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PandaPy: A Wrapper Around Structured Arrays to Mimic ‘Structs’ in the C Language

2 Pages Posted: 8 Jun 2020

See all articles by Derek Snow

Derek Snow

New York University (NYU) - Finance and Risk Engineering Department; The Alan Turing Institute; University of Oxford - Oxford-Man Institute of Quantitative Finance

Date Written: May 13, 2020

Abstract

Similar to the original Pandas project, PandaPy is developed to improve the usability of python for finance. Structured data types are designed to be able to mimic ‘structs’ in the C language, and they share a similar memory layout. The biggest benefit of this approach is that NumPy directly maps onto a C structure definition, so the buffer containing the array content can be accessed directly within an appropriately written C program. This makes PandaPy a strong contender for high frequency trading on small-to-medium datasets. PandaPy currently houses more than 30 functions.

Keywords: Python, Pandas, Data Structure, Software, Finance, Economics, Latency, Memory, Structured, High Frequency Trading

JEL Classification: C65, C69, C87, C88

Suggested Citation

Snow, Derek, PandaPy: A Wrapper Around Structured Arrays to Mimic ‘Structs’ in the C Language (May 13, 2020). Available at SSRN: https://ssrn.com/abstract=3599639 or http://dx.doi.org/10.2139/ssrn.3599639

Derek Snow (Contact Author)

New York University (NYU) - Finance and Risk Engineering Department ( email )

6 Metrotech Center
New York, NY 11201
United States

The Alan Turing Institute ( email )

British Library, 96 Euston Rd
London, NW1 2DB
United Kingdom

HOME PAGE: http://www.turing.ac.uk/

University of Oxford - Oxford-Man Institute of Quantitative Finance ( email )

Eagle House
Walton Well Road
Oxford, Oxfordshire OX2 6ED
United Kingdom

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