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