⚡ Z-Trading

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A professional High Frequency Trading (HFT) framework for multi-venue algorithmic trading

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📖 Overview

Z-Trading is a comprehensive algorithmic trading framework designed for High Frequency Trading (HFT) and multi-venue execution. Built on top of the powerful Zorro Trading Platform, it combines the speed and efficiency of compiled C algorithms with the flexibility of Python for data analysis, risk management, and visualization.

The framework provides asynchronous low-latency operations perfect for ultra-fast Market Making (MM) and Market Taking (MT) strategies. With over 361 pre-built algorithms and support for 25+ brokers and exchanges (including traditional markets like Interactive Brokers, OANDA, FXCM, and crypto exchanges like Binance, Bitfinex, Bittrex, Deribit, Kraken), Z-Trading enables traders to develop, backtest, and deploy robust quantitative strategies across multiple asset classes including forex, stocks, indices, commodities, bonds, cryptocurrencies, and derivatives.

🚀 Trading Engine

Powered by the Zorro trading engine featuring:

• Ultra-low latency (~750ns in HFT mode)
• 300+ technical indicators and time series analysis functions
• World's fastest optimizer (25 seconds for 12 parameters)
• World's fastest tick-level backtester (0.3 seconds for 10 years)
• Machine learning integration (Torch, Keras, TensorFlow, MxNet)
• Support for 25+ brokers and exchanges

📚 See complete engine documentation →

🤖 Trading Algorithms

Includes 326 C strategies and 35 Python utilities covering:

• Trend Following: ALMA, EMA, HMA, Laguerre, and more
• Mean Reversion: Counter-trend and oscillator-based systems
• Machine Learning: Neural networks and pattern recognition (Alice series)
• Currency Strength: G12 multi-currency correlation system
• Market Making: High-frequency FX market making strategies
• Options Trading: Greeks calculation and volatility strategies
• Portfolio Management: MVO, OptimalF, and correlation-based allocation
• Economic Data: COT reports and fundamental analysis

📚 Browse all strategies and scripts →

✨ Features

• ⚡ High Frequency Trading - Ultra-low-latency C-based execution engine (~750ns latency)
• 💹 Multi-Venue Support - 25+ brokers and exchanges including:
  • Traditional Markets: Interactive Brokers, OANDA, FXCM, Alpaca, Dukascopy, IG, Rithmic, TradeStation, Tradier
  • Crypto Exchanges: Binance, Bitfinex, Bittrex, Deribit, Kraken, Coinigy
  • Platform Connections: MetaTrader 4/5, IBKR TWS
• 📊 361+ Algorithms - Pre-built trading strategies and indicators
• 🐍 Python Bridge - Seamless integration between C and Python engines
• 🤖 Machine Learning - Torch, Keras, TensorFlow, MxNet integration
• 📈 Live Dashboards - Real-time monitoring via Google Sheets
• 🗄️ MySQL Database - Store and analyze historical trading data
• 💰 Risk Management - Advanced position sizing and portfolio optimization
• 🌍 Multi-Asset Support - Trade forex, stocks, indices, commodities, bonds, cryptocurrencies, and derivatives (options, futures)
• 🔄 Backtesting Engine - Test strategies with historical data
• ⚙️ Low-Latency Operations - Async execution for maximum speed
• 📉 Statistical Analysis - Volatility, correlation, and performance analytics
• 🤖 AI Integration - Compatible with Keras and PyTorch models
• 📊 Trade Profiling - Detailed performance metrics and visualization
• 🔐 Secure Configuration - Environment-based credentials management

🌐 Broker & Data Connections

Open Source Interface

• Open source interface for all API, REST, and FIX connections
• User-written custom plugins available

Data Feeds

• AlphaVantage - Market data API
• CryptoCompare - Cryptocurrency data
• IEX - Exchange data feed
• DTN IQFeed - Professional real-time data
• Stooq - Historical market data

Direct Broker Connections

• Alpaca - Commission-free trading
• Dukascopy - Swiss forex bank
• Finvasia - Indian broker
• FXCM - Forex and CFD trading
• IG - Multi-asset broker
• Interactive Brokers - Professional trading platform
• Oanda - Forex and CFD broker
• Rithmic - Professional futures trading
• TDA/Schwab - US stocks and options
• TradeStation - Advanced trading platform
• Tradier - Brokerage API

Platform Connections

• IBKR TWS - Interactive Brokers Trader Workstation
• MT4 - MetaTrader 4 platform
• MT5 - MetaTrader 5 platform

Digital Coin Exchanges

• Binance - World's largest crypto exchange
• Bitfinex - Advanced crypto trading
• Bittrex - US crypto exchange
• Coinigy - Multi-exchange platform
• Deribit - Crypto options and futures
• Kraken - Established crypto exchange

⚙️ Trading Engine Features

Execution & Time Frames

• Time Frames: From 1 millisecond to 1 week
• Multi-Connection: Simultaneous connection to multiple brokers and data feeds
• Account Management: Account/asset lists with symbol mapping and individual parameters

Options & Derivatives

• Options/Combos: Full support for complex strategies
• Greeks Calculation: IV, Delta, Gamma, Theta, Vega, and all Greeks
• Multi-Leg Strategies: Advanced options combinations

Position Management

• NFA/FIFO Compliance: Regulatory compliance built-in
• Virtual Hedging: For concurrent opposite positions
• Automated Training: Background training and optimizing while live trading
• Phantom Trades: Skip drawdown periods ("Equity Curve Trading")

High-Frequency Trading

• Special HFT Mode: Optimized for high frequency trading backtests
• Ultra-Low Latency: ~750ns execution latency

🧪 Test & Optimization

Performance Benchmarks

• World's Fastest Optimizer: 25 seconds for 12 parameters*
• World's Fastest Backtester: 0.3 seconds for 10 years at tick level*

Bar Types

• Standard: Time-based bars
• Range Bars: Price-range based
• Renko: Trend-following brick charts
• Point-and-Figure: Classic charting
• User-Defined: Custom bar types

Optimization Methods

• Ascent: Hill climbing optimization
• Brute Force: Exhaustive parameter search
• Genetic: Evolutionary algorithms
• User-Defined: Custom optimization methods

Simulation Features

• Precise Broker Simulation: Fees, leverage, swaps, slippage modeling
• Oversampling & Detrending: On price, signal, or trade level
• Individual Optimization: Per portfolio component
• Capital Allocation: MVO (Mean-Variance Optimization) or OptimalF algorithms
• Walk Forward Analysis: Rolling and anchored methods

*Performance benchmarks may vary based on hardware and strategy complexity

📦 Installation

Prerequisites

• Zorro Trading Platform (version 1.68.62 or higher)
• Python 3.6+ with pip or poetry
• MySQL Server (optional, for database features)
• OANDA Account (for live trading)
• Google Cloud Service Account (for Sheets integration)

Quick Start

# Clone the repository
git clone https://github.com/alexcolls/z-trading.git
cd z-trading

# Install Python dependencies with Poetry (recommended)
poetry install

# Or with pip
pip install oandapyV20 pandas pygsheets gspread oauth2client sqlalchemy pymysql

# Configure environment variables
cp .env.sample .env
# Edit .env with your API credentials

Zorro Engine Setup

1. Install Zorro: Extract the engine/ contents to your Zorro installation directory
2. Copy Algorithms: Place C scripts from algos/ into Zorro's Strategy/ folder
3. Configure APIs: Edit Zorro.ini with your broker credentials
4. Verify Installation: Run engine/Zorro.exe and load a test strategy

⚙️ Configuration

Environment Variables

Create a .env.sample file in the root directory:

# OANDA API Credentials
OANDA_TOKEN=your_oanda_api_token
OANDA_ACCOUNT_ID=your_account_id

# Google Sheets API
GOOGLE_SERVICE_ACCOUNT_FILE=path/to/service_account.json
GOOGLE_SHEET_NAME=TradingDashboard

# MySQL Database
MYSQL_HOST=localhost
MYSQL_USER=your_username
MYSQL_PASSWORD=your_password
MYSQL_DATABASE=trading_db

# Risk Management
HARD_STOP_PERCENT=2.0
INITIAL_BALANCE=10000

Google Sheets Setup

1. Create a Google Cloud Project and enable Google Sheets API
2. Download service account JSON credentials
3. Place credentials as algos/GS_main.json and algos/GS_trader1.json
4. Share your Google Sheet with the service account email

MySQL Database Setup

-- Create databases for statistics and correlations
CREATE DATABASE OandaEurope_Statistics;
CREATE DATABASE OandaEurope_Correlations;

-- Import schema (example)
USE OandaEurope_Statistics;
CREATE TABLE AvgVolatilities (
    Symbol VARCHAR(20) PRIMARY KEY,
    -- Add your columns for different timeframes
);

🎯 Usage

Running C Algorithms with Zorro

// Example: Simple trend trading strategy
#include <profile.c>

function run()
{
    vars Price = series(price());
    vars Trend = series(LowPass(Price, 500));

    Stop = 4*ATR(100);

    if(valley(Trend))
        enterLong();
    else if(peak(Trend))
        enterShort();

    St