Python Juju Quant Engine

PYJUQUE (pai-jook) (Py-thon Ju-ju Qu-ant E-ngine)

This project implements the basic functionality required to engage in algorithmic trading. It can be regarded as a starting point for more complex trading bots, which implements the following features:

Getting Started

Make sure you have pip installed. Run:

# To install all the requirements
pip install -r requirements.txt

Add a .env file in the root filepath, then populate it with the following lines

BINANCE_API_KEY=...
BINANCE_API_SECRET=...

You should be good to go! Check out the example section.

Structure

Code is contained in pyjuque. Tests are in tests.

Features

Plotting

There is some basic functionality for plotting in pyjuque/Plotter

Exchanges

At pyjuque/Exchanges.

Binance - based on the official REST API

In progress implementing multiple exchanges with ccxt.

Backtesting

At pyjuque/Engine/Backtester.

Backtester infrastructure currently supports:

stop loss, trailing stop loss
subsequent entries logic (backtest as if Dollar Cost Averaging is enabled)

Checkout this example.

Indicators

At pyjuque/Indicators.

Started implementing the Indicators module which currently contains some indicators from pyti. Undergoing integration with pandas_ta.

The thinking is that this module should allow us to easily and quickly compute any of the hundreds of indicators out there and to use them in strategies & backtesting. Should seamlessly connect to the Strategies module.

Strategies

At pyjuque/Strategies.

A base module which allows us to define buying & selling strategies for crypto assets. Each strategy will contain the following phases: setup (where the indicators are computed), getIndicators (to be used for plotting), checkLongSignal, checkShortSignal, getBuySignalsList and getSellSignalsList (the last two to be used for backtesting).

Currently contains a few basic strategies. More strategies will be added together with a build-your-own strategy template. Should seamlessly connect to the Backtesting & Bot Controller modules.

Strategy Optimiser

At pyjuque/Strategies/StrategyOptimiser.py.

Currently allows for optimising strategy parameters using a genetic algorithm. Checkout this example.

Local Order Book (for Binance)

At pyjuque/Exchanges/BinanceOrderBook.py.

Creates and stores a local order book for the specified symbols. Order Book is updated every second through a websocket connection to the Exchange (currently Binance). Checkout this example.

from pyjuque.Exchanges.BinanceOrderBook import OrderBook

# Initialize & start OrderBook with desired symbols
ob = OrderBook(symbols=['BTCUSDT', 'LTCUSDT'])
ob.startOrderBook()
...
# Get Updated Order Book data at any point in your code 
ordb = ob.getOrderBook()
print(ordb)

{
  'BTCUSDT': {
      'asks': [
          ['13662.31000000', '3.24473100'],
          ['13662.82000000', '0.06815300'],
          ['13663.08000000', '0.00900000'],
          ...
          ['20000.00000000', '95.22325900']
        ],
      'bids': [
          ['13662.30000000', '1.26362900'],
          ['13661.78000000', '0.04395000'],
          ['13661.62000000', '0.01439200'],
          ...
          ['10188.00000000', '1.11546400']
        ],
      'lastUpdateId': 6382686192  # ignore this
  },
  'LTCUSDT': {
      'asks': [ ... ],
      'bids': [ ... ],
      'lastUpdateId': 1521585540  # ignore this
  },
 'counter': 11                    # ignore this
}

Tests

Run them with the command nose2

In Progress

Bot Controller

At pyjuque/Engine/BotController.py.

A module which will handle the buying and selling of assets, given simple or more advanced rules, allowing us to run a strategy indefinitely. Checkout this example.

[In Progress], creating a universal bot controller pyjuque/Engine/UniversalBotController.py which uses for the exchange integration.

A module which will handle the buying and selling of assets, given simple or more advanced rules, allowing us to run a strategy indefinitely. Checkout this example.

Current Features:

Placing Entry (Buy) Orders on Signal
Market, Limit & Stop Loss orders
Placing Exit Order when Entry Order was fulfilled
Trading below/above signal by some %

Future Features:

OCO orders
Selling on signals
Trailing stop loss
Multiple trade entries (in case trade goes against you)

State persistence

Using SQLAlchemy.

Coming Soon

More Exchanges

Binance Futures, Bitmex, Bitfinex, FTX, Bybit. Margin Trading, Market Making, Hyper Parameter Tuning.

Contributing

To contribute simply fork the repo, write your desired feature in your own fork and make a pull request upon finishing. Please write tests!

Adding new Exchanges

Each exchange should extend the BaseExchange class and implement all functions there.

licensetocole / pyjuque