pysentosa - Python API for sentosa trading system

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  • License: GPL
  • Author: Wu Fuheng
  • Tags sentosa, python

Project description

pysentosa - Python API for sentosa trading system

http://www.quant365.com/static/merlion.png

  • pysentosa is the Python API for sentosa trading system written by Wu Fuheng

  • WebSite: http://www.quant365.com (Quant365 - Trading with Science and Technology)

  • OS: Linux Ubuntu 15.10 64bit

  • Installation:

    GITURL=https://raw.githubusercontent.com/henrywoo/pysentosa/master
wget $GITURL/install_nanomsg.sh -O install_nanomsg.sh
chmod u+x install_nanomsg.sh
./install_nanomsg.sh

wget $GITURL/install_yaml_cpp.sh -O install_yaml_cpp.sh
chmod u+x install_yaml_cpp.sh
./install_yaml_cpp.sh

sudo apt-get install -y python-pip libboost-all-dev
sudo pip install -U pysentosa pyyaml netifaces websocket-client nanomsg \
  setproctitle psutil

  • Launch your IB TWS.

  • Run your strategy to trade

    Run demo:

    from pysentosa.demo import run_demo
run_demo()

    Sample code:

    from pysentosa import Merlion
from ticktype import *

m = Merlion()
target = 'SPY'
m.track_symbol([target, 'BITA'])
bounds = {target: [220, 250]}
while True:
  symbol, ticktype, value = m.get_mkdata()
  if symbol == target:
    if ticktype == ASK_PRICE and value < bounds[symbol][0]:
        oid = m.buy(symbol, 5)
        while True:
            ord_st = m.get_order_status(oid)
            print ORDSTATUS[ord_st]
            if ord_st == FILLED:
                bounds[symbol][0] -= 20
                break
            sleep(2)
    elif ticktype == BID_PRICE and value > bounds[symbol][1]:
        oid = m.sell(symbol, 100)
        bounds[symbol][1] += 20
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