python-trading's Introduction

AlgoTrader

AlgoTrader is an event driven algorithmic trading system.

There is a python version and java version. They both share same API.

The Java version is designed to support ultra low latency trading and FIX protocol. It can process 10M+ event per seconds in a commodity pc hardware with I7 CPU.

The Python version support quick modelling / testing.

Main Features (Python version)

Event driven.
Supports Market, Limit, Stop and StopLimit orders.
Supports CSV Feed (yahoo format)
Supports backtesting using Simulator, which supports differnet fill-strategy, slippage config, commission setting
Supports live-trading using Interactive Brokers
Technical indicators and filters like SMA, RSI, Bollinger Bands..
Performance metrics (use pyfolio)

TODO

Persistence: Save the portfolio, account, result into DB and can load them back when system startup.
Bar Factory: Aggregate bar from lower time frame bar or from quote / trade
Supports more CSV format, e.g. Google Finance, Quandl and NinjaTrader.
Supports more data feed e.g. Cassandra, InfluxDB, KDB
Save real time data, persist into various data store (e.g. CSV, Cassandra, Influx, KDB)
Aggregated TimeSeries (multiple Key - value)
Event profiler.
TA-Lib integration, support more TA indicator
HTML5 UI, to view the account, portfolio, control strategy and view performance (real time and historical performance)
Multiple currencies, timezone, and trading session.
Trading context, which include strategy config, data subscription info
Supports Machine Learning Library, e.g. Theano
Supports Spark
Supports Parallel processing, for optimization and backtest. Results should be persisted into DB and can be viewed by HTML5 UI.
Supports FIX workflow, refactor order into order and orderEvent (Order contains state and with different order events: NewOrderRequest , OrderCancelRequest, OrderCancelReplaceRequest, OrderStatusRequest and execution events: ExecutionReport, OrderStatus)
Remote OMS (strategies can be run separately and send order request to remote OrderServer)

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