:chart_with_upwards_trend: pedlar

Pedlar is an algorithmic trading platform for Python designed for trading events, competitions and sessions such as Algothons. It includes a live web interface with multiple accounts with account sharing and live chat, an HTTP API with example Python trading agents and a ZeroMQ based broker connection to MetaTrader5.

pedlarweb

Getting Started

If there is already a ticker server and web server running, the client API under pedlar can be used. If not, follow instructions on how to get them in the Hosting section. The client or agent API resolves around connecting to the ticker server (where agents receive price updates) and the web server, in this case handles the broker connection. The ticker is separate to reduce overhead and latencies between making trades and just receiving price updates.

Installation

The client API is can be installed using:

pip3 install --no-cache-dir -U pedlar

Usage

There are some helpful examples in the pedlar folder. Here is a overview of the client API:

from pedlar.agent import Agent

class MyAgent(Agent):
  """A trading agent."""
  def on_order(self, order):
    """Called on placing a new order."""
    print("New order:", order)
    print("Orders:", self.orders) # Agent orders only

  def on_order_close(self, order, profit):
    """Called on closing an order with some profit."""
    print("Order closed", order, profit)
    print("Current balance:", self.balance) # Agent balance only

  def on_tick(self, bid, ask, time=None):
    """Called on every tick update."""
    print("Tick:", bid, ask, time)
    # self.buy()
    # self.sell()
    # self.close()

  def on_bar(self, bopen, bhigh, blow, bclose, time=None):
    """Called on every bar update."""
    print("Bar:", bopen, bhigh, blow, bclose, time)

if __name__ == "__main__":
  import logging
  logging.basicConfig(level=logging.DEBUG)
  agent = MyAgent.from_args()
  agent.run()

The extra parameters are parsed from the command line and can be run using:

python3 -u myagent.py -h

Key things to keep in mind:

Basic Backtesting

The agents can backtest against a CSV file of the following format, last column time is optional and time format is adjustable through time_format of the Agent class:

tick,1.26361,1.26375,2019.01.03 23:44:42
tick,1.2636,1.26374,2019.01.03 23:44:59
tick,1.2636,1.26378,2019.01.03 23:45:00
bar,1.26386,1.26398,1.26355,1.2636,2019.01.03 23:45:00
tick,1.26359,1.26377,2019.01.03 23:45:02
tick,1.26357,1.26375,2019.01.03 23:45:05
tick,1.26356,1.26374,2019.01.03 23:45:07
tick,1.26358,1.26376,2019.01.03 23:45:10

which can be used with an agent python3 myagent.py -b ticks.csv. Essentially each line will invoke corresponding on_tick or on_bar function. The actual profit and trade results are computed offline based on absolute price differences. This means the agent will run completely offline and the actual results are only useful to get an idea about the performance or train a neural network. Any extra broker commissions beyond bid-ask spread, price requotes etc are not factored.

Hosting

Pedlar involves 4 components that talk to each other to create a platform for agents to trade:

Repository Structure

The client and server packages are separated to avoid any assumptions between their implementations. The main folders include:

Prerequisites

All the extra packages required can be installed using:

pip3 install --no-cache-dir -U -r requirements.txt

Running MT5

To get the ticker and broker components up and running you need to:

  1. Install MetaTrader 5, or some existing installation would work.
  2. Install ZeroMQ for Windows since the scripts require the libzmq.dll to run. You might need to install a compatible Visual C++ runtime to get ZeroMQ running.
  3. Find the installed ZeroMQ bin folder and move the DLL to Library\libzmq.dll as that is where the libzmq.mqh header expects it.
  4. Copy files MetaTrader 5 files to the expected folders of your installation. An easy way to find that is to open the MetaEditor (F4 from trader) and right click on a folder to select Open Folder. For development it is easier to write a script that syncs the repo folder with the expected folders.
  5. Once the ticker and broker is compiled, you can attach them to any chart that you want the tick updates to be sent and trade orders to be handled. You can run multiple at different ports as well. From "Options" the "Allow DLL Imports" needs to be enabled for obvious reasons.
  6. If you get DLL import error, it is most likely because the ZeroMQ DLL isn't happy or the C++ runtime is not compatible.

Running Local Broker

As an alternative to executing trades live, there is lbroker.py that implements same interface as the actual MT5 broker but instead executes the orders locally based on the latest ticks provided by MT5. It is a simple stand-alone script:

python3 lbroker.py -h

Running Web Server

The web server is a standard Flask application organised into the pedlarweb package. You need to create a instance/config.py to customise the default values. Once the config.py options are as desired, a database can be initialised:

mkdir instance && cp config.py instance/config.py # customise instance/config.py ex. database settings
python3 -c "from pedlarweb import db; db.create_all()"

If the in-memory default database is used, tables will be automatically created but data is lost when server is stopped using an in-memory database. Then the server can be run using standard Flask options:

python3 runpedlarweb.py -h

usage: runpedlarweb.py [-h] [-d] [--host HOST] [--port PORT]

Run pedlarweb.

optional arguments:
  -h, --help   show this help message and exit
  -d, --debug  Enable debug server.
  --host HOST  Host IP address.
  --port PORT  Host port.

Due to Flask-SocketIO the eventlet server would be run. For convinience, a new user is created if none with the username exist from the login page. This choice is done to get people on-board as easy as possible without heavy registration and email confirmation schemes.

FAQ

Limitations & To-Dos

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