Getting Started

Set up OpenQuant-rs for local research and production-facing validation.

Requirements

Rust toolchain: stable channel (`rustup default stable`)
Python 3 (for benchmark snapshot scripts)
GitHub Actions for release/docs automation (optional for local dev)

Clone and Validate

git clone https://github.com/Open-Quant/openquant.git
cd openquant-rs

# Fast test pass used by CI
cargo test --workspace --lib --tests --all-features -- --skip test_sadf_test

# Run long path explicitly
cargo test -p openquant --test structural_breaks test_sadf_test -- --ignored

Project Layout

Path	Purpose
`crates/openquant/src/`	Main library modules.
`crates/openquant/tests/`	Module-level Rust behavior and regression tests.
`tests/fixtures/`	Shared deterministic fixtures.
`benchmarks/`	Benchmark baseline/latest snapshots and manifest.
`docs/`	Release status, benchmark, and productionization notes.

First Quant Workflow

use openquant::risk_metrics::RiskMetrics;

let returns = vec![-0.02, 0.01, 0.015, -0.01, 0.005];
let var_95 = RiskMetrics::calculate_value_at_risk(&returns, 0.05)?;
let es_95 = RiskMetrics::calculate_expected_shortfall(&returns, 0.05)?;
println!("VaR 95%: {var_95:.6}, ES 95%: {es_95:.6}");

Benchmark Workflow

cargo bench -p openquant --bench perf_hotspots --bench synthetic_ticker_pipeline
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