Welcome to quanttrader, a pure python-based event-driven backtest and live trading package for quant traders.

The source code is completely open-sourced here on GitHub. The package is published here on pypi and is ready to be pip installed. The document is hosted here on readthedocs.

In most cases, a backtest strategy can be directly used for live trade by simply switching to live brokerage. A control window is provided to monitor live trading sessions for each strategy separately and the portfolio as a whole.

Backtest code structure

Backtests examples

Reinforcement trader

Live Trading demo video

Live Trading code structure

Prerequisite: download and install IB TWS or IB Gateway; enable API connection as described here.

Installation

Step 1

pip install quanttrader

Alternatively, download or git the source code and include unzipped path in PYTHONPATH environment variable.

step 2

Download live_engine.py, config_live.yaml, order_per_interval_strategy.py by clicking Raw button, right clicking save as, and then change the file extension to .py or .yaml.

step 3

cd where_the_files_are_saved
python live_engine.py

Instruments Supported and Example

• Stock: AMZN STK SMART
• Foreign Exchange: EURGBP CASH IDEALPRO
• Futures: ESM9 FUT GLOBEX
• Options on Stock: AAPL OPT 20201016 128.75 C SMART
• Options on Futures: ES FOP 20200911 3450 C 50 GLOBEX
• Comdty: XAUUSD CMDTY SMART

Order Type Supported

Basic order types. See IB Doc for details.

• Auction
• Auction Limit
• Market
• Market If Touched
• Market On Close
• Market On Open
• Market to Limit
• Limit Order
• Limit if Touched
• Limit on Close
• Limit on Open
• Stop
• Stop Limit
• Trailing Stop
• Trailing Stop Limit

DISCLAIMER Open source, free to use, free to contribute, use at own risk. No promise of future profits nor responsibility of future loses.