margot 0.10

An algorithmic trading framework for PyData.

What is margot?

Margot is a library of components that may be used together or separately. The first major component; margot.data is now available for public preview. It should be considered an early-beta. It works, but may still have sharp edges.

What is margot data?

Margot data makes it super easy to create neat and tidy Pandas dataframes for time-series analysis.

Margot data aims to manage data collection, caching, cleaning, feature generation, management and persistence using a clean, declarative API. If you've ever used Django you'll find this approach similar to the Django ORM.

Columns

The heart of any time-series dataframe is the original data. Margot can retrieve time-series data from external sources (currently AlphaVantage). To add a time- series from an original source, such as "closing_price" or "volume", we declare a Column:

e.g. Let's get closing_price and volume from AlphaVantage:

adjusted_close = av.Column(time_series='adjusted_close')

daily_volume = av.Column(time_series='volume')

Features

Columns are useful, but we usually want to derive new time-series from them, such as "log_returns" or "SMA20". Margot does this for you; we've called these derived time-series, Features.

simple_returns = finance.SimpleReturns(column='adjusted_close')
log_returns = finance.LogReturns(column='adjusted_close')
sma20 = finance.SimpleMovingAverage(column='adjusted_close', window=20)

Features can be piled on top of one another. For example, to create a time-series of realised volatility based on log_returns with a lookback of 30 trading days, simply add the following feature:

realised_vol = finance.RealisedVolatility(column='log_returns', window=30)

Margot includes many common financial Features, and we'll be adding more soon. It's also very easy to add your own.

Symbols

Often, you want to make a dataframe combining a number of columns and features. Margot makes this very easy by providing the Symbol class e.g.

class MyEquity(Symbol):

    adjusted_close = av.Column(time_series='adjusted_close')
    log_returns = finance.LogReturns(column='adjusted_close')
    realised_vol = finance.RealisedVolatility(column='log_returns', 
                                              window=30)
    upper_band = finance.UpperBollingerBand(column='adjusted_close', 
                                            window=20, 
                                            width=2.0)
    sma20 = finance.SimpleMovingAverage(column='adjusted_close', 
                                        window=20)
    lower_band = finance.LowerBollingerBand(column='adjusted_close', 
                                            window=20, 
                                            width=2.0)

spy = MyEquity(symbol='SPY')

MargotDataFrames

You usually you want to look at more than one symbol. That's where MargotDataFrames come in. MargotDataFrames combine multiple Symbols with dataframe-wide Features and Ratios. For example:

class MyEnsemble(MargotDataFrame):
    spy = MyEquity(symbol='SPY', trading_calendar='NYSE')
    iwm = MyEquity(symbol='IWM', trading_calendar='NYSE')
    spy_iwm_ratio = Ratio(numerator=spy.adjusted_close, 
                          denominator=iwm.adjusted_close,
                          label='spy_iwm_ratio')

my_df = MyEnsemble().to_pandas() 

The above code creates a Pandas DataFrame of two equities, and an additional feature that calculates a time-series of the ratio of their respective adjusted close prices.

Margot's other parts

not yet released.

Margot aims to provide a simple framework for writing and backtesting trading signal generation algorithms using margot.data.

Results from margot's trading algorithms can be analysed with pyfolio.

Getting Started

pip install margot

Next you need to make sure you have a couple of important environment variables set::

export ALPHAVANTAGE_API_KEY=YOUR_API_KEY
export DATA_CACHE=PATH_TO_FOLDER_TO_STORE_HDF5_FILES

Once you've done that, try running the code in the notebook.

Status

This is still an early stage software project, and should not be used for live trading just yet.

Documentation

For examples see the notebook.

The main documentation is at readthedocs.

Contributing

Feel free to make a pull request or chat about your idea first using issues.

Dependencies are kept to a minimum. Generally if there's a way to do something in the standard library (or numpy / Pandas), let's do it that way rather than add another library.

License

Margot is licensed for use under Apache 2.0. For details see the License.