A Python wrapper for my C++ battery CID arbitrage simulation engine.

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  • License: MIT License (MIT License)
  • Author: David Schaurecker
  • Requires: Python >=3.8
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Project description

A Battery Intraday Trading Engine

Version License: MIT PyPI - Downloads

A Python high-frequency intraday trading engine for simulating the rolling intrinsic strategy on the European market, solved as a dynamic program. See our paper (tbd, Schaurecker & Wozabal et al. (2025)) for details on the method and visualizations of the results.

Features

  • Process your own raw EPEX Spot Market Data to a suitable format
  • Define battery and simulation settings
  • Adapt the parameters of the dynamic programming optimization
  • React to every single LOB update on the exchange
  • Run yearly high-frequency trading simulations in minutes/hours
  • Return and visualize results and statistics

Installation

BitePy requires Python 3.8+ to run. The package is hosted on PyPI and can be easily installed via

pip install bitepy

Documentation and Tutorial

Our Documentation gives a detailed overview on our package's features and will be updated continuously. We also provide a simple Tutorial in form of a Jupyter Notebook, guiding users through our simulation process.

Contribution

We are happy about all forms of feedback and would like to hear from you, if you would like to contribute as well, or are interested in the underlying C++ source code of your simulation engine. If you want to clone and contribute to the repository, first pip install bitepy and then clone the repository to have access to the compiled binaries while being able to edit the Python source code.

License

Licensed under MIT License. See License for the full license text.

Author

@dschaurecker

with pythonic support by @simon-hirsch

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  • License: MIT License (MIT License)
  • Author: David Schaurecker
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0.6.16

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