QuantShim

A Python framework for R&D of financial investment strategies, and trading them algorithmiclly via Quantopian.com

Features

Detailed order logging
WorstSpreadSlippage to simulate pessimistic yet realistic order execution
Strategy framework that's easy to extend
- StrategyPositions: Each strategy can control it's own positions without interfering with other strategy
- Including algorithmic stop-loss and profit-loss triggers
- Multiple Strategies supported
TechnicalIndicators framework that's easy to extend
- State History stored for inspecting previous frames
- StandardTechnicalIndicators provided as example
Designed for coding via Python Tools for Visual Studio
- simple copy/paste into quantopian to execute
- intelisence for most quantopian internals
Open Source (GPL3)

Why

I want a R&D platform to implement strategies and synthetic securities easily, AND
I wanted a codebase that can use Python Tools for Visual Studio's intelisence.
- So that's why I made this.

History

v1.1.0 (20140616)
- big changes to strategyPositions (add algorithmic stop-loss)
- simplify security declaration based on Quantopian platform improvements
- add good performing "Volatility Bias" strategy as an example
- removed QuantopianRealMoneyStrategy example
- add Bollinger Band and Daily Indicators (not enabled by default)
v1.0.4 (20140422)
- add "logging" global object to framework,
- allows enabling/disabling of logs,
- adds log time (in exchange time)
- allows graphing records with variables as names.
- manually compute all standard technical indicators to workaround quantopian (TALib) bug in SMA computation
v1.0.3 (20140419)
- cleanup / simplifying workflows and architecture
- removed old examples, now 'strategy' focused
- added QuantopianRealMoneyStrategy as an example
- renamed classes/functions and added docs
- added WorstSpreadSlippage and high quality order logging
v1.0.2
- Add logic for multi-algorithm and multi-security collaboritive trading.
- add realistic example of multistrategy collab (followMarketStrategy and followPriorDayStrategy operating at the same time)
- focus on intraday, but make sure framework+algos can still work with interday
- infrastructure for storing daily history per security/algo
v1.0.1
- Add Security object to provide persistant state / logic for securities
- Add state history to security, provide easy way for things to get their own state + history of their own state.
- add multi-phase updates, allow framework to custom init securities
- add partial positions, so that strategies can order independantly of eachother
v1
- The first checkin is Zipline compatable. After that it is not.

Roadmap

??? email me at if you want something

How To Install (Windows, using PythonTools for VisualStudio)

install vs2013
install pytools for vs2013
install activestate python (32bit)

run the following from your cmd prompt

pypm -g install pip
pypm -g install numpy
pypm -g install "scipy<0.10"
pypm -g install pytz
pypm -g install pandas
pypm -g install pyzmq
pypm -g install ipython
pypm --force -g install matplotlib
pypm -g install pyreadline
pip install zipline

run the .sln

how to run

on Quantopian.com, just copy-paste the contents of quantShim.py to a new quantopian algo, and backtest
on zipline, just run quantShim.py IMPORTANT NOTE Only the first checkin support zipline. everything after that is for quantopian use only. There are far too many differences/defects with the zipline runtime to continue it's support right now

work in progress (todo)

??? email me at if you want something