Interfacing GSL with Python using Cython / comparison with weave

The second example I wrote while testing how easy it is to use a C library from Python using Cython is the Gnu Scientific Library, gsl. The goal here is to compare how easy it is to do it using Cython or weave.

The first example is a bessel function (from gsl/gsl_sf_bessel.h):

double gsl_sf_bessel_J0(const double x);

Interfacing ta-lib with Python using Cython : moving average function example

Following up on my previous post about how Cython could be used to improve the performance, I wanted to show how easy it is to interact with a C library. Here is the example of ta-lib : TA-Lib is widely used by trading software developers requiring to perform technical analysis of financial market data. ta-lib has a SWIG Python interface but I wanted to have my own quick and dirty interface to one specific function. It would be interesting to compare the effectivness of the SWIG interface compared to the Cython (for a later post).

1. Interfacing ta-lib

What you need is a compiled version of the library. On Windows using EPD, I had to install msys to have the needed command for autotools build systems. With msys and the EPD mingw install, I compiled ta-lib with a standard .configure, make, make install. The library and header files were then available within c:\msys\1.0\local\lib and c:\msys\1.0\local\include