OpenTrade

OpenTrade is an open source OEMS, and algorithmic trading platform, designed for simplicity, flexibility and performance.

Demo

Features:

• Strictly follows Google C++ Style Guide
• Multi-level account functionality
• Super simple API interfaces for market data adapter (C++), exchange connectivity (C++) and execution/alpha algo (C++ and Python)
• REST and web socket interface
• Multi-source market data support, e.g., different FX pricing sources
• Pre-trade risk limits on multi-level accounts
• Post-trade risk integrated with OpenRisk
• Edit and test Python algo online
• Backtest
• Multi-theme web frontend
• Fully thread-safe design, everything can be modified during runtime, e.g., reload symbol list, modify tick size table, lot-size, exchange timezone and trading/break period etc.
• Built-in execution simulator
• Simple configuration
• Internal cross
• Execution Optimization Framework
• Order Aggregation
• Customized indicator extension
• Smart Route and FX aggregation
• Support both PostgreSQL and Sqlite3

Steps to run on Ubuntu 18.04 or later

• Compile

  • Prepare dev environment.

  sudo apt update \
  && sudo apt install -y \
    g++  \
    make \
    cmake \
    clang-format \
    clang \
    python \
    python3-dev \
    vim \
    exuberant-ctags \
    git \
    wget \
    libssl-dev \
    libboost-program-options-dev \
    libboost-system-dev \
    libboost-date-time-dev \
    libboost-filesystem-dev \
    libboost-iostreams-dev \
    libboost-python-dev \
    libsoci-dev \
    libpq-dev \
    sqlite3 \
    libsqlite3-dev \
    libquickfix-dev \
    libtbb-dev \
    liblog4cxx-dev
  

  • Build

  git clone https://github.com/opentradesolutions/opentrade
  cd opentrade
  make debug
  

• Setup database

  • Sqlite3

  wget https://github.com/opentradesolutions/data/raw/master/test.sqlite3
  

  • Or PostgreSQL

  sudo apt remove --purge postgres*
  sudo apt autoremove
  sudo apt install -y postgresql-10 || sudo apt install -y postgresql-11
  sudo apt install -y postgresql-contrib postgresql-client
  # add data to database as user 'postgres'
  sudo su postgres;
  cd;
  wget https://github.com/opentradesolutions/data/raw/master/opentrade-pg_dumpall.sql
  psql -f opentrade-pg_dumpall.sql
  exit # become yourself again
  

• Run opentrade

  • Download tick data files

  cd opentrade
  wget -O ticks.txt.xz https://www.dropbox.com/s/b2xf0esn0rctygs/ticks.txt.xz?dl=1
  

  • Run

  # please modify opentrade.conf to use postgres if setup database with PostgreSQL
  cp opentrade.conf-example opentrade.conf
  ./opentrade
  

• Open Web UI

  # username/password: test/test
  http://localhost:9111
  

CentOS 8

Please checkout install_centos.sh

Internal Latency

make test-latency

Backtest

• Only BBO support currently, full orderbook support will come soon
• It is up to you to generate report

make args=-j backtest-debug
wget -O ticks.tar https://www.dropbox.com/s/fmuwm7j9suc2z3e/ticks.tar?dl=1; tar xf ticks.tar
./build/backtest-debug/opentrade/opentrade -b scripts/backtest.py -t ticks/%Y%m%d.xz -s 20170701 -e 20181115

Execution Optimization Example

make args=-j backtest-release
cd scripts/execution_optimization
wget https://raw.githubusercontent.com/opentradesolutions/data/master/targets.zip; unzip targets.zip;
wget https://github.com/opentradesolutions/data/raw/master/test.sqlite3
./run
./sim_summary.py rpt*

The other OS system

we prepared Dockfile-dev for you.