fraq-nettrade-abstractions 0.1.5

SDK for developing trading strategies in Python for FraQ NetTrade

FraQ NetTrade Python Abstractions

SDK for developing trading strategies in Python for the FraQ NetTrade platform.

Installation

pip install fraq-nettrade-abstractions

Quick Start

from fraq_nettrade_abstractions import Strategy

class MyStrategy(Strategy):
    def on_start(self, context):
        """Initialize your strategy"""
        self.sma_fast = context['indicators'].sma(period=10)
        self.sma_slow = context['indicators'].sma(period=20)
    
    def on_bar(self, symbol, index):
        """Trading logic - called on each bar"""
        if self.sma_fast[index] > self.sma_slow[index]:
            return {'action': 'buy', 'volume': 1.0}
        elif self.sma_fast[index] < self.sma_slow[index]:
            return {'action': 'sell', 'volume': 1.0}
        return None

Backtesting Your Strategy

1. Put the full path of the strategy in a FraQ backtest json configuration file
2. Run backtest using 'fraq backtest .

Debugging (local only)

from fraq_nettrade_abstractions import Strategy, enable_debugger

class MyStrategy(Strategy):
    def on_start(self, context):
        debug = context["debug"]

        if debug:
            print("🔴 ATTACH DEBUGGER NOW")
            enable_debugger()

        # Your strategy code with breakpoints

Debug workflow:

1. Start backtest normally
2. Wait until message "ATTACH.." appears in the console window
3. Set breakpoints in your strategy
4. Attach VS Code to port 5678

here a template for VS Code launch.json

{
    "version": "0.2.0",
    "configurations": [
        {
            "name": "Attach to FraQ",
            "type": "debugpy",
            "request": "attach",
            "connect": {
                "host": "127.0.0.1",
                "port": 5678
            },
            "justMyCode": false,
            "pathMappings": [
                {
                    "localRoot": "${workspaceFolder}",
                    "remoteRoot": "${workspaceFolder}"
                }
            ]
        }
    ]
}

API Reference

Strategy Class

Base class for all trading strategies.

Methods to implement:

• on_start(context) - Called once when backtest starts
• on_bar(symbol, index) - Called on each bar (required)
• on_tick(symbol) - Called on each tick (optional)
• on_stop() - Called when backtest ends (optional)

Context Dictionary

Passed to on_start():

{
    'account': {
        'balance': float,
        'equity': float,
        'margin_used': float,
        'margin_available': float
    },
    'symbols': [
        {
            'name': str,
            'bid': float,
            'ask': float,
        }
    ],
    'indicators': IndicatorFactory
    'debug': bool
}

Symbol Object

Passed to on_bar() and on_tick():

{
    'name': 'EURUSD',
    'bid': 1.0850,
    'ask': 1.0852,
    'spread': 0.0002,
    'close': 1.0851,
    'bars': [
        {
            'open': 1.0840,
            'high': 1.0855,
            'low': 1.0835,
            'close': 1.0850,
            'volume': 1000.0,
            'time': '2024-01-01T00:00:00'
        }
    ]
}

Trade Signals

Return from on_bar() or on_tick():

# Buy signal
{'action': 'buy', 'volume': 1.0}

# Sell signal
{'action': 'sell', 'volume': 1.0}

# Close all positions
{'action': 'close', 'volume': 0}

# No action
None