juliaquant / tradinglogic.jl

Backtesting and trading with Julia reactive programming.

TradingLogic.jl

An attempt at a unified framework in Julia language for both event-driven backtesting and live trading. This package utilizes reactive programming elements implemented in Reactive.jl.

The main objective is to be able to backtest and place real-time orders using the same trading strategy functions.

NOTE: The current master-branch code requires Julia >=0.4.0. See the julia03 branch for the last version tested with Julia 0.3 before 0.4.0 final release.

tradinglogic.jl's Issues

tons of deprecate warning on Julia 0.5

julia> using TradingLogic
INFO: Precompiling module TradingLogic.
WARNING: Base.ASCIIString is deprecated, use String instead.
  likely near /home/iblis/.julia/v0.5/TradingLogic/src/types.jl:480
WARNING: Base.ASCIIString is deprecated, use String instead.
  likely near /home/iblis/.julia/v0.5/TradingLogic/src/types.jl:480
WARNING: Base.ASCIIString is deprecated, use String instead.
  likely near /home/iblis/.julia/v0.5/TradingLogic/src/types.jl:480
WARNING: Base.ASCIIString is deprecated, use String instead.
  likely near /home/iblis/.julia/v0.5/TradingLogic/src/types.jl:480
WARNING: Base.ASCIIString is deprecated, use String instead.
  likely near /home/iblis/.julia/v0.5/TradingLogic/src/exchange.jl:480
WARNING: Base.ASCIIString is deprecated, use String instead.
  likely near /home/iblis/.julia/v0.5/TradingLogic/src/exchange.jl:481
WARNING: Base.ASCIIString is deprecated, use String instead.
  likely near /home/iblis/.julia/v0.5/TradingLogic/src/exchange.jl:480
WARNING: Base.ASCIIString is deprecated, use String instead.
  likely near /home/iblis/.julia/v0.5/TradingLogic/src/exchange.jl:481
WARNING: Base.ASCIIString is deprecated, use String instead.
  likely near /home/iblis/.julia/v0.5/TradingLogic/src/orderhandl.jl:480
WARNING: Base.ASCIIString is deprecated, use String instead.
  likely near /home/iblis/.julia/v0.5/TradingLogic/src/orderhandl.jl:481
WARNING: Base.ASCIIString is deprecated, use String instead.
...

It's time to upgrade to julia 0.5+ syntax and drop older version support?

Complete unit tests

Some orderhandling! cases remain to go over in test/orders.jl. When done also uncomment working parts.

Performance tests from blotter options

Compare current implementation as associative collection with Timestamps.jl based alternative. Timing and memory allocation with long transaction lists when calculating a representative (e.g. profit/loss) metric. The main question is whether hash table based indexing of timestamp keys offers any advantages for faster retrieval when iterating across all and some time points.

Write tests for results from sample trading strategies

List of housekeeping items:

• decide on standardized data set to test against
• store data in TimeArray
• store data in xts
• store data in pandas
• store those datasets in the test directory and MarketData.jl
• write 50/200 strategy results from quantstrat into tests
• write 50/200 strategy results from zipline into tests
• create tests with @pending evaluation

Test results from other packages should only involve returns

I put trading stats in test/quantstrat/golden_cross_BA.txt but this should be removed in favor of only comparing the returns on the account on a daily basis.

Comparing trading statistics is testing the results of the backtest and statistic algorithms at the same time, and these should be separated. The statistics should probably live in the FinancialAnalysis package and this data would be useful there once the returns results can be confidently accepted as reasonable and accurate.

The test/quanstrat/quantstrat_cross.R file does return an xts object called rets and this is the result that needs to be referenced.

Scaffold read the docs

Another standardized documentation system for the package which I'm happy to assign to myself @multidis

Scaffold testing framework

Recommending the standardized Julia FactCheck package here.

I'll be happy to assign this to myself if you'd like @multidis

More realistic exchange simulator

(For later) more realistic exchange models, possibly based on SimJulia.jl. Initially to provide a test suite for the live trading functionality here (based on a "time history script" file with live-like simulation).

NOTE: This may evolve into a separate package to build market models and test trading strategies against those (i.e. 2 Julia processes interacting...)

How to plug-in function sets for different brokers/exchanges

See TODO-comments in exchange.jl.

Backtesting verification

Tests from Quantopian examples and selected forex strategies. Need to verify the basic functionality also providing samples for writing tests of user-defined strategies.

add project to Projects using Docile / Lexicon

hi,

I saw your issue on Lexicon issue list.
I would like to add your project to Projects using Docile / Lexicon
if that is fine with you.

Thanks.

Performance optimization for basic backtesting

Current goldencross test run is slow. Need to optimize how OHLC signal updates take place and related processes such as SMA calculation.

Partial order handling

Deal in orderhandling! with a case when e.g. a limit-order is only partially filled.

Upgrade to 1.0

Opening this issue as a reminder to upgrade to 1.0 (first to 0.7). To be done conjointly with JuliaQuant/Reactive.jl.