reidmen/losttraderbot

The lost bot looking for a new future!

LostTraderBot

The lost bot looking for a new future!

TODO (Event Base backend)

• 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).

TODO (Strategies)

• 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

Installation

To use this library, install it as a PIPy package:

pip3 install -e .  

Run Example

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.

Requirements

To install it with requirements for testing and development (using requirements.txt) use:

pip3 install --requirement requirements.txt -e .

Python style

• Black
• PEP8
• Google Python Style

References for implementation

• Successful Algorithmic Trading, Michael L. Halls-Moore

Contribution

• 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