fractal-defi 1.1.0

An ultimate DeFi research library for strategy development and fractaling.

Fractal

Fractal is an ultimate DeFi research library for strategy development and fractaling created by Logarithm Labs.

Docs

Technical docs.

How to install?

pip install fractal-defi

Quick start with ready-to-go strategies

Run MLFlow locally or self-hosted:

pip install mlflow
mlflow io

Than just import pre-built strategies and run the pipeline:

from typing import List

from sklearn.model_selection import ParameterGrid

from fractal.strategies import GMXV2UniswapV3Basis, BasisTradingStrategyHyperparams
from fractal.loaders import BinanceDayPriceLoader, LoaderType

from fractal.core.pipeline import DefaultPipeline, MLFlowConfig, ExperimentConfig
from fractal.core.base import Observation


# Load data and build observations
def build_observations() -> List[Observation]:
  ...


# Build a grid of parameters to search
def build_grid() -> ParameterGrid:
  ...


# Define MLFlow and Experiment configurations
mlflow_config: MLFlowConfig = MLFlowConfig(
    mlflow_uri='http://127.0.01:5000',
    experiment_name='my_strategy'
)
experiment_config: ExperimentConfig = ExperimentConfig(
    strategy=GMXV2UniswapV3Basis,
    backtest_observations=build_observations(),
    window_size=24,
    params_grid=build_grid(),
    debug=True
)
pipeline: DefaultPipeline = DefaultPipeline(
    experiment_config=experiment_config,
    mlflow_config=mlflow_config
)
pipeline.run()

See more detailes examples in /examples directory

Changelog

See our discord dev channel for updates.