Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

Except Zipline, are there any other Pythonic algorithmic trading library I can choose? Especially, for backtesting?

share|improve this question
    
What does your employer currently use? –  chrisaycock Sep 6 '13 at 13:08

7 Answers 7

up vote 8 down vote accepted

Aside from Zipline, there are a number of algorithmic trading libraries in various stages of development for Python.

From the commercial side, RapidQuant looks very interesting though I haven't tried it yet. It's from some of same developers that brought us the excellent Pandas data analysis library. I think Wes McKinney (Pandas's main author) is involved.

From the open source side, you might check out ultra-finance. It aims to be a fully featured event-driven based backtesting system.

Also check out PyaAlgoTrade. It's coded to allow for distributed testing of strategies on Google's cloud infrastructure. It incorporates the open source TA-Lib technical analysis library.

Finally, take a look at TradeProgrammer. It also uses the TA-Lib library. The package is free to use for backtesting, but its live trading version is commercial.

Aside from that, I think that many proprietary traders build their own systems. There is definitely something to be said for using a tool you understand on that level.

share|improve this answer
    
Which one you would recommend? –  Terence Ng Sep 9 '13 at 5:57
    
Zipline is an equity backtester only. What can I do if I want to use it in Currencies and Futures? Which one I can choose? Do I have to select an library and modify the code myself? –  Terence Ng Sep 11 '13 at 7:32

You can check also QSTK

It's an open source library developed by Georgia Tech and used in a Computational Investing course.

share|improve this answer

You can have a look at :

TradingWithPython library (TWP Library) http://www.tradingwithpython.com/.

Like Quantopian / Zipline it uses Python Pandas library.

It includes an Interactive Brokers module to trade realtime.

share|improve this answer

I have also been searching for algo trading in Python.

According to my findings:

  • there are many such librairies available, open-source or proprietary,

  • they are all built quite specifically. as a result, when you know how to use one, it is the only one you are able to use.

  • their stage of development is quite heterogeneous and future uncertain, eg what did happen to rapidquant.com cite above?

  • no such library is well off and outperforming all other competing librairies.

With all the above, I would rather build my own tools as suggested above by someone else.

share|improve this answer

possible update:

http://pmorissette.github.io/bt/

based on

http://pmorissette.github.io/ffn/

both were easily installed and somewhat usable for a novice. would love some examples other that github documentatiion

share|improve this answer

There is a module called visualize-wealth that provides:

  • Documentation auto-generation capability with sphinx
  • Portfolio construction methodologies in 3 ways (trade blotter, weight allocation frame, and static allocation series)
  • All basic statistical measures, including many sophisticated ones such as CVaR, Mean Absolute Tracking Error, Cornish Fisher Approximation (to incorporate skew and kurtosis), correlation structure preserving algorithms, Appraisal & Information Ratios, and M^2 (to name a few)

    NOTE: The sphinx documentation renders into MathJax equations with clickable links and papers around more academic concepts

  • Excel file with manual calculation to most of the analytical cals, allowing the user to dig into the manual calculations if they should like (the results of this file are actually used as the data to test the module calcs)
  • Utilities to work with Yahoo!'s API as well as HDFStores, to construct portfolios from
  • Classification algorithms to determine the "likely asset class" of a time series, to enable asset selection and tactical allocation attribution functionality.

FULL DISCLOSURE: I am the developer of the wealth-viz and have building it entirely on my own for the past 14 months.

share|improve this answer

Trying to start framework which allows lots of flexibility. https://github.com/bpsmith/tia

share|improve this answer
    
How do you know this framework? do you use it? did you write it? –  SRKX Feb 10 at 5:23

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.