The lost bot looking for a new future!
- Add unit tests per each file.
- Add more strategies, include extra datasets
- Fix typing issues
- Speed up using pybind. Aiming at event testing of around ~100 ms max.
- Introduce complete backtesting in c++ (ideally, std=c++17/20).
- Add multiple indicators: Hurst exponent, Ichimoku cloud, SuperTrend, etc.
- Add order book dynamic, i.e. level 1, 2, 3 volume as a way to determine market direction.
- Dynamic book depth to limit exposure to position limits.
- Test preferences to higher frequency to introduce liquidity in the market vs. long position over time.
- Crossing the book dynamics
- Manage inventory in general
To use this library, install it as a PIPy package:
pip3 install -e .
In examples/strategies/
you can find existing strategies. To execute MovingAveragesCrossStrategy
, use:
cd examples/
python3 strategies/MovingAveragesCrossStrategy.py
Results will be stored in logfiles
with all the events.
To install it with requirements for testing and development (using requirements.txt
) use:
pip3 install --requirement requirements.txt -e .
- Successful Algorithmic Trading, Michael L. Halls-Moore
- Currently working alone on the project, if someone wants to contibute, feel free to raise issues and errors.
- Long term is to make it a long standing - fully operative project. I'm willing to risk a few hundreds (EUR)!
Under MIT License