A Python framework for R&D of financial investment strategies, and trading them algorithmiclly via Quantopian.com
- Detailed order logging
- WorstSpreadSlippage to simulate pessimistic yet realistic order execution
- Strategy framework that's easy to extend
- StrategyPositions: Each strategy can control it's own positions without interfering with other strategy
- Including algorithmic stop-loss and profit-loss triggers
- Multiple Strategies supported
- TechnicalIndicators framework that's easy to extend
- State History stored for inspecting previous frames
- StandardTechnicalIndicators provided as example
- Designed for coding via Python Tools for Visual Studio
- simple copy/paste into quantopian to execute
- intelisence for most quantopian internals
- Open Source (GPL3)
- I want a R&D platform to implement strategies and synthetic securities easily, AND
- I wanted a codebase that can use Python Tools for Visual Studio's intelisence.
- So that's why I made this.
- v1.1.0 (20140616)
- big changes to strategyPositions (add algorithmic stop-loss)
- simplify security declaration based on Quantopian platform improvements
- add good performing "Volatility Bias" strategy as an example
- removed QuantopianRealMoneyStrategy example
- add Bollinger Band and Daily Indicators (not enabled by default)
- v1.0.4 (20140422)
- add "logging" global object to framework,
- allows enabling/disabling of logs,
- adds log time (in exchange time)
- allows graphing records with variables as names.
- manually compute all standard technical indicators to workaround quantopian (TALib) bug in SMA computation
- v1.0.3 (20140419)
- cleanup / simplifying workflows and architecture
- removed old examples, now 'strategy' focused
- added QuantopianRealMoneyStrategy as an example
- renamed classes/functions and added docs
- added WorstSpreadSlippage and high quality order logging
- v1.0.2
- Add logic for multi-algorithm and multi-security collaboritive trading.
- add realistic example of multistrategy collab (followMarketStrategy and followPriorDayStrategy operating at the same time)
- focus on intraday, but make sure framework+algos can still work with interday
- infrastructure for storing daily history per security/algo
- v1.0.1
- Add Security object to provide persistant state / logic for securities
- Add state history to security, provide easy way for things to get their own state + history of their own state.
- add multi-phase updates, allow framework to custom init securities
- add partial positions, so that strategies can order independantly of eachother
- v1
- The first checkin is Zipline compatable. After that it is not.
- ??? email me at if you want something
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install vs2013
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install pytools for vs2013
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install activestate python (32bit)
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run the following from your cmd prompt
pypm -g install pip pypm -g install numpy pypm -g install "scipy<0.10" pypm -g install pytz pypm -g install pandas pypm -g install pyzmq pypm -g install ipython pypm --force -g install matplotlib pypm -g install pyreadline pip install zipline -
run the .sln
- on Quantopian.com, just copy-paste the contents of quantShim.py to a new quantopian algo, and backtest
- on zipline, just run quantShim.py IMPORTANT NOTE Only the first checkin support zipline. everything after that is for quantopian use only. There are far too many differences/defects with the zipline runtime to continue it's support right now
- ??? email me at if you want something