openquant-rs

Rust-native quantitative finance toolkit for research and production workflows.

CI · Benchmark Regression · Release Readiness

Status

• Production baseline package: benchmarks + regression checks + release workflow are in place.
• High-coverage module-level tests, benchmark tracking, and release gates are active.

Detailed status: docs/project_status.md

Quick Start

# Fast validation (default CI path)
cargo test --workspace --lib --tests --all-features -- --skip test_sadf_test

# Long-running SADF hotspot (explicit)
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
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 25

Research Flywheel (Python + Rust)

# 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.json

Crate Layout

• crates/openquant/src/: core library modules
• crates/openquant/tests/: Rust test suite
• crates/openquant/benches/: criterion benchmarks
• tests/fixtures/: shared fixtures
• benchmarks/: baseline + latest benchmark snapshots
• notebooks/: Python notebooks + Rust Evcxr companions
• experiments/: config-driven experiment runner + artifacts

Publish Readiness

• 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

Astro Docs Site (GitHub Pages)

A modern docs site scaffold is included under docs-site/.

cd docs-site
bun install
bun run dev

Build output is published by GitHub Actions workflow: .github/workflows/docs-pages.yml.

License

MIT (LICENSE)