simple live trading framework
Project description
pylivetrader
pylivetrader is a simple python live trading framework with zipline interface. The main purpose is to run algorithms developed in the Quantopian platform in live trading via broker API. In order to convert your algorithm for pylivetrader, please read the migration document.
Simple Usage
Here is the example dual moving average algorithm (by quantopian/zipline). We provide mostly the same API interfaces with zipline.
from pylivetrader.api import order_target, symbol
def initialize(context):
context.i = 0
context.asset = symbol('AAPL')
def handle_data(context, data):
# Compute averages
# data.history() has to be called with the same params
# from above and returns a pandas dataframe.
short_mavg = data.history(context.asset, 'price', bar_count=100, frequency="1m").mean()
long_mavg = data.history(context.asset, 'price', bar_count=300, frequency="1m").mean()
# Trading logic
if short_mavg > long_mavg:
# order_target orders as many shares as needed to
# achieve the desired number of shares.
order_target(context.asset, 100)
elif short_mavg < long_mavg:
order_target(context.asset, 0)
You can run your algorithm from CLI tool named pylivetrader
, simply like below. Then your algorithm just start running with broker API. You don't need to ready for bundle file in advance as zipline does.
$ pylivetrader run -f algo.py --backend-config config.yaml
Config file is just simple yaml or json format.
$ cat config.yaml
key_id: BROKER_API_KEY
secret: BROKER_SECRET
Installation
Install with pip.
$ pip install pylivetrader
Supported Broker
Alpaca
Configuration by environment variables.
$ export APCA_API_KEY_ID={your api key id}
$ export APCA_API_SECRET_KEY={your api secret key}
$ pylivetrader run -f algo.py
Configuration by config file. Either yaml or json.
$ cat config.yaml
key_id: {your api key id}
secret: {your api secret key}
$ pylivetrader run -f algo.py --backend-config config.yaml
Docker
If you are already familiar with Docker, it is a good idea to
try our docker image alpacamarkets/pylivetrader
.
This has installed pylivetrader so you can start right away without
worrying about your python environment. See more details in the
dockerfiles
directory.
If your algorithm file is called algo.py
, this could be it.
docker run -v $PWD:/work -w /work alpacamarkets/pylivetrader pylivetrader run -f algo.py
Make sure you set up environment variables for the backend
(use -e KEY=VAL
for docker command).
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