sig_runtime

High-performance columnar runtime for sigc trading signal execution.

Overview

sig_runtime executes compiled sigc strategies with:

• Columnar execution - Built on Polars/Arrow for vectorized operations
• 120+ operators - Time-series, cross-sectional, technical indicators
• Parallel execution - Multi-threaded with Rayon
• SIMD kernels - Optimized for modern CPUs
• Data loading - CSV, Parquet, S3, PostgreSQL support

Operators

Time-series: ret, lag, diff, rolling_mean, rolling_std, ema, rsi, macd, atr

Cross-sectional: zscore, rank, winsor, demean, scale, quantile

Portfolio: long_short, neutralize, clip

Usage

use sig_runtime::Runtime;
use sig_compiler::Compiler;

let compiler = Compiler::new();
let ir = compiler.compile(source)?;

let mut runtime = Runtime::new()?;
let results = runtime.execute(&ir)?;

println!("Sharpe: {:.2}", results.sharpe_ratio());

Part of sigc

This crate is part of the sigc quantitative finance platform.

License

MIT License - see LICENSE for details.