pysentosa 0.1.23

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 15.04 64bit

• Installation:

  sudo apt-get install -y python-pip libboost-all-dev libyaml-cpp0.5
  sudo easy_install http://pypi.python.org/packages/2.7/p/pysentosa/pysentosa-0.1.23-py2.7.egg
  sudo pip install 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