Algotrading

Alexander Lifanov

2017

IMHO

Automated trading

Order books

Orders

• Market
• Limit
• Stop

Orders

OHLC(V)

OHLC(V)

Strategy

• Trending
• Mean revertion
• etc

Portfolio

• Assets
• Strategy parameters
• Money (position sizing)

Risks

• Strategy
• Portfolio (assets)
• Counterparty (obligation)
• Operational

Backtesting cycle

Backtesting tools

• vector
• event

Backtesting tool architecture

Queue

Backtesting tool architecture

• MarketEvent
• SignalEvent
• OrderEvent
• FillEvent

Events

Backtesting tool architecture

DataHandler > MarketEvent

Backtesting tool architecture

MarketEvent >  Strategy > SignalEvent

Backtesting tool architecture

SignalEvent > Portfolio > OrderEvent

Backtesting tool architecture

OrderEvent >  ExecutionHandler > FillEvent

Backtesting tool architecture

FillEvent > Portfolio

Backtesting tool architecture

MarketEvent > Portfolio

Backtesting tools

Backtrader

https://www.backtrader.com/

BT

http://pmorissette.github.io/bt/

Zipline

https://github.com/quantopian/zipline

PyAlgoTrade

http://gbeced.github.io/pyalgotrade/

Mikasa

https://github.com/alifanov/mikasa_ed/

Machine learning

Live trading

homework

Links

• https://habrahabr.ru/company/itinvest/blog/249299/
• https://smart-lab.ru/
• https://www.quantstart.com/
• https://blog.quantopian.com/

The End

Alexander Lifanov

https://github.com/alifanov/spbpy_meetup_10102017

tg: @jetbootsmaker

t.me/spbpython