pysentosa - Python API for sentosa trading system
Project description
pysentosa - Python API for sentosa trading system
pysentosa is the Python API for sentosa trading system written by Wu Fuheng
WebSite: http://www.quant365.com (Quant365 - Trading with Science and Technology)
OS: Linux Ubuntu 15.10 64bit
Installation:
GITURL=https://raw.githubusercontent.com/henrywoo/pysentosa/master wget $GITURL/install_nanomsg.sh -O install_nanomsg.sh chmod u+x install_nanomsg.sh ./install_nanomsg.sh wget $GITURL/install_yaml_cpp.sh -O install_yaml_cpp.sh chmod u+x install_yaml_cpp.sh ./install_yaml_cpp.sh sudo apt-get install -y python-pip libboost-all-dev sudo pip install -U pysentosa pyyaml netifaces websocket-client nanomsg \ setproctitle psutil
Launch your IB TWS.
Run your strategy to trade
Run demo:
from pysentosa.demo import run_demo run_demo()
Sample code:
from pysentosa import Merlion from ticktype import * m = Merlion() target = 'SPY' m.track_symbol([target, 'BITA']) bounds = {target: [220, 250]} while True: symbol, ticktype, value = m.get_mkdata() if symbol == target: if ticktype == ASK_PRICE and value < bounds[symbol][0]: oid = m.buy(symbol, 5) while True: ord_st = m.get_order_status(oid) print ORDSTATUS[ord_st] if ord_st == FILLED: bounds[symbol][0] -= 20 break sleep(2) elif ticktype == BID_PRICE and value > bounds[symbol][1]: oid = m.sell(symbol, 100) bounds[symbol][1] += 20
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