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README
Apache-2.0

EliteQuant_Python

Python量化投资交易平台


平台介绍

EliteQuant 是一个开源并永久免费的统一量化交易平台,由量化投资者所写并为量化投资者服务。它同时在github码云上开源。

统一这个词有两层意思

  • 首先是统一的回测和实盘交易。只需将数据源在回测和实盘间切换即可,最大限度保持策略稳定性和真实性
  • 其次,多语言编写的平台在交易结构和绩效评估上是一致的。所以在与其他交易员就策略,想法和绩效方面进行复制和交流就变得非常容易和方便。

EliteQuant 相关项目包括

项目纲要

EliteQuant_Python 是基于Python3的多线程并发式高频交易平台, 提供一致的回测和实时交易解决方案。它遵循现代设计模式,例如事件驱动,服务器/客户端架构和松散耦合的强大稳定的分布式系统。它遵循与其他EliteQuant产品线相同的结构和绩效评估值,这使得与使用其他语言的交易者分享变得更容易。

参与开发

我们欢迎任何形式的贡献,包括发现问题,发送代码块,或创建拉请求。通过共享代码架构,这还会帮助使用其他语言的交易者。

项目安装

不需要安装,直接下载代码并使用。

回测

在Python方面,需要一些Python包。以下是基于Windows 10系统上全新安装Anaconda Python 3.6之后的步骤。

  1. 将解压缩文件夹添加到PYTHONPATH环境变量, 例如d\workspace\EliteQuant_Python

PYTHONPATH

  1. 在命令提示符cmd下执行以下命令
pip install quandl            # quandl 数据源
pip install pandas-datareader          # 网络数据源,如雅虎,谷歌
pip install tushare           # 挖地兔数据源
pip install pyfolio           # 绩效评估
pip install qdarkstyle		  # 黑色皮肤
  1. 配置 source 目录下的 config_backtest.yaml

    • datasource: 历史数据来源
    • hist_dir: 为本地历史数据目录
    • output_dir: 回测结果输出目录

    其中回测现有数据来源接口为

    • Quandl
    • Tushare
    • 本地CSV
  2. 还是在命令提示符下,执行回测

cd source
python backtest_engine.py

实盘

实盘还需要一个第三方python包 -- nanomsg.

  1. 在命令窗口下执行
cd resource
easy_install nanomsg-1.0-py3.6-win-amd64.egg
  1. 去上一步生成的C:\Anaconda3\Lib\site-packages\nanomsg-1.0-py3.6-win-amd64.egg\nanomsg-1.0-py3.6-win-amd64.egg\目录, 剪贴移动所有东西到上一层,并把多余的这层nanomsg-1.0-py3.6-win-amd64.egg删除掉。

  2. 把 resource\nanomsg.dll 文件拷贝到 C:\Anaconda3\Lib\site-packages\nanomsg-1.0-py3.6-win-amd64.egg\

  3. 配置 source 目录下的 config.yaml

    • 如果要使用盈透证券,请打开盈透证券交易平台(TWS),进入菜单File / Global Configuration / API / Settings,勾选“Enable ActiveX and Socket Client”,取消选中“Read-Only API”
    • 在配置文件中,将帐户ID更改为您自己的; 盈透证券账户ID通常可以在TWS窗口的右上方找到。
    • 如果您使用CTP,请相应地更改您的经纪账户信息和ctp地址。
    • 分别为log_dir 和 data_dir创建文件夹。前者记录运行日志,而后者保存分时数据
  4. 运行live_engine.py

Live Demo

盈透证券 是国外散户和小型私募最受欢迎的经纪商。 Quantopian,Quantconnect等许多零售交易平台都起始支持IB。如果您没有IB账户,想要试用,他们提供模拟账户edemo与密码demouser。只需下载TWS交易者工作站并使用此演示帐户登录。请注意,每次使用模拟账户登录交易平台时,账户ID都会发生变化,因此您必须相应地更改EliteQuant配置文件。

CTP 是中国期货市场的实际标准,包括商品期货和金融期货。他们还提供免费模拟账户SimNow。注册后,您将获得帐户,密码,brokerid,以及市场数据和交易经纪地址。将其替换EliteQuant配置文件相应位置。

开发环境

以下是我们正在使用的环境

  • Anaconda Python 3.6
  • PyCharm 社区版本 2017.2.4

项目结构

回测框架

回测框架

实盘框架

实盘框架

代码结构

代码结构

开发计划

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简介

Python量化投资交易平台。基于Python3的多线程并发式高频交易平台, 提供一致的回测和实时交易解决方案。它遵循现代设计模式,例如事件驱动,服务器/客户端架构和松散耦合的强大稳定的分布式系统。它遵循与其他EliteQuant产品线相同的结构和绩效评估值,这使得与使用其他语言的交易者分享变得更加容易。 展开 收起
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