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I know about zipline and ultrafinance, but as far as I know, they don't support fx trading. Which libraries do?

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I currently use a combination of matplotlib and Oanda's FX API. Their API is REST based, and would essentially allow for any type of library to handle calculations. A python wrapper for the Oanda API is on github

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Backtesting.py framework is completely agnostic with regards to the type of data you feed it, as long as it's OHLC data.

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