QTPyLib, Pythonic Algorithmic Trading

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QTPyLib (Q\ uantitative T\ rading Py\ thon Lib\ rary) is a simple, event-driven algorithmic trading library written in Python, that supports backtesting, as well as paper and live trading via Interactive Brokers <https://www.interactivebrokers.com>_.

I developed QTPyLib because I wanted for a simple, yet powerful, trading library that will let me focus on the trading logic itself and ignore everything else.

Full Documentation » <http://www.qtpylib.io/>_

Changelog » <./CHANGELOG.rst>_

Read about the future of QTPyLib here: https://aroussi.com/post/the-future-of-qtpylib

Features

• A continuously-running Blotter that lets you capture market data even when your algos aren't running.
• Tick, Bar and Trade data is stored in MySQL for later analysis and backtesting.
• Using pub/sub architecture using ØMQ <http://zeromq.org>_ (ZeroMQ) for communicating between the Algo and the Blotter allows for a single Blotter/multiple Algos running on the same machine.
• Support for Order Book, Quote, Time, Tick or Volume based strategy resolutions.
• Includes many common indicators that you can seamlessly use in your algorithm.
• Market data events use asynchronous, non-blocking architecture.
• Have orders delivered to your mobile via SMS (requires a Nexmo <https://www.nexmo.com/>_ or Twilio <https://www.twilio.com/>_ account).
• Full integration with TA-Lib <http://ta-lib.org>_ via dedicated module (see documentation <http://qtpylib.io/docs/latest/indicators.html#ta-lib-integration>_).
• Ability to import any Python library (such as scikit-learn <http://scikit-learn.org>_ or TensorFlow <https://www.tensorflow.org>_) to use them in your algorithms.

Quickstart

There are 5 main components to QTPyLib:

1. Blotter - handles market data retrieval and processing.

2. Broker - sends and process orders/positions (abstracted layer).

3. Algo - (sub-class of Broker) communicates with the Blotter to pass market data to your strategies, and process/positions orders via Broker.

4. Reports - provides real-time monitoring of trades and open positions via Web App, as well as a simple REST API for trades, open positions, and market data.

5. Lastly, Your Strategies, which are sub-classes of Algo, handle the trading logic/rules. This is where you'll write most of your code.

6. Get Market Data

To get started, you need to first create a Blotter script:

.. code:: python

# blotter.py
from qtpylib.blotter import Blotter

class MainBlotter(Blotter):
    pass # we just need the name

if __name__ == "__main__":
    blotter = MainBlotter()
    blotter.run()

Then, with IB TWS/GW running, run the Blotter from the command line:

.. code:: bash

$ python blotter.py

If your strategy needs order book / market depth data, add the --orderbook flag to the command:

.. code:: bash

$ python blotter.py --orderbook

2. Write your Algorithm

While the Blotter running in the background, write and execute your algorithm:

.. code:: python

# strategy.py
from qtpylib.algo import Algo

class CrossOver(Algo):

    def on_start(self):
        pass

    def on_fill(self, instrument, order):
        pass

    def on_quote(self, instrument):
        pass

    def on_orderbook(self, instrument):
        pass

    def on_tick(self, instrument):
        pass

    def on_bar(self, instrument):
        # get instrument history
        bars = instrument.get_bars(window=100)

        # or get all instruments history
        # bars = self.bars[-20:]

        # skip first 20 days to get full windows
        if len(bars) < 20:
            return

        # compute averages using internal rolling_mean
        bars['short_ma'] = bars['close'].rolling(window=10).mean()
        bars['long_ma']  = bars['close'].rolling(window=20).mean()

        # get current position data
        positions = instrument.get_positions()

        # trading logic - entry signal
        if bars['short_ma'].crossed_above(bars['long_ma'])[-1]:
            if not instrument.pending_orders and positions["position"] == 0:

                # buy one contract
                instrument.buy(1)

                # record values for later analysis
                self.record(ma_cross=1)

        # trading logic - exit signal
        elif bars['short_ma'].crossed_below(bars['long_ma'])[-1]:
            if positions["position"] != 0:

                # exit / flatten position
                instrument.exit()

                # record values for later analysis
                self.record(ma_cross=-1)


if __name__ == "__main__":
    strategy = CrossOver(
        instruments = [ ("ES", "FUT", "GLOBEX", "USD", 201609, 0.0, "") ], # ib tuples
        resolution  = "1T", # Pandas resolution (use "K" for tick bars)
        tick_window = 20, # no. of ticks to keep
        bar_window  = 5, # no. of bars to keep
        preload     = "1D", # preload 1 day history when starting
        timezone    = "US/Central" # convert all ticks/bars to this timezone
    )
    strategy.run()

To run your algo in a live enviroment, from the command line, type:

.. code:: bash

$ python strategy.py --logpath ~/qtpy/

The resulting trades be saved in ~/qtpy/STRATEGY_YYYYMMDD.csv for later analysis.

3. Viewing Live Trades

While the Blotter running in the background, write the dashboard:

.. code:: python

# dashboard.py
from qtpylib.reports import Reports

class Dashboard(Reports):
    pass # we just need the name

if __name__ == "__main__":
    dashboard = Dashboard(port = 5000)
    dashboard.run()

To run your dashboard, run it from the command line:

.. code:: bash

$ python dashboard.py

>>> Dashboard password is: a0f36d95a9
>>> Running on http://0.0.0.0:5000/ (Press CTRL+C to quit)

Now, point your browser to http://localhost:5000 and use the password generated to access your dashboard.

.. note::

You can find other examples in the ``qtpylib/examples directory``.
Please refer to the `Full Documentation <http://www.qtpylib.io/>`_ to learn
how to enable SMS notifications, use the bundled Indicators, and more.

Installation

Install using pip:

.. code:: bash

$ pip install qtpylib --upgrade --no-cache-dir

Requirements

• Python <https://www.python.org>_ >=3.4
• Pandas <https://github.com/pydata/pandas>_ (tested to work with >=0.18.1)
• Numpy <https://github.com/numpy/numpy>_ (tested to work with >=1.11.1)
• PyZMQ <https://github.com/zeromq/pyzmq>_ (tested to work with >=15.2.1)
• PyMySQL <https://github.com/PyMySQL/PyMySQL>_ (tested to work with >=0.7.6)
• pytz <http://pytz.sourceforge.net>_ (tested to work with >=2016.6.1)
• dateutil <https://pypi.python.org/pypi/python-dateutil>_ (tested to work with >=2.5.1)
• Nexmo-Python <https://github.com/Nexmo/nexmo-python>_ for SMS support (tested to work with >=1.2.0)
• Twilio-Python <https://github.com/twilio/twilio-python>_ for SMS support (tested to work with >=5.4.0)
• Flask <http://flask.pocoo.org>_ for the Dashboard (tested to work with >=0.11)
• Requests <https://github.com/kennethreitz/requests>_ (tested to work with >=2.10.0)
• IbPy2 <https://github.com/blampe/IbPy>_ (tested to work with >=0.8.0)
• ezIBpy <https://github.com/ranaroussi/ezibpy>_ (IbPy wrapper, tested to work with >=1.12.66)
• Latest Interactive Brokers’ TWS <https://www.interactivebrokers.com/en/index.php?f=15875>_ or IB Gateway <https://www.interactivebrokers.com/en/index.php?f=16457>_ installed and running on the machine
• MySQL Server <https://www.mysql.com/>_ installed and running with a database for QTPyLib

Legal Stuff

QTPyLib is licensed under the Apache License, Version 2.0. A copy of which is included in LICENSE.txt.

QTPyLib is not a product of Interactive Brokers, nor is it affiliated with Interactive Brokers.

P.S.

I'm very interested in your experience with QTPyLib. Please drop me a note with any feedback you have.

Ran