Stop treating your production optimizer like a Jupyter notebook. If you're running a 500+ asset universe and relying on Python for mean-variance optimization, you aren't just losing latency, you're accumulating silent numerical instability as technical debt. SciPy and cvxpy are fantastic for research. But in production, where you need a lambda sweep across the efficient frontier to find the optimal risk-adjusted Sharpe, Python hits a hard ceiling. It's not just the GIL. It's death by a thousand cuts in memory layout. Every NumPy slice and element-wise loop means object overhead and cache misses. Your CPU spends more time on dynamic type checking than floating-point arithmetic. I migrated our core portfolio engine to Rust. The results are in the benchmark below. Why it matters: True Parallelism, Lambda sweeps parallelize across all cores via Rayon. No GIL fight. Cache Locality, ndarray gives C++-level memory control. Covariance matrices sit in contiguous blocks. No pointer chasing, no hidden copies. Type System as Safety Net, Dimension mismatches become compile-time errors, not 2 AM production fires. Research belongs in Python. But if silent failures or latency spikes cost you basis points, move the heavy lifting to Rust. Still running production engines in Python? Let's discuss. #QuantitativeFinance #RustLang #AlgorithmicTrading #PortfolioOptimization #SoftwareEngineering
How challenging was it for you to implement it in rust? Any pre existing packages that you used or you built everything from scratch? Just curious 😅
This is precisely why I’m building Incan.