Sentosa - An automatic algorithmic trading system
Project description
OS: Linux Ubuntu 15.04 64bit
Installation:
sudo apt-get install -y python-pip libboost-all-dev libmysqlclient18 libyaml-cpp0.5 sudo easy_install http://pypi.python.org/packages/2.7/p/pysentosa/pysentosa-0.1.10-py2.7.egg pip install pyyaml pymysql netifaces websocket-client nanomsg mkdir /singapore/config -p cd /singapore/config wget https://raw.githubusercontent.com/henrywoo/qblog/master/sentosa.yml wget https://raw.githubusercontent.com/henrywoo/qblog/master/holiday.yml
Launch your IB TWS.
Run your strategy to trade
Sample code:
from pysentosa.merlion import * m = Merlion().run() # start trading engine target = 'SPY' # set trading symbol as SP 500 ETF m.track_msg(target) # (optional) print tick data to stdout bounds = {target: [200, 250]} # set lower and upper bounds of triggering trade signal ''' the followings are your trading strategy''' while True: symbol, ticktype, value = m.get_mkdata() #listen on tick data if symbol == target: if ticktype == ASK_PRICE and value < bounds[symbol][0]: m.buy(symbol, 100) bounds[symbol][0] -= 10 elif ticktype == BID_PRICE and value > bounds[symbol][1]: m.sell(symbol, 100) bounds[symbol][1] += 10
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