quantwave-core 0.1.2

A high-performance, Polars-native technical analysis library for Rust.
Documentation

QuantWave 🌊

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High-performance, Polars-native Technical Analysis for Rust.

QuantWave is a modern technical analysis library built from the ground up for the Polars ecosystem. It bridges the gap between high-speed batch backtesting and real-time streaming execution by ensuring bit-identical results across both modes.

Whether you are performing quantitative research over terabytes of historical data or deploying a live trading system on a tick-by-tick stream, QuantWave delivers industry-standard accuracy and extreme performance.

🚀 Why QuantWave?

  • Polars Native: Built specifically for Polars LazyFrame and Series with zero-copy expression plugins. Say goodbye to converting to/from Vec<f64> or ndarray to calculate your indicators.
  • Streaming-Batch Parity: Every indicator implements the "Universal Indicator" pattern, guaranteeing mathematically identical results for batch (backtesting) and streaming (live trading).
  • Comprehensive Suite: Featuring 150+ standard indicators (via robust TA-Lib wrapping) alongside modern DSP suites (Ehlers), ML feature engineering tools, and market structure algorithms.
  • Bit-Identical Validation: Sleep well at night. All indicators are rigorously verified against an extensive "Gold Standard" test suite using proptest and industry reference vectors.

📚 Documentation & Resources

For detailed indicator formulas, parameter definitions, and architectural deep-dives, please refer to our official documentation sites:

🛠 Installation

Add QuantWave to your Cargo.toml:

[dependencies]
quantwave = "0.1"

📖 Quick Start

QuantWave is designed to be completely intuitive whether you are processing historical dataframes or processing live WebSocket streams.

1. Batch Processing (Backtesting / Research)

Extend Polars with the .ta() namespace to rapidly compute indicators across your entire dataset.

use polars::prelude::*;
use quantwave::prelude::*;

let df = df.lazy()
    // Calculate SuperTrend with Period=10, Multiplier=3.0
    .ta()
    .supertrend("high", "low", "close", 10, 3.0)
    .collect()?;

2. Streaming Processing (Live Trading)

Use the core structs directly to process incoming ticks one by one without reallocating arrays or maintaining complex state buffers.

use quantwave::prelude::*;

// Initialize state machine once
let mut st = SuperTrend::new(10, 3.0);

// Feed it tick by tick in your live event loop
for tick in live_price_stream {
    // SuperTrend takes (high, low, close)
    let signal = st.next((tick.high, tick.low, tick.close));
    println!("Latest SuperTrend Value: {:?}", signal);
}

🧪 Rigorous Validation

QuantWave is built for institutional-grade reliability. We validate our calculations through a rigorous three-tier pipeline:

  1. Unit Tests: Ensuring edge cases and bounds are handled safely.
  2. Gold Standard Verification: Comparing outputs against JSON-encoded reference vectors sourced from TradingView, MetaTrader, and established platforms.
  3. Parity Tests: Proptest suites that continuously enforce Batch(data) == Streaming.collect(data).

🤝 Contributing & Issue Tracking

QuantWave uses Beads (bd) for deterministic, graph-aware issue tracking to ensure high-velocity agentic and human collaboration.

  • Check for ready work: bd ready
  • Claim a task: bd update <id> --claim

📄 License

Licensed under either of:

at your option.