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quanttrader backtest and live trading library

Project description

quanttrader

Welcome to quanttrader, a pure python-based event-driven backtest and live trading package for quant traders.

The source code is completely open-sourced here on GitHub. The package is published here on pypi and is ready to be pip installed. The document is hosted here on readthedocs.

In most cases, a backtest strategy can be directly used for live trade by simply switching to live brokerage. A control window is provided to monitor live trading sessions for each strategy separately and the portfolio as a whole.

Backtest

Backtest code structure

Backtests examples

Live trading

Live Trading demo video

Live Trading code structure

Prerequisite: download and install IB TWS or IB Gateway; enable API connection as described here.

Installation

Step 1

pip install quanttrader

Alternatively, download or git the source code and include unzipped path in PYTHONPATH environment variable.

step 2

Download live_engine.py, config_live.yaml, order_per_interval_strategy.py by clicking Raw button, right clicking save as, and then change the file extension to .py or .yaml.

step 3

cd where_the_files_are_saved
python live_engine.py

Instruments Supported and Example

  • Stock: AMZN STK SMART
  • Foreign Exchange: EURGBP CASH IDEALPRO
  • Futures: ESM9 FUT GLOBEX
  • Options on Stock: AAPL OPT 20201016 128.75 C SMART
  • Options on Futures: ES FOP 20200911 3450 C 50 GLOBEX
  • Comdty: XAUUSD CMDTY SMART

Order Type Supported

Basic order types. See IB Doc for details.

  • Auction
  • Auction Limit
  • Market
  • Market If Touched
  • Market On Close
  • Market On Open
  • Market to Limit
  • Limit Order
  • Limit if Touched
  • Limit on Close
  • Limit on Open
  • Stop
  • Stop Limit
  • Trailing Stop
  • Trailing Stop Limit

gui

DISCLAIMER Open source, free to use, free to contribute, use at own risk. No promise of future profits nor responsibility of future loses.

Project details


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