profitviews / heisenberg

Algo trading code, documentation and webinars.

Heisenberg Algo Trading

C++ Crypto Algos

Build steps

Linux or MacOS. See here for Windows.

• Clone project

  git clone https://github.com/profitviews/heisenberg.git heisenberg
  cd heisenberg

• Install and Configure Conan and Ninja

  python3 -m venv .venv              # Create a Python virtual env
  source ./.venv/bin/activate        # Activate the virtual env
  pip install -r ./requirements.txt  # Install Conan and Ninja
  conan profile detect --force       # Generate a default configuration with the local machine settings
  conan config install ./.conan      # Install supported build profiles from ./.conan to ./conan2

• Standard Build
  Installing Conan dependencies and configuring CMake presets. The sample build below is choosing the Release configuration:

  mkdir build
  conan install ./ -pr:h .conan2/profiles/gcc/12/x64-libstdc++11-release -pr:b .conan2/profiles/gcc/12/x64-libstdc++11-release -of ./build --build missing
  source build/conanbuild.sh
  cmake --preset conan-release
  cmake --build --preset conan-release

• Ninja Multi-Config Build

  Multi-config builds allow you to create a build folder containing sub-folders for different build configurations and build them side-by-side. To generate all the configurations we run the conan-default preset which configures CMake for these configurations Release and Debug. The sample build below is choosing the Release configuration:

  conan install ./ -pr:h .conan2/profiles/gcc/12/x64-libstdc++11-release -pr:b .conan2/profiles/gcc/12/x64-libstdc++11-release -of ./build --build missing -c tools.cmake.cmaketoolchain:generator="Ninja Multi-Config"
  source build/conanbuild.sh
  cmake --preset conan-default # The configure stage for multi-config builds is conan-default
  cmake --build --preset conan-release # The build stage for multi-config builds is the conan-<configuration>

This will create:

• build/bin/algo which will run a simple Mean Reversion algo on FTX or Coinbase
• For example

cd bin
./algo --exchange=coinbase --algo=SimpleMR --api_key=$COINBASE_API_KEY --api_secret=$COINBASE_API_SECRET --api_phrase=$COINBASE_API_PHRASE --lookback=50 --reversion_level=2 --base_quantity=0.0025 --symbol=ETH-BTC