CryptoQuant is an algorithmic trading library for crypto-assets written in Python. It allows trading strategies to be easily expressed and backtested against historical data (with daily and minute resolution), providing analytics and insights regarding a particular strategy's performance. cryptoquant also supportslive-trading of crypto-assets starting with many exchanges (Okex,Binance,Bitmex etc) with more being added over time.
CryptoQuant是一套基于Python的量化交易框架,帮助个人/机构量化人员进行数字货币量化交易。框架具有回测/实盘交易功能。 策略框架支持多个平台切换回测。 并提供交易所实盘交易接口(如OKEX) 。
全新的《Python数字货币量化投资实战》系列在线课程,已经在微信公众号[StudyQuant]上线,一整套数字货币量化解决方案。覆盖CTA等策略(已完成)等内容。
Windows 使用要安装Python,激活环境,进入cryptoquant/install目录下的运行install.bat 安装依赖库 安装dependencies 中的依赖库
from cryptoquant.trader.constant import Direction, Exchange, Interval, Offset, Status, Product, OptionType, OrderType
import pandas as pd
from cryptoquant.app.data_manage.data_manager import save_data_to_cryptoquant
if __name__ == '__main__':
df = pd.read_csv('IF9999.csv')
symbol = 'IF9999'
save_data_to_cryptoquant(symbol, df, Exchange.CFFEX)
from datetime import datetime
from cryptoquant.app.cta_backtester.engine import BacktestingEngine, OptimizationSetting
from cryptoquant.app.cta_strategy.strategies.atr_rsi_strategy import (
AtrRsiStrategy,
)
#%%
engine = BacktestingEngine()
engine.set_parameters(
vt_symbol="IF9999.CFFEX",
interval="1m",
start=datetime(2020, 1, 1),
end=datetime(2020, 4, 30),
rate=0.3/10000,
slippage=0.5,
size=300,
pricetick=0.2,
capital=1_000_0,
)
setting = {}
engine.add_strategy(AtrRsiStrategy,setting)
# 导入数据
engine.load_data()
# 开始回测
engine.run_backtesting()
#计算收益
df = engine.calculate_result()
# 开始统计
engine.calculate_statistics()
# 开始画图
engine.show_chart()
from cryptoquant.trader.constant import Direction, Exchange, Interval, Offset, Status, Product, OptionType, OrderType
import pandas as pd
from cryptoquant.app.data_manage.data_manager import save_data_to_cryptoquant
if __name__ == '__main__':
df = pd.read_csv('IF9999.csv')
symbol = 'IF9999'
save_data_to_cryptoquant(symbol, df, Exchange.CFFEX)
from cryptoquant.api.okex.okex_spot_exchange import OkexSpotApi
#导入交易所接口密钥
from cryptoquant.config.config import ok_api_key, ok_seceret_key, ok_passphrase
from cryptoquant.api.okex.spot_api import SpotAPI
from cryptoquant.api.api_gateway.apigateway import ApiGateway
# 实例化OKEX接口的类
api = SpotAPI(ok_api_key, ok_seceret_key, ok_passphrase, True)
# 实例化自己封装好接口类
api_gateway = OkexSpotApi(api)
# 实例化策略与交易所接口之间的中间通道类
exchange = ApiGateway(api_gateway)
kline_df = exchange.get_kline_data(symbol, minutes)
print(kline_df)
ticker = exchange.get_ticker(symbol)
print(ticker)
# 买单
order_data = exchange.buy(symbol,3,1)
# 卖单
# order_data = exchange.sell(symbol, 6, 1)
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非常希望大牛来贡献代码,完善项目功能。
在提交代码的时候,请遵守以下规则,以提高代码质量:
autopep8 --in-place --recursive .
即可。flake8
即可。2021-01-15 v1.1
添加了APIGATEWAY 模板
添加了实盘交易DEMO
完善了回测框架
2020-08-15 v1.0
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