intuition 0.3.0

Intuition
=========

Automated quantitative trading system kit, for hackers

.. figure:: https://raw.github.com/hivetech/hivetech.github.io/master/images/QuantDashboard.png
:alt: Dashboard

Dashboard
Overview
--------

**Intuition** is an engine, some building bricks and a set of tools
meant to let you efficiently and intuitively make your own **automated
quantitative trading system**. It is designed to let traders, developers
and scientists explore, improve and deploy market technical hacks.

While the project is still at an early stage, you can already write,
use, combine **signal detection algorithms, portfolio allocation
strategies, data sources and contexts configurators**. Just plug your
strategies and analyze **backtests** or monitor **live trading
sessions**.

In addition I work on facilities to build a distributed system and 21st
century application (big data, fat computations, d3.js and other html5
stuff), tools to mix languages like Python, node.js and R and a
financial library. You will find some goodies like machine learning
forecast, markowitz portfolio optimization, genetic optimization,
sentiment analysis from twitter, ...

Features
--------

- Highly configurable trading environment, powered by
`zipline <https://github.com/quantopian/zipline>`__
- From instant kickstart to full control
- Made to let you tweak algorithms, portfolio manager, data sources,
contexts and plugins
- Already includes many
- Experimental live trading on different markets (Nyse, Nasdaq, CAC40
and Forex for now)
- Experimental R integration in your algorithms
- Results analyser
- Mail and Android notifications (for now with the help of freely
available `NotifyMyAndroid <http://www.notifymyandroid.com/>`__ or
`PushBullet <https://www.pushbullet.com>`__)
- Financial library, with common used trading functions, data fetchers,
... used for example to solve Coursera econometrics assignments
- Easy to use data management, powered by `rethinkdb <rethinkdb.com>`__
- `Docker <docker.io>`__ support for development workflow and
deployment
- Kind of a CI showcase as I am testing
`travis <https://travis-ci.org>`__, `wercker <wercker.com>`__,
`shippable <shippable.com>`__, `drone.io <shippable.com>`__,
`coveralls <coveralls.io>`__ and `landscape <landscape.io>`__

Status
------

.. raw:: html

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|wercker status| |Build Status| |Build Status| |Coverage Status| |Code
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**Attention** Project is in an *early alpha*, and under heavy
development. The new version 0.3.0 revises a lot of code :

- Algoithms, managers and data sources have their `own
repository <https://github.com/hackliff/insights>`__
- More powerful API to build custom versions of them
- The context module now handles configuration
- `Shiny <http://www.rstudio.com/shiny/>`__ interface,
`Dashboard <http://fdietz.github.io/team_dashboard/>`__ and
clustering will have their intuition-plugins repository (soon)
- ZeroMQ messaging is for now removed but might be back for inter-algo
communication
- So is MySQL, that has been removed and will be re-implemented as a
`data
plugin <https://github.com/hackliff/intuition-modules/tree/develop/plugins>`__
- But currently it has been replaced by `Rethinkdb <rethinkdb.com>`__
- Installation is much simpler and a docker image is available for
development and deployment
- More intuitive configuration splitted between the context mentioned,
command line argument and environment variables
- And a lot (I mean A LOT) of house keeping and code desgin stuff

Installation
------------

You are just a few steps away from algoritmic trading. Choose one of the
following installation method

- The usual way

.. code:: console

$ pip install intuition
$ # Optionnaly, install offcial algorithms, managers, ...
$ pip install insights

- One-liner for the full installation (i.e. with packages and buit-in
`modules <https://github.com/hackliff/insights>`__)

.. code:: console

$ export FULL_INTUITION=1
$ wget -qO- http://bit.ly/1izVUJJ | sudo -E bash
$ # ... Go grab a coffee

- From source

.. code:: console

$ git clone https://github.com/hackliff/intuition.git
$ cd intuition && sudo make

- Sexy, early-adopter style

.. code:: console

$ docker pull hivetech/intuition

Getting started
---------------

Intuition wires 4 primitives to build up the system : A data source
generates events, processed by the algorithm, that can optionnaly use a
portfolio manager to compute assets allocation. They are configured
through a Context, while third party services use environment variables
(take a look in config/local.env).

The following example trades in real time forex, with a simple buy and
hold algorithm and a portfolio manager that allocates same amount for
each asset. Their configuration below is stored in a json file.

.. code:: console

$ intuition --context file::liveForex.json --id chuck --showlog

.. code:: json

{
id: "liveForex",
start: "2011-05-05",
end: "2013-10-05",
frequency: "day",
universe: "forex,5",
algorithm: {
save: false
},
manager: {
android: 0,
buy_scale: 150,
cash: 10000,
max_weight: 0.3,
perc_sell: 1,
sell_scale: 100
},
modules: {
context: "file",
algorithm: "algorithms.buyandhold.BuyAndHold",
data: "sources.live.forex.ForexLiveSource",
manager: "managers.fair.Fair"
}
}

Note that in the current implementation, Nasdaq, Nyse, Cac 40 and Forex
markets are available.

Alternatively you can use docker. Here we also fire up a
`rethinkdb <rethinkdb.com>`__ database to store portfolios while
trading, and `mongodb <http://www.mongodb.org/>`__ to store
configurations.

.. code:: console

$ docker run -d -name mongodb -p 27017:27017 -p 28017:28017 waitingkuo/mongodb

$ docker run -d -name rethinkdb crosbymichael/rethinkdb --bind all

$ docker run \
-e PUSHBULLET_API_KEY=$PUSHBULLET_API_KEY \
-e QUANDL_API_KEY=$QUANDL_API_KEY \
-e MAILGUN_API_KEY=$MAILGUN_API_KEY \
-e TRUEFX_API=$TRUEFX_API \
-e DB_HOST=$DB_HOST \
-e DB_PORT=$DB_PORT \
-e DB_NAME=$DB_NAME \
-e LOG=debug \
-e LANGUAGE="fr_FR.UTF-8" \
-e LANG="fr_FR.UTF-8" \
-e LC_ALL="fr_FR.UTF-8" \
-name trade_box hivetech/intuition \
intuition --context mongodb::${host_ip}:27017/backtestNasdaq --showlog

For Hackers
-----------

You can easily work out and plug your own strategies :

- `Algorithm
API <https://github.com/hackliff/insights/blob/develop/insights/algorithms/readme.md>`__
- `Portfolio
API <https://github.com/hackliff/insights/blob/develop/insights/managers/readme.md>`__
- `Data
API <https://github.com/hackliff/insights/blob/develop/insights/sources/readme.md>`__
- `Context
API <https://github.com/hackliff/insights/blob/develop/insights/contexts/readme.md>`__
- `Middlewares <https://github.com/hackliff/insights/blob/develop/insights/plugins/readme.md>`__

Either clone the `insights
repository <https://github.com/hackliff/insights>`__ and hack it or
start from scratch. Just make sure the modules paths you give in the
configuration are in the python path.

The
`provided <https://github.com/hackliff/intuition/blob/develop/app/intuition>`__
``intuition`` command does already a lot of things but why not improve
it or write your own. Here is a minimal implementation, assuming you
installed *insights*.

.. code:: python

from datetime import datetime
from intuition.core.engine import Simulation

engine = Simulation({
'end': datetime(2014, 1, 7),
'universe': 'cac40',
'modules': {
'algorithm': 'algorithms.movingaverage.DualMovingAverage',
'manager': 'managers.gmv.GlobalMinimumVariance',
'data': 'sources.live.Equities.EquitiesLiveSource'}})

# Use the configuration to prepare the trading environment
engine.configure()

data = {'universe': 'cac40',
'index': pd.date_range(datetime.now(), datetime(2014, 1, 7))}
analyzes = engine.run(session, data)

# Explore the analyzes object
print analyzes.overall_metrics('one_month')
print analyzes.results.tail()

Contributing
------------

Fork, implement, add tests, pull request, get my everlasting thanks
and a respectable place here
`=) <https://github.com/jondot/groundcontrol>`__

License
-------

Copyright 2014 Xavier Bruhiere Intuition is available under the `Apache
License, Version
2.0 <http://www.apache.org/licenses/LICENSE-2.0.html>`__.

--------------

Credits
-------

- `Zipline <http://github.com/quantopian/zipline>`__
- `Quantopian <http://www.quantopian.com/>`__
- `Pandas <http://github.com/pydata/pandas>`__
- `R-bloggers <http://www.r-bloggers.com/>`__
- `QSTK <https://github.com/tucker777/QSTK>`__
- `Coursera <http://www.coursera.org/>`__
- `Udacity <http://www.udacity.com/>`__
- `Babypips <http://www.babypips.com/>`__
- `GLMF <http://www.unixgarden.com/>`__

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.. |Build Status| image:: https://drone.io/github.com/hackliff/intuition/status.png
:target: https://drone.io/github.com/hackliff/intuition/latest
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:target: https://travis-ci.org/hackliff/intuition
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:target: https://coveralls.io/r/hackliff/intuition
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