PyAlgoEngine
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High-Performance Algorithmic Trading Engine in Python, Cython, and C
PyAlgoEngine is a low-latency trading engine for HFT (High-Frequency Trading) systems. It provides C-level market data structures, shared-memory buffers, an event-driven engine architecture, backtesting with simulated order matching, exchange calendar profiles, and web-based visualization — all with Cython acceleration for latency-critical paths.
Features
| Category | Capabilities |
|---|---|
| Market Data | TickData, TickDataLite, BarData, DailyBar, OrderBook, TransactionData, OrderData, TradeData — all C-backed via Cython |
| Buffers | MarketDataBuffer, MarketDataRingBuffer, MarketDataConcurrentBuffer, MarketDataBufferCache |
| Engines | EVENT_ENGINE (pub/sub), MDS (Market Data Service), ALGO_ENGINE (algo lifecycle), trade engine (DMA, positions, risk) |
| Exchange Profiles | CN (A-share) and default global calendars, session phases, holidays via PROFILE, PROFILE_CN, PROFILE_DEFAULT |
| Backtesting | SimpleReplay, ProgressReplay, SimMatch (simulated matching), TradeMetrics |
| Strategy Framework | StrategyEngine, AlgoTemplate, global singletons (BALANCE, DMA, STRATEGY_ENGINE) |
| Web Apps | Flask + Bokeh dashboards, candlestick charts, strategy tester UI |
| Compile-Time Config | BOOK_SIZE, ID_SIZE, LONG_ID_SIZE, MD_BUF_PTR_DEFAULT_CAP, MD_BUF_DATA_DEFAULT_CAP via env vars |
Quick Install
git clone https://github.com/BolunHan/PyAlgoEngine.git
cd PyAlgoEngine
./build.sh -i
Requires Python 3.12+ and a C compiler (GCC, Clang, or MSVC). See the Setup Guide for detailed instructions, compile-time configuration, and optional dependencies.
Quick Verify
import algo_engine
print(algo_engine.__version__)
from algo_engine.base import CONFIG
print(CONFIG) # compile-time and runtime configuration
Documentation
Build locally:
cd docs && ./update_docs.sh
# open build/html/index.html
- Read the Docs: pyalgoengine.readthedocs.io
- GitHub Pages: bolunhan.github.io/PyAlgoEngine
Architecture
┌──────────────────────────────────────────────────────┐
│ apps/ Web visualization (Flask, Bokeh) │
├──────────────────────────────────────────────────────┤
│ strategy/ Strategy framework, global singletons│
├──────────────────────────────────────────────────────┤
│ engine/ Event, Market, Algo, Trade engines │
├──────────────────────────────────────────────────────┤
│ backtest/ Replay, SimMatch, Metrics │
├──────────────────────────────────────────────────────┤
│ base/ Market data types, buffers (Cython/C)│
├──────────────────────────────────────────────────────┤
│ exchange_profile/ Calendars, sessions (CN + global)│
├──────────────────────────────────────────────────────┤
│ monitor/ Synthetic order book, bar monitor │
├──────────────────────────────────────────────────────┤
│ utils/ Time-series indices, fake data │
└──────────────────────────────────────────────────────┘
Build System
| Command | Description |
|---|---|
./build.sh -i |
Clean, build Cython extensions in-place, install |
make build |
Clean and build extensions in-place |
make install |
Build + pip install |
./build.sh -l |
List all compile-time macros and defaults |
make list-args |
Same as above |
Override compile-time constants:
BOOK_SIZE=20 ./build.sh -i
Dependencies
- Runtime: numpy, pandas, exchange_calendars, PyCyBase, PyEventEngine, Cython
- Web (optional): flask, waitress, bokeh
- Docs (optional): sphinx, sphinx-rtd-theme
License
MIT — Han Bolun
1 maintainer
Metadata
1 maintainer
Release files for PyAlgoEngine 0.12.6
For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.
Built distributions (wheels)
Total release size: 89.7 MB
Release files / pyalgoengine-0.12.6-cp315-cp315t-win_amd64.whl
| Download URL | pyalgoengine-0.12.6-cp315-cp315t-win_amd64.whl |
|---|---|
| Size | 5.2 MB |
| Tags | CPython 3.15 CPython 3.15 free-threading Windows x86-64 |
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No |
| Uploaded via |
twine/7.0.0 CPython/3.13.2
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Release files / pyalgoengine-0.12.6-cp315-cp315t-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl
| Download URL | pyalgoengine-0.12.6-cp315-cp315t-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl |
|---|---|
| Size | 9.9 MB |
| Tags | CPython 3.15 CPython 3.15 free-threading Linux glibc 2.17+ x86-64 Linux glibc 2.28+ x86-64 |
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No |
| Uploaded via |
twine/7.0.0 CPython/3.13.15
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Release files / pyalgoengine-0.12.6-cp315-cp315-win_amd64.whl
| Download URL | pyalgoengine-0.12.6-cp315-cp315-win_amd64.whl |
|---|---|
| Size | 5.1 MB |
| Tags | CPython 3.15 Windows x86-64 |
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Release files / pyalgoengine-0.12.6-cp315-cp315-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl
| Download URL | pyalgoengine-0.12.6-cp315-cp315-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl |
|---|---|
| Size | 9.8 MB |
| Tags | CPython 3.15 Linux glibc 2.17+ x86-64 Linux glibc 2.28+ x86-64 |
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Release files / pyalgoengine-0.12.6-cp314-cp314t-win_amd64.whl
| Download URL | pyalgoengine-0.12.6-cp314-cp314t-win_amd64.whl |
|---|---|
| Size | 5.2 MB |
| Tags | CPython 3.14 CPython 3.14 free-threading Windows x86-64 |
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Release files / pyalgoengine-0.12.6-cp314-cp314t-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl
| Download URL | pyalgoengine-0.12.6-cp314-cp314t-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl |
|---|---|
| Size | 9.9 MB |
| Tags | CPython 3.14 CPython 3.14 free-threading Linux glibc 2.17+ x86-64 Linux glibc 2.28+ x86-64 |
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Release files / pyalgoengine-0.12.6-cp314-cp314-win_amd64.whl
| Download URL | pyalgoengine-0.12.6-cp314-cp314-win_amd64.whl |
|---|---|
| Size | 5.1 MB |
| Tags | CPython 3.14 Windows x86-64 |
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Release files / pyalgoengine-0.12.6-cp314-cp314-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl
| Download URL | pyalgoengine-0.12.6-cp314-cp314-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl |
|---|---|
| Size | 9.8 MB |
| Tags | CPython 3.14 Linux glibc 2.17+ x86-64 Linux glibc 2.28+ x86-64 |
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Release files / pyalgoengine-0.12.6-cp313-cp313-win_amd64.whl
| Download URL | pyalgoengine-0.12.6-cp313-cp313-win_amd64.whl |
|---|---|
| Size | 5.1 MB |
| Tags | CPython 3.13 Windows x86-64 |
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Release files / pyalgoengine-0.12.6-cp313-cp313-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl
| Download URL | pyalgoengine-0.12.6-cp313-cp313-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl |
|---|---|
| Size | 9.8 MB |
| Tags | CPython 3.13 Linux glibc 2.17+ x86-64 Linux glibc 2.28+ x86-64 |
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Release files / pyalgoengine-0.12.6-cp312-cp312-win_amd64.whl
| Download URL | pyalgoengine-0.12.6-cp312-cp312-win_amd64.whl |
|---|---|
| Size | 5.1 MB |
| Tags | CPython 3.12 Windows x86-64 |
|
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Release files / pyalgoengine-0.12.6-cp312-cp312-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl
| Download URL | pyalgoengine-0.12.6-cp312-cp312-manylinux2014_x86_64.manylinux_2_17_x86_64.manylinux_2_28_x86_64.whl |
|---|---|
| Size | 9.8 MB |
| Tags | CPython 3.12 Linux glibc 2.17+ x86-64 Linux glibc 2.28+ x86-64 |
|
SHA-256 checksum How to use checksums |
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