crypto_index's Introduction

The CQT (Crypto Quant Trading) Package

The CQT package is a package for crypto quant trading. It includes the following component:

DataGen: Unified interface for data query and processing. Specific data objects are designed to handle various trading data for crypto assets. It contains utility functions to query data from different exchanges/data providers, and restore them in a standard OHLCV data format indexed by query dictionary
Env: Built from 'spot', 'forward' and 'vol' asset env components, the env class is used to hold the data from different types of assets. In each env (component), we attach the corresponding env configurations as guideline to postprocess and analyze the input data, performance statistical inference.
Analyze: Generate analysis from environments and provide interface functions for a large set of market signals (e.g. bear/bull, moving average crossing, and etc)
Ledger: Standardized holding class, which provides the basic logics of buy/sell and set aside functions to track the changes on the asset holdings and cash
Strategy: Valuation engine that combines Env and Ledger. It takes the signals generated from Env, and follow the strategy logic to update the Ledger. Back testing is provided to test the strategy against the historical data in the Env. New strategies be derived from the base class simply and one can implement their own trading logic
Execution: It provides linkage with certain exchange API, which can execute the strategy based on the ledger information

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