Project Crux

Cryptocurrency Algorithmic Trading Framework in C#

Sub-Projects

BackTest

Used to backtest trading strategies Contains HistoricalDataAPI which implements the same interface as other market APIs. This allows us to pass it to any trading strategies and evaluate its performance on past price data.

CruxGUI

Graphical interface for project Crux, using WPF and Model-View-ViewModel pattern

Requirements (all libraries can be downloaded from NuGet)

• Visual Studio 2015
• QuickFIX API
• WebSocket4Net
• Newtonsoft.Json
• Live Charts

Sub-Projects

BackTest

Contains HistoricalDataAPI which implements the same interface as other market APIs. This allows us to pass it to any trading strategies and evaluate its performance on past price data.

CruxTest

Unit test project for Crux project

Sub-Folders

Scripts MATLAB and Python scripts used to quickly backtest simple strategy ideas

Data Historical data files (not uploaded due to large size), data processing scripts,

Exchanges

Exchange classes must implement IMarketAPI interface

The programm currently supports the following exchanges:

• OKCoin International REST API
• OKCoin International Websocket API
• OKCoin International FIX API
• Bitfinex Websocket API 2.0
• Bitfinex REST API 1.1

Trading Algorithms/Strategies

Strategies must inherit from the TradeStrategy abstract class

More details will be added to guide through trading strategy design and creation