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PYJUQUE

Python Juju Quant Engine

*AKA Private Crypto Trading Bot - Don't give away your strategies! *

This project implements some basic functionality needed to engage in algorithmic trading of cryptocurrencies. It can be regarded as a starting point for more complex trading bots, which implements / will implement the following features:

Structure

Code is contained in bot. Tests are in tests.

Features

Plotting

There is some basic functionality for plotting in bot/Plotter.py

Exchanges

At bot/Exchanges.

contains some tests

Backtesting

At bot/Engine/Backtester.py.

Backtester infrastructure currently supports

  • stop loss, trailing stop loss &
  • subsequent entries logic (DCA)

Indicators

At bot/Indicators.py.

Started implementing the Indicators module which currently contains some indicators from pyti;.

The thinking is that this module should allow us to easily and quickly compute any of the hundreds of indicators out there and to use them in strategies & backtesting. Should seamlessly connect to the Strategies module.

Strategies

At bot/Strategies.

A base module which allows us to define buying & selling strategies for crypto assets. Each strategy will contain the following phases: setup (where the indicators are computed), getIndicators (to be used for plotting), checkBuySignal, checkSellSignal, getBuySignalsList and getSellSignalsList (the last two to be used for backtesting).

Currently contains a few basic strategies. More strategies will be added together with a build-your-own strategy template. Should seamlessly connect to the Backtesting & Order Management modules.

Strategy Optimiser

At bot/Strategies/StrategyOptimiser.py.

Currently allows for optimising strategy parameters using a genetic algorithm.

Tests

Run them with the command nose2

In Progress

Order Management

At bot/Engine/OrderManagement.py.

A module which will handle the buying and selling of assets, given simple or more advanced rules, allowing us to run a strategy indefinitely.

Current Features:
  • Placing Entry (Buy) Orders on Signal
  • Placing Exit Order when Entry Order was fulfilled
Future Features:
  • Market & OCO orders
  • Selling on signals
  • Trading below/above signal by some %
  • Stop loss & Trailing stop loss
  • Multiple trade entries (in case trade goes against you)

State persistence

The ability to save the current bot state for later use. We may use something like SQLAlchemy to easily port to multiple SQL based DBs, but also want to have an API for transforming data to JSON.

Coming Soon

More Exchanges

Binance Futures, Bitmex, Bitfinex, FTX, Bybit. Margin Trading, Market Making, Hyper Parameter Tuning.

Contributing

To contribute simply fork the repo, write your desired feature in your own fork and make a pull request upon finishing. Please write tests!

Adding new Exchanges

Each exchange should extend the BaseExchange class and implement all functions there.