml.
See CONTRIBUTING.md for setup, the test and docs gates, and pull request conventions, and tests/FIXTURES.md for where the test fixtures come from. Report security problems privately (SECURITY.md).
MIT (LICENSE)