Algorithmic Trading

The University of Waterloo quantitative analytics stocks club algorithmic trading repository.

Project Board: https://github.com/orgs/UWQSC/projects/1

Onboarding Information

Setup

• After cloning the repository, run the following command

chmod +x ./setup.sh
./setup.sh

• This sets up your:
  • Python virtual environment with your packages
  • GitHub hook for commit message regex.

Project Structure

• src/: Main code
• interfaces/: Abstract Interfaces, referenced by other repo
• tests/: Unit Tests for src/

Other files and directories

• bin: All important directory bash files go here
• Makefile: Used to locally run unit tests, can be used for other functionalities as well
• .github: Contains the GitHub Workflows that run on every push and pull request
• .git: Contains GitHub Hooks for commit messages

Conventions and Rules to Follow

• Every commit should be linked with at-least one issue. Hence, every commit should have the GitHub Issues that it belongs to. For example, if issue is #100, your commit should have topic/#100 mentioned in an independent line. Note that there is a checker.

Correct commit message

Writing Unit Test for black_litterman.py

topic/#100

- Code coverage 80%.

Incorrect commit message

Writing Unit Test for black_litterman.py

Writing Unit Test for black_litterman.py topic/#100

Writing Unit Test for black_litterman.py

topic/#100 - Code coverage 80%.

Writing Unit Test for black_litterman.py

topic/100 

- Code coverage 80%.

Writing Unit Test for black_litterman.py

#100 

- Code coverage 80%.

• For convention’s sake, name your branches topic/<issue_number>. For example: Issue #100 should be worked on topic/100. There's no checker for branches though.
• Try to make commits as descriptive as possible.
• Changes to mainline can only be made through PRs. Please make the PR descriptions descriptive (preferably list of commit descriptions)
• When a PR is ready to be reviewed, please add Ready for Review label from the Label section and then add algo-trading-team as reviewers.
• When a PR is ready to be merged, please add Ready for Merge label from the Label section.

Running Unit Tests Locally

• Running this command will run all the unit tests, with the source code being present at src/

make

• To see unit test writing convention, please refer to Python Sample Test File

Running GitHub Workflows Locally

This requires you to have Docker installed. Install Act from https://nektosact.com/introduction.html

A successful act run looks like:

> cd ~/<algorithmic-trading-root>
> act
...
[Pylint/build            ]   ✅  Success - Main Analysing the code with pylint
[Pylint/build            ] ⭐ Run Post Set up Python 3.9
[Pylint/build            ]   🐳  docker exec cmd=[/opt/acttoolcache/node/18.20.5/arm64/bin/node /var/run/act/actions/actions-setup-python@v3/dist/cache-save/index.js] user= workdir=
[Pylint/build            ]   ✅  Success - Post Set up Python 3.9
[Pylint/build            ] Cleaning up container for job build
[Pylint/build            ] 🏁  Job succeeded
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