tradingkit 1.11.8

Trading and backtesting framework for Python

TradingKit

This file shows the basic usage for TradingKit, for more docs, please see the Wiki

Requirements

• python 3.7+
• pip

Installation

the recommended way to install TradingKit si via PyPi.

Install from PyPi

pip3 install tradingkit

Install from Source

git clone https://github.com/logictraders/tradingkit
cd tradingkit
# Optional, uncomment the line below if you want a specific version
# git checkout v1.2.5
python3 setup.py install

Creating strategies

In order to create new strategies you need 4 steps

Create separate project

Create new python3.7+ project, no need to do anymore in this step.

Creating strategy class

create a class extending from tradingkit.strategy.strategy.Strategy

# File my_project/my_strategy.py
import logging
import ccxt.Exchange

from tradingkit.pubsub.event.trade import Trade
from tradingkit.pubsub.event.book import Book
from tradingkit.pubsub.event.order import Order
from tradingkit.pubsub.core.event import Event
from tradingkit.strategy.strategy import Strategy


class MyStrategy(Strategy):

    def __init__(self, exchange: Exchange, config):
        super().__init__(exchange, config)
        # do whatever initializations you need

    def on_event(self, event: Event):
        if isinstance(event, Trade):
            logging.info("Order event happened!")
            # do whatever you need with the exchange
            self.exchange.create_order(...)
        if isinstance(event, Book):
            logging.info("Book event happened!")
            # do whatever you need with the exchange
            self.exchange.create_order(...)
        if isinstance(event, Order):
            logging.info("Order event happened!")
            # do whatever you need with the exchange
            self.exchange.create_order(...)

Create main config file

create system/config.json file

{
    "strategy": {
        "class": "my_strategy.MyStrategy",
        "arguments": ["@bridge", "@config"]
    },
    "config": {
        "symbol": "%env(SYMBOL)%"
    }
}

create .env file to add some env vars

# File .env
SYMBOL=BTC/EUR

Configure dev environment

create system/config.dev.json file

{
    "exchange": "@testex",
    "feeder": "@backtest_feeder"
}

Configure live environment

create system/config.live.json file

{
    "exchange": "@kraken",
    "feeder": "@kraken_feeder"
}

create .env.live.local file to add your bitmex credentials credentials

# File .env.live.local
KRAKEN_KEY=xxxxxxxxxxxxxxxxxxx
KRAKEN_SECRET=yyyyyyyyyyyyyyyyyyyy

Run dev (backtest)

tk run -e dev -y 2020 -m 1 --plot

Run live

tk run -e live --plot

Available configurations

Injectable modules:

Module Type	Key	Module	Description	Arguments
Exchange	exchange	kraken	Kraken exchange API	apikey, secret
Exchange	exchange	bitmex	Bitmex exchange API	apikey, secret
Exchange	exchange	bitmex_testnet	Bitmex testnet exchange API	apikey, secret
Exchange	exchange	testex	kraken exchange simulator	balances, fees
Exchange	exchange	bitmex_backtest	bitmex exchange simulator	balances, fees
Feeder	feeder	kraken_backtest_feeder	feeder used for kraken simulations	exchange, symbol, since8601, to8601
Feeder	feeder	bitmex_funding_backtest_feeder	feeder used for bitmex simulations	exchange, symbol, since8601, to8601
Feeder	feeder	bitmex_testnet_feeder	feeder used for bitmex-testnet live strategies	apikey, secret
Feeder	feeder	bitmex_feeder	feeder used for bitmex live strategies	apikey, secret
Feeder	feeder	kraken_feeder	feeder used for kraken live strategies	apikey, secret
Feeder	feeder	outlier_trade_filter	feeder used to reduce back_test outlier trade data	MAX_PRICE_CHANGE_SINGLE_TRADE
Bridge	bridge	bridge	exchange interface for simulator and real exchange	exchange
Plotter	plotter	highstock	plotter used to show simulation result on chart
Plotter	plotter	plotly	plotter used to show simulation result on chart