QuantShim

A Python framework for R&D of financial investment strategies, and trading them algorithmiclly via Quantopian.com

Features

• Detailed order logging
• WorstSpreadSlippage to simulate pessimistic yet realistic order execution
• Strategy framework that's easy to extend
• StrategyPositions: Each strategy can control it's own positions without interfering with other strategy
• Including algorithmic stop-loss and profit-loss triggers
• Multiple Strategies supported
• TechnicalIndicators framework that's easy to extend
• State History stored for inspecting previous frames
• StandardTechnicalIndicators provided as example
• Designed for coding via Python Tools for Visual Studio
• simple copy/paste into quantopian to execute
• intelisence for most quantopian internals
• Open Source (GPL3)

Why

• I want a R&D platform to implement strategies and synthetic securities easily, AND
• I wanted a codebase that can use Python Tools for Visual Studio's intelisence.
• So that's why I made this.

History

• v1.1.0 (20140616)
• big changes to strategyPositions (add algorithmic stop-loss)
• simplify security declaration based on Quantopian platform improvements
• add good performing "Volatility Bias" strategy as an example
• removed QuantopianRealMoneyStrategy example
• add Bollinger Band and Daily Indicators (not enabled by default)
• v1.0.4 (20140422)
• add "logging" global object to framework,
• allows enabling/disabling of logs,
• adds log time (in exchange time)
• allows graphing records with variables as names.
• manually compute all standard technical indicators to workaround quantopian (TALib) bug in SMA computation
• v1.0.3 (20140419)
• cleanup / simplifying workflows and architecture
• removed old examples, now 'strategy' focused
• added QuantopianRealMoneyStrategy as an example
• renamed classes/functions and added docs
• added WorstSpreadSlippage and high quality order logging
• v1.0.2
• Add logic for multi-algorithm and multi-security collaboritive trading.
• add realistic example of multistrategy collab (followMarketStrategy and followPriorDayStrategy operating at the same time)
• focus on intraday, but make sure framework+algos can still work with interday
• infrastructure for storing daily history per security/algo
• v1.0.1
• Add Security object to provide persistant state / logic for securities
• Add state history to security, provide easy way for things to get their own state + history of their own state.
• add multi-phase updates, allow framework to custom init securities
• add partial positions, so that strategies can order independantly of eachother
• v1
• The first checkin is Zipline compatable. After that it is not.

Roadmap

• ??? email me at <jasons aat novaleaf doot coom> if you want something

How To Install (Windows, using PythonTools for VisualStudio)

• install vs2013

• install pytools for vs2013

• install activestate python (32bit)

• run the following from your cmd prompt

    pypm -g install pip
    pypm -g install numpy
    pypm -g install "scipy<0.10"
    pypm -g install pytz
    pypm -g install pandas
    pypm -g install pyzmq
    pypm -g install ipython
    pypm --force -g install matplotlib
    pypm -g install pyreadline
    pip install zipline  
  

• run the .sln

how to run

• on Quantopian.com, just copy-paste the contents of quantShim.py to a new quantopian algo, and backtest
• on zipline, just run quantShim.py IMPORTANT NOTE Only the first checkin support zipline. everything after that is for quantopian use only. There are far too many differences/defects with the zipline runtime to continue it's support right now

work in progress (todo)

• ??? email me at <jasons aat novaleaf doot coom> if you want something