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intuition 0.3.0

A trading system building blocks

Latest Version: 0.4.0

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

   <!--[![License](https://pypip.in/license/intuition/badge.png)](https://pypi.python.org/pypi/intuition/)-->
   <!--[![wercker status](https://app.wercker.com/status/f39a4be40502a31b3dcb94875c787b56/m "wercker status")](https://app.wercker.com/project/bykey/f39a4be40502a31b3dcb94875c787b56)-->

|wercker status| |Build Status| |Build Status| |Coverage Status| |Code
Health|

**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/>`__

.. |wercker status| image:: https://app.wercker.com/status/f39a4be40502a31b3dcb94875c787b56
   :target: https://app.wercker.com/project/bykey/f39a4be40502a31b3dcb94875c787b56
.. |Build Status| image:: https://drone.io/github.com/hackliff/intuition/status.png
   :target: https://drone.io/github.com/hackliff/intuition/latest
.. |Build Status| image:: https://travis-ci.org/hackliff/intuition.png?branch=develop
   :target: https://travis-ci.org/hackliff/intuition
.. |Coverage Status| image:: https://coveralls.io/repos/hackliff/intuition/badge.png
   :target: https://coveralls.io/r/hackliff/intuition
.. |Code Health| image:: https://landscape.io/github/hackliff/intuition/develop/landscape.png
   :target: https://landscape.io/github/hackliff/intuition/develop
 
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