PyAlgoEngine

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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

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

Project links

Key dates

PyPI data
Data sourced directly from PyPI's database.
  • Released:
Newer release available (0.12.6)

1 maintainer

PyPI data
Data sourced directly from PyPI's database.
Avatar for BolunHan from gravatar.com BolunHan

Credits

Author: Han Bolun

License expression

MIT
View SPDX License List

Requires

Python >=3.12

Provides Extra

webapps docs

Classifiers

Report project as malware

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