Seen the thread below and wanted to share mine with some people.
Although there is a list of python platforms in the other thread (oh, not ...), I believe backtrader's repository (at the bottom of the README) contains a very comprehensive one:
The platform includes mostly everything you would need (I guess):
And the blog receives regular updates with examples, ideas, experiments.
We know it is being used by people in 1 major EuroStoxx50 bank and in 3 Quantitative Trading firms. This is a small morale boost ... it seems not only amateurs find it useful.
Have fun.
Although there is a list of python platforms in the other thread (oh, not ...), I believe backtrader's repository (at the bottom of the README) contains a very comprehensive one:
The platform includes mostly everything you would need (I guess):
- Python based with extensive metaprogramming in the background to allow for a declarative use of the platform (definition of parameters an object takes, lines an object defines, execute operations on objects from natural arithmetic operations ...)
- Multiple data feeds
- Multiple strategies
- Resampling / Replaying
- Mixing timeframes
- Long list of built-in indicators (you name it)
- Dead Easy development of new indicators
- Analyzers (Sharpe, VWR, Time Returns, Log Returns, ...)
- Pyfolio analyzer integration
- TA-Lib integration
- Data Feeds from: CSV Readers (with a generic customizable one), Pandas Dataframes, Blaze, Yahoo directly online
- Live Data Feeds: Interactive Brokers, VisualChart, Oanda
- Live Trading: Interactive Brokers, VisualChart, Oanda
- Multi-core optimization
- Fully automated strategies using signals
- Futures roll-over
- Data Filters
- Sizers for automatic stake calculation
- Simulation of stock-like assets, future-like assets
- Commission Schemes (customizable): percentage based, fixed amount base
- Interest for short positions (and long if wished)
- Leverage
- A broker which can do:
- Order types: Market, Limit, Stop, StopLimit, AtClose
- Stop/Limit orders scan the OHLC to deliver the most approximate possible real price
- Day, Good until Date and Good until Cancel validities
- Target orders (size, value, percentage)
- Cheat on Close (execute on the close of the bar being evaluated)
- Continuous cash adjustment on each bar for future-like instruments
- Use volume filling strategies
- Slippage
- Order types: Market, Limit, Stop, StopLimit, AtClose
- Fully integrated automatic plotting (requires matplotlib)
And the blog receives regular updates with examples, ideas, experiments.
We know it is being used by people in 1 major EuroStoxx50 bank and in 3 Quantitative Trading firms. This is a small morale boost ... it seems not only amateurs find it useful.
Have fun.
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