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pysentosa - Python API for sentosa trading system

Project description

pysentosa - Python API for sentosa trading system

http://www.quant365.com/static/merlion.png
  • 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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