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liualgotrader's Introduction

LiuAlgoTrader

pdm-managed PyPI - Python Version Python 3 Updates Documentation Status Tested with Hypothesis Gitter Sourcery codecov

Introduction

LiuAlgoTrader is a scalable, multi-process ML-ready framework for effective algorithmic trading. The framework simplifies development, testing, deployment, analysis, and training algo trading strategies. The framework automatically analyzes trading sessions, hyper-parameters optimization, and the analysis may be used to train predictive models.

The framework currently support trading and back-testing of US Equities, and Crypto strategies.

LiuAlgoTrader can run on a laptop and hedge-on-the-go, or run on a multi-core hosted Linux server and it will automatically optimize for best performance for either. LiuAlgoTrader is a full trading platform with a breath of tools to manage automated investment portfolios.

LiuAlgoTrader supports:

See LiuAlgoTrader in Action

LiuAlgoTrader comes equipped with powerful & user-friendly back-testing tool.

Quick-start

Prerequisite

Install & Configure

Step 1: To install LiuAlgoTrader just type:

pip install liualgotrader

Having issues installation? check out the installation FAQ page

Step 2: To configure the frame work type:

liu quickstart

and follow the installation wizard instructions. The wizard will walk you through the configuration of environment variables, setup of a local dockerized PostgreSQL and pre-populate with test data.

Note for WINDOWS users

Try the samples

LiuAlgoTrader quickstart wizard installs samples allowing a first-time experience of the framework. Follow the post-installation instructions, and try to back-test a specific day.

Additional samples can we found in the examples directory.

Tutorials

LiuAlgoTraders articles are published on Medium:

Back-testing

While Liu is first and foremost a trading platform, it comes equipped with full back-testing capabilities, providing command-line tool & jupyter notebook for analysis, and a browser-based UI covering both functionalities.

Machine Learning

These features are still work in process:

Analysis & Analytics

The framework includes a wide ranges of analysis Jupyter Notebooks, as well as streamlit applications for analysis for both trading and back-testing sessions. To name a few of the visual analytical tools:

  • tear-sheet analysis,
  • gain&loss analysis,
  • anchored-VWAPs,
  • indicators & distributions

What's Next?

Read the documentation and learn how to use LiuAlgoTrader to develop, deploy & testing money making strategies.

Watch the Evolution

LiuAlgoTrader is an ever evolving platform, to glimpse the concepts, thoughts and ideas visit the design folder and feel free to comment.

Contributing

Would you like to help improve & evolve LiuAlgoTrader? Do you have a suggestion, comment, idea for improvement or a have a wish-list item? Please read our Contribution Document or email me at [email protected]

Contributors

Special thanks to the below individuals for their comments, reviews and suggestions:

liualgotrader's People

Contributors

amor71 avatar andywitt1 avatar codacy-badger avatar dependabot[bot] avatar enigma56 avatar ksilo avatar pyup-bot avatar riven314 avatar sigmantium avatar snyk-bot avatar thesnoozer avatar

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liualgotrader's Issues

improvements to build process

  1. fix issue w/ package versioning post-deploy
  2. fix badge issues on pypi page
  3. auto-build & deploy a new docker file when a new Liu is published

notebook improvements

  1. move code to Python
  2. add full examples in the documentation
  3. simplify, remove redundant code
  4. code clean-up

extend tradeplan & scanners model

to allow scanners to feed picks for a specific strategy. This would allow running several scanners w/ several strategies, while each scanner "feeds" new picked stocks to specific strategies. A more complex model will be achieved for docker-orchestration at a later stage.

Wont take keys

Hello I made an .env file with the following filled out with my keys but it keeps giving me this error after running liu quickstart

The Framework expects two environment variables to be set:
APCA_API_KEY_ID and APCA_API_SECRET_KEY reflecting the funded
account's API key and secret respectively.
Please set the two environment and re-run the wizard.

anchor vwap: calculation & analytics

Is your feature request related to a problem? Please describe.
extend liu framework with anchor-vwap calculation & visualization

Describe the solution you'd like

  • extend vwap module in fincalcs to support anchored vwap
  • revisit visualization to support anchored vwap in a notebook

Additional context

  • explore better visualizations for stock charts in Jupiter Notebooks

portfolio builder

Is your feature request related to a problem? Please describe.
miner for building off-market hours momentum portfolio

Describe the solution you'd like
miner for building off-market hours momentum portfolio based on Clenow's stocks on the move

ML support

Is your feature request related to a problem? Please describe.
some strategies seem to work well on certain stocks and certain setups, and less for others.

Describe the solution you'd like
extend market miner for off-market calculation of a NN that will predict the affinity of stock to a specific strategy

Describe alternatives you've considered
direct caluclatuon

off-hours calculations

1expand market-miner to allow customized off-hours calculations and data-collections, flexible data model.

Alphalens

Is your feature request related to a problem? Please describe.
Improve analysis capabilities

Describe the solution you'd like
https://github.com/quantopian/alphalens

Additional context
might be relevant for model automation re "towards ML" for Liu

hypothesis

Is your feature request related to a problem? Please describe.
Adding automated testing

Describe the solution you'd like
See if hypothesis may be a good solution for this framework

Describe alternatives you've considered
adding many, many unit-testing

Project depends on TA-LIB

Describe the bug
When I see it correctly the project has removed the dependency to TA-LIB.
However it seems that the MAMA strategy is not yet replaced (here and here). It is also referenced as comment in my_strategy.

To Reproduce

  • Call market_miner:
  • See error:
Traceback (most recent call last):
  File "/.venv/bin/market_miner", line 16, in <module>
    from liualgotrader.miners.daily_ohlc import DailyOHLC
  File "/.venv/lib/python3.8/site-packages/liualgotrader/miners/daily_ohlc.py", line 6, in <module>
    from talib import MAMA
ModuleNotFoundError: No module named 'talib'

Expected behavior
Either depend on talib, or find a suitable replacement for the MAMA strategy.

Desktop (please complete the following information):

$ python --version
Python 3.8.0
$ pip freeze | grep liu
liualgotrader==0.0.82

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