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xquant-1's Introduction

xquant

cross market backtesting/live-trading quant framework （developing) (定位：处理股票，数字货币交易为主的事件系统)

based on pyalgotrade

Design-Objective 设计要求

  • good-designed interface 接口简单，易于使用
  • cross-market 支持跨市场获得行情数据，支持跨市场交易
  • extendable 低耦合性, 可拓展，可以针对特定市场定制
  • event-backtest 支持事件回测
  • plot 方便的绘图展示程序
  • AI-friendly strategy paramterized 策略参数化

设计

对象模型

核心对象

* Feed (单数据类型Stream) LiveFeed/ReplayStream 单个Feed只能发出数据，数据可以被Strategy订阅		(dt, dtype, [{'symbol': '000063.SH', 'open': 15.36}])
* Stream /LiveStream/ReplayStream 单个Stream可以发出多种数据，数据可以被Strategy订阅 (dt, dtype, [{'symbol': '000063.SH', 'open': 15.36}])
* Strategy 数据来源于Feed/Stream，策略依赖于数据来源
* Broker 提供交易接口
* Analyzer 分析Broker结果
* Profiler 对单个Feed的指标/因子进行测试

辅助对象

* Dispatcher
* Sequence

思考

因为需要处理orderbook数据，理论上，对性能要求高，最终xquant可能还是需要用C/Cython写一部分

Reference

* pyalgotrade

xquant-1's People

Contributors

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