arbitrix-core

MIT-licensed open-source backtest engine and cost model from the Arbitrix trading toolkit.

Install

pip install arbitrix-core

Optional extras:

arbitrix-core[fast] — enables numba JIT for the SL/TP vectorized loop.
arbitrix-core[docs] — mkdocs build dependencies.
arbitrix-core[dev] — pytest + ruff.

Quickstart

import pandas as pd

from arbitrix_core import Backtester, BTConfig, Signal, BaseStrategy, InstrumentConfig
from arbitrix_core import costs
from arbitrix_core import load_ohlcv


class SmaCross(BaseStrategy):
    symbol = "EURUSD"
    timeframe = "H1"

    def prepare(self, df):
        prepared = df.copy()
        fast = df["close"].rolling(10).mean()
        slow = df["close"].rolling(30).mean()
        prepared["cross_up"] = (fast.shift(1) <= slow.shift(1)) & (fast > slow)
        prepared["cross_down"] = (fast.shift(1) >= slow.shift(1)) & (fast < slow)
        return prepared.dropna()

    def on_bar(self, row, portfolio):
        if row["cross_up"]:
            return [Signal(when=row.name, action="buy", price=float(row["close"]))]
        if row["cross_down"]:
            return [Signal(when=row.name, action="sell", price=float(row["close"]))]
        return []

    def stop_distance_points(self, row):
        return 0.002


df = load_ohlcv("eurusd_h1.csv", time_col="datetime")
costs.configure(commission_per_lot=3.0, point_overrides={"EURUSD": 10.0}, allow_provider_lookups=False)
instrument = InstrumentConfig(
    ib_symbol="EURUSD",
    point_value=10.0,
    contract_size=1.0,
    tick_size=0.0001,
    min_order_size=0.01,
)
result = Backtester(BTConfig(), instruments={"EURUSD": instrument}).run_single(
    df,
    SmaCross(),
    risk_perc=0.01,
    initial_equity=10_000.0,
)
print(result.metrics)

run_single remains the mono-provider API. Multiprovider and multisymbol code uses the additive run_market API with the FeedKey / MarketFrames -> PreparedMarket -> MarketBars contract.

Full documentation at https://g14mb0.github.io/arbitrix-core/

Sync to public repo

src/arbitrix_core is the canonical source and is published from the upstream Arbitrix monorepo via subtree split. The private workflow .github/workflows/arbitrix-core-sync.yml force-pushes that subtree to https://github.com/G14MB0/arbitrix-core on every push to main or development that touches the subtree, and on workflow_dispatch.

Requirements:

Repo secret PUBLIC_REPO_TOKEN — fine-grained PAT with Contents: write scope on G14MB0/arbitrix-core.
Public repo development branch is overwritten on every sync. Do not commit directly to that branch.

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