alphaflow 0.3.0

AlphaFlow is a Python-based, event-driven backtesting framework designed for professional-grade trading research and strategy development.

AlphaFlow

AlphaFlow is a Python-based, event-driven backtesting framework designed for professional-grade trading research and strategy development. Built on a robust pub-sub architecture, AlphaFlow provides a flexible, high-performance environment for quantitative analysts and algorithmic traders.

Vision: Offer a "batteries included" backtesting experience leveraging the simplicity of Python, while also enabling unlimited customization and optimization using an event-driven architecture that can support components written in any language.

---

Table of Contents

1. Key Features
2. Why AlphaFlow?
3. High-Level Architecture
   • EventBus (Pub-Sub)
   • DataFeed
   • Strategy
   • Broker (Execution Engine)
   • Portfolio
   • Analytics
4. Getting Started
5. Contributing
6. License

---

Key Features

• Event-Driven Core
  Uses a publish-subscribe (pub-sub) architecture to simulate market data, order placements, and trade executions in a realistic, decoupled manner.

• Commission Tracking
  Built-in commission handling for realistic transaction costs.

• Multi-Asset Support
  Initially focused on stocks & ETFs with daily or intraday data, but built to extend to futures, forex, cryptocurrencies, and options in future releases.

• Performance-Oriented
  Planned message queue integration which will enable optimization of speed-critical components (like indicator calculations on large datasets).

• Extendable & Modular

  • Swap out data sources (CSV, APIs, real-time feeds).
  • Plugin-style architecture for custom brokers, strategies, analytics, and risk management.
  • Components are planned to be made language agnostic in a future release (v1).
  • A solid foundation for live trading integration in a future version (v1).

• Professional-Grade Analytics

  • Built-in performance metrics (Sharpe, Sortino, drawdown, annualized returns).
  • Ongoing support for event-based analytics and reporting modules.

---

Why AlphaFlow?

1. Maintainable & Modern
   Many legacy libraries are no longer actively maintained or don’t follow best practices. AlphaFlow focuses on code quality, modular design, and clear APIs.

2. Powerful & Future-Proof
   By embracing an event-driven architecture, you get fine-grained control over every aspect of your trading simulation. The transition to real-time or live trading is also more natural compared to purely vectorized solutions.

3. Commission-Aware Backtesting
   Built-in commission tracking ensures realistic transaction costs are accounted for in your strategy performance.

4. Performance Upgrades
   Future Rust integration will offload compute-heavy tasks, enabling large-scale backtests without major slowdowns or memory bottlenecks.

5. Community & Extensibility
   Built to be plugin-friendly, allowing the community to add new data feeds, brokers, analytics modules, and advanced features without modifying the core.

---

High-Level Architecture

1. EventBus (Pub-Sub)

• The heart of AlphaFlow.
• Components (DataFeed, Strategy, Broker, Portfolio, Analytics) subscribe to and publish events.
• Ensures a loose coupling: each module only needs to know how to react to specific event types.

2. DataFeed

• Responsible for providing market data (historical or real-time).
• Publishes MarketDataEvents (price bars, ticks, earnings, news, etc.) to the EventBus.
• Can support multiple timeframes (daily, intraday, tick data in v2).

3. Strategy

• Subscribes to MarketDataEvents from the DataFeed.
• Generates trading signals and publishes OrderEvents to the Broker.
• Can also subscribe to Portfolio updates if needed (to track position sizing, risk limits, etc.).

4. Broker (Execution Engine)

• Subscribes to OrderEvents from the Strategy.
• Simulates fills (partial or full) and slippage, calculates commissions, and publishes FillEvents.
• Centralizes order handling logic, making it easy to swap in a real-time broker later.

5. Portfolio

• Subscribes to FillEvents to track positions, cash balances, and profit/loss.
• Optionally publishes portfolio updates (like margin calls, risk alerts) to other modules.

6. Analytics

• Subscribes to relevant events (MarketData, FillEvents, or PortfolioUpdates) to compile performance metrics, visualize PnL curves, or generate custom reports.
• Encourages real-time or post-backtest reporting, ideal for quick iteration.

---

Getting Started

1. Install AlphaFlow

   pip install alphaflow
   

2. Basic Example

   from datetime import datetime
   
   from alphaflow import AlphaFlow
   from alphaflow.brokers import SimpleBroker
   from alphaflow.data_feeds import PolarsDataFeed
   from alphaflow.strategies import BuyAndHoldStrategy
   
   # 1. Initialize AlphaFlow
   flow = AlphaFlow()
   flow.set_cash(100000)
   flow.set_backtest_start_timestamp(datetime(1990, 2, 10))
   flow.set_backtest_end_timestamp(datetime(2025, 1, 5))
   
   # 2. Create DataFeed (e.g., CSV-based daily bars)
   flow.set_data_feed(
       PolarsDataFeed(
           df_or_file_path="historical_data.csv",
       )
   )
   
   # 3. Set Equity Universe
   flow.add_equity("BND")
   flow.add_equity("SPY")
   
   # 4. Initialize Strategy
   flow.add_strategy(
       BuyAndHoldStrategy(
           symbol="SPY",
           target_weight=0.9
       )
   )
   flow.add_strategy(
       BuyAndHoldStrategy(
           symbol="BND",
           target_weight=0.1
       )
   )
   
   # 5. Create Broker
   flow.set_broker(SimpleBroker())
   
   # 6. Run the backtest
   flow.run()
   

3. Monitor Results

   • Use built-in analytics or your own custom module to generate metrics and charts.
   • Check logs to see partial fills, order details, and event flows.

---

Contributing

We welcome contributions from the community! To get started:

1. Fork the repository and create a new branch.
2. Implement or fix a feature.
3. Submit a pull request describing your changes.

---

License

AlphaFlow is released under the MIT License. See LICENSE for details.

---

Contact & Community

• GitHub: github.com/brandonschabell/alphaflow

---

Thank you for choosing AlphaFlow! We’re excited to see what you’ll build.