tradedesk 0.8.0

Trading infrastructure library with backtesting

tradedesk

Contributing: CONTRIBUTING.md

tradedesk is an event-driven trading framework for building, running, and evaluating systematic trading strategies across both backtesting and live broker environments.

It provides:

• Event-based strategy execution
• Unified backtest and live broker runtime model
• Market data aggregation and indicator framework
• Portfolio orchestration and risk management
• Trade recording, metrics, and reporting

The framework is designed so that strategies react to events --- not broker implementations --- enabling the same strategy code to run unchanged in both backtest and live environments.

Core Concepts

Event-Driven Architecture

All major subsystems communicate via events:

• Market data events (ticks, candles)
• Strategy events (signals)
• Execution events (orders, fills)
• Portfolio events (position updates)
• Recording events (trade lifecycle)

As a user, you primarily:

• Implement a strategy that reacts to candle updates
• Optionally subscribe to events for custom analytics or logging

Architecture Overview

For a concise public map of the system, see ARCHITECTURE.md. tradedesk is built around an event-driven core that wires together market data, strategy logic, portfolio management, execution adapters (IG for live trading, Dukascopy-backed backtests), and a recording layer for metrics and reports. The public interfaces expose reusable building blocks (marketdata, strategy, portfolio, recording) with clear data-flow guarantees across backtest and live paths.

Basic Strategy Structure

A strategy derives from the base strategy class and implements candle handling logic.

Typical flow:

1. Market data arrives (tick or candle)
2. Aggregation produces candles
3. Strategy receives on_candle_update
4. Strategy emits order requests
5. Execution layer processes orders
6. Portfolio updates positions
7. Recording captures trade lifecycle

Running a Backtest

Backtesting uses the same event model as live trading.

High-level flow:

• Dukascopy cache data is loaded via BacktestClient.from_dukascopy_cache(...)
• run_backtest(...) drives the event loop and recording pipeline
• Strategy code executes unchanged
• Portfolio and recording operate identically to live mode

See docs/backtesting_guide.md for the current cache-backed workflow.

Live Trading (IG)

The IG execution module provides:

• REST client for order management
• Streaming price integration
• Position synchronization
• Retry and resilience handling

Your strategy remains unchanged --- only the execution configuration differs.

Portfolio & Risk

The portfolio subsystem:

• Tracks positions
• Applies risk policies
• Reconciles fills
• Emits portfolio events

Risk controls can reject or modify orders before execution.

Recording & Reporting

The recording subsystem:

• Tracks trades and equity curves
• Computes excursions and performance metrics
• Generates structured reports

Users can subscribe to recording events for custom reporting pipelines.

Typical Project Structure

my_strategy/
    strategy.py
    run_backtest.py
    config.py

Installation

Python 3.11+ is required.

Install the published package:

pip install tradedesk

For local development:

pip install -e '.[dev]'

Documentation

See the docs/ directory for:

• Backtesting guide
• Strategy guide
• Portfolio guide
• Indicator guide
• Aggregation guide
• Risk management guide
• Metrics guide

Public package entry points are grouped under:

• tradedesk.marketdata
• tradedesk.execution
• tradedesk.execution.backtest
• tradedesk.portfolio
• tradedesk.recording
• tradedesk.strategy

tradedesk is designed for clarity, determinism, and event-level transparency.

License

Licensed under the Apache License, Version 2.0. See: https://www.apache.org/licenses/LICENSE-2.0

Copyright 2026 Radius Red Ltd. | Contact