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

Read the Docs: pyalgoengine.readthedocs.io
GitHub Pages: bolunhan.github.io/PyAlgoEngine

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

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