jordibeen/blankly

💨 Rapidly build and deploy quantitative models for stocks, crypto, and forex 🚀

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Why Blankly?

Blankly is a live trading engine, backtest runner and development framework wrapped into one powerful open source package. Models can be instantly backtested, paper traded, sandbox tested and run live by simply changing a single line. We built blankly for every type of quant including training & running ML models in the same environment, cross-exchange/cross-symbol arbitrage, and even long/short positions on stocks (all with built-in websockets).

Convert your existing model or build a new one - unlock the ability to run & optimize across all of our supported exchanges. Getting started is easy - just pip install blankly and blankly init.

Sponsored Promotion

Check out our website and our docs.

YouTube - Under 25 Lines Build an Alpaca RSI Trading Bot

Trade Stocks, Crypto, and Forex Seamlessly

from blankly import Alpaca, CoinbasePro

stocks = Alpaca()
crypto = CoinbasePro()

# Easily perform the same actions across exchanges & asset types
stocks.interface.market_order('AAPL', 'buy', 1)
crypto.interface.market_order('BTC-USD', 'buy', 1)

Backtest Instantly Across Symbols

from blankly import Alpaca, Strategy, StrategyState


def price_event(price, symbol, state):
    # Trading logic here
    state.interface.market_order(symbol, 'buy', 1)


# Authenticate
alpaca = Alpaca()
strategy = Strategy(alpaca)

# Check price every hour and send to the strategy function
# Easily switch resolutions and data
strategy.add_price_event(price_event, 'AAPL', '1h')
strategy.add_price_event(price_event, 'MSFT', '15m')

# Run the backtest
strategy.backtest(to='1y')

Accurate Backtest Holdings

Useful Metrics

Blankly Metrics: 
Compound Annual Growth Rate (%):   54.0%
Cumulative Returns (%):            136.0%
Max Drawdown (%):                  60.0%
Variance (%):                      26.15%
Sortino Ratio:                     0.9
Sharpe Ratio:                      0.73
Calmar Ratio:                      0.99
Volatility:                        0.05
Value-at-Risk:                     358.25
Conditional Value-at-Risk:         34.16

Go Live in One Line

Seamlessly run your model live!

# Just turn this
strategy.backtest(to='1y')
# Into this
strategy.start()

Dates, times, and scheduling adjust on the backend to make the experience instant.

Quickstart

Installation

First install Blankly using pip. Blankly is hosted on PyPi.

$ pip install blankly

Next, just run:

$ blankly init

This will initialize your working directory.

The command will create the files keys.json, settings.json, backtest.json, blankly.json and an example script called bot.py.

If you don't want to use our init command, you can find the same files in the examples folder under settings.json and keys_example.json

From there, insert your API keys from your exchange into the generated keys.json file.

More information can be found on our docs

Directory format

The working directory format should have at least these files:

Project
   |-bot.py
   |-keys.json
   |-settings.json

Additional Info

Make sure you're using a supported version of python. The module is currently tested on these versions:

Python 3.7
Python 3.8
Python 3.9
Python 3.10

For more info, and ways to do more advanced things, check out our getting started docs.

Supported Exchanges

Exchange	Live Trading	Websockets	Paper Trading	Backtesting
Coinbase Pro	🟢	🟢	🟢	🟢
Binance	🟢	🟢	🟢	🟢
Alpaca	🟢	🟢	🟢	🟢
OANDA	🟢	🟡	🟢	🟢
FTX	🟢	🟢	🟢	🟢
KuCoin	🟢	🟡	🟢	🟢
Kraken	🟡	🟡	🟡	🟡
Keyless Backtesting				🟢
TD Ameritrade	🔴	🔴	🔴	🔴
Webull	🔴	🔴	🔴	🔴
Robinhood	🔴	🔴	🔴	🔴

🟢 = working

🟡 = in development, some or most features are working

🔴 = planned but not yet in development

RSI Example

We have a pre-built cookbook examples that implement strategies such as RSI, MACD, and the Golden Cross found in our examples.

The model below will run an RSI check every 30 minutes - buying below 30 and selling above 70. Try switching the exchange and assets and see how it instantly works on Binance, Coinbase Pro or anything else you trade on.

import blankly
from blankly import StrategyState


def price_event(price, symbol, state: StrategyState):
    """ This function will give an updated price every 15 seconds from our definition below """
    state.variables['history'].append(price)
    rsi = blankly.indicators.rsi(state.variables['history'])
    
    if rsi[-1] < 30 and not state.variables['has_bought']:
        # Dollar cost average buy
        state.variables['has_bought'] = True
        state.interface.market_order(symbol, side='buy', size=1)
    elif rsi[-1] > 70 and state.variables['has_bought']:
        # Dollar cost average sell
        state.variables['has_bought'] = False
        state.interface.market_order(symbol, side='sell', size=1)


def init(symbol, state: StrategyState):
    # Download price data to give context to the algo
    state.variables['history'] = state.interface.history(symbol, to='1y', return_as='list')['open']
    state.variables['has_bought'] = False


if __name__ == "__main__":
    # Authenticate on alpaca to create a strategy
    alpaca = blankly.Alpaca()

    # Use our strategy helper on alpaca
    strategy = blankly.Strategy(alpaca)

    # Run the price event function every time we check for a new price - by default that is 15 seconds
    strategy.add_price_event(price_event, symbol='NCLH', resolution='30m', init=init)
    strategy.add_price_event(price_event, symbol='CRBP', resolution='1h', init=init)
    strategy.add_price_event(price_event, symbol='D', resolution='15m', init=init)
    strategy.add_price_event(price_event, symbol='GME', resolution='30m', init=init)

    # Start the strategy. This will begin each of the price event ticks
    # strategy.start()
    # Or backtest using this
    strategy.backtest(to='1y')

Other Info

Subscribe to our news!

https://blankly.substack.com/p/coming-soon

Bugs

Please report any bugs or issues on the GitHub's Issues page.

Disclaimer

Trading is risky. We are not responsible for losses incurred using this software, software fitness for any particular purpose, or responsibility for any issues or bugs. This is free software.

Contributing

If you would like to support the project, pull requests are welcome. You can also contribute just by telling us what you think of Blankly: https://forms.gle/4oAjG9MKRTYKX2hP9

Licensing

Blankly is distributed under the LGPL License. See the LICENSE for more details.

New updates every day 💪.

jordibeen / blankly