PyAlgoEngine
High-Performance Algorithmic Trading Engine in Python, Cython, and C
PyAlgoEngine is a low-latency trading engine for HFT (High-Frequency Trading) systems. It provides C-level market data structures, shared-memory buffers, an event-driven engine architecture, backtesting with simulated order matching, exchange calendar profiles, and web-based visualization — all with Cython acceleration for latency-critical paths.
Features
| Category | Capabilities |
|---|---|
| Market Data | TickData, TickDataLite, BarData, DailyBar, OrderBook, TransactionData, OrderData, TradeData — all C-backed via Cython |
| Buffers | MarketDataBuffer, MarketDataRingBuffer, MarketDataConcurrentBuffer, MarketDataBufferCache |
| Engines | EVENT_ENGINE (pub/sub), MDS (Market Data Service), ALGO_ENGINE (algo lifecycle), trade engine (DMA, positions, risk) |
| Exchange Profiles | CN (A-share) and default global calendars, session phases, holidays via PROFILE, PROFILE_CN, PROFILE_DEFAULT |
| Backtesting | SimpleReplay, ProgressReplay, SimMatch (simulated matching), TradeMetrics |
| Strategy Framework | StrategyEngine, AlgoTemplate, global singletons (BALANCE, DMA, STRATEGY_ENGINE) |
| Web Apps | Flask + Bokeh dashboards, candlestick charts, strategy tester UI |
| Compile-Time Config | BOOK_SIZE, ID_SIZE, LONG_ID_SIZE, MD_BUF_PTR_DEFAULT_CAP, MD_BUF_DATA_DEFAULT_CAP via env vars |
Quick Install
git clone https://github.com/BolunHan/PyAlgoEngine.git
cd PyAlgoEngine
./build.sh -i
Requires Python 3.12+ and a C compiler (GCC, Clang, or MSVC). See the Setup Guide for detailed instructions, compile-time configuration, and optional dependencies.
Quick Verify
import algo_engine
print(algo_engine.__version__)
from algo_engine.base import CONFIG
print(CONFIG) # compile-time and runtime configuration
Documentation
Build locally:
cd docs && ./update_docs.sh
# open build/html/index.html
Deploy to Read the Docs
- Sign up at readthedocs.org and import this repo
- The included
.readthedocs.yamlhandles the build — it compiles Cython extensions, installs the package, and builds with Sphinx + Furo - RTD auto-builds on every push to
main; enable the GitHub webhook in Admin → Integrations on your RTD project dashboard
Architecture
┌──────────────────────────────────────────────────────┐
│ apps/ Web visualization (Flask, Bokeh) │
├──────────────────────────────────────────────────────┤
│ strategy/ Strategy framework, global singletons│
├──────────────────────────────────────────────────────┤
│ engine/ Event, Market, Algo, Trade engines │
├──────────────────────────────────────────────────────┤
│ backtest/ Replay, SimMatch, Metrics │
├──────────────────────────────────────────────────────┤
│ base/ Market data types, buffers (Cython/C)│
├──────────────────────────────────────────────────────┤
│ exchange_profile/ Calendars, sessions (CN + global)│
├──────────────────────────────────────────────────────┤
│ monitor/ Synthetic order book, bar monitor │
├──────────────────────────────────────────────────────┤
│ utils/ Time-series indices, fake data │
└──────────────────────────────────────────────────────┘
Build System
| Command | Description |
|---|---|
./build.sh -i |
Clean, build Cython extensions in-place, install |
make build |
Clean and build extensions in-place |
make install |
Build + pip install |
./build.sh -l |
List all compile-time macros and defaults |
make list-args |
Same as above |
Override compile-time constants:
BOOK_SIZE=20 ./build.sh -i
Dependencies
- Runtime: numpy, pandas, exchange_calendars, PyCyBase, PyEventEngine, Cython
- Web (optional): flask, waitress, bokeh
- Docs (optional): sphinx, sphinx-rtd-theme
License
MIT — Han Bolun
1 maintainer
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