This is a repository for intraday mid-frequency algorithmic trading framework. This framework was developed for personal use so the data collection, database storage etc. are done as such. This repo was created to share my personal project portfolio and the actual development happens on a separate repo.
run_sudden_move_reversal_analysis_equity.py- equity tradingrun_sudden_move_reversal_analysis_crypto.py- crypto (binance) trading
run_sudden_move_reversal_analysis_equity_csv.py- equity tradingrun_sudden_move_reversal_analysis_crypto_csv.py- crypto (binance) trading
There are a few files of format run_....py, run_..._csv.py, which follow above pattern.
The data is collected and stored in the GCP BQ database, but as this project is mainly for my personal use, all is
done on my personal GCP project. sandbox_export.py has examples to pull over the data in csv format.
- Equity: TD Ameritrade, Ally, Tradier
- Crypto: Binance
┌──────────┐ ┌───────────┐ ┌────────────────┐
│ │ │ │ │ │
│ Exchange │ │ websocket │ │ GCP │
│ │──────────────▶│ │─────exports──────────▶│ BigQuery │
│ │ │ │ │ │
└──────────┘ └───────────┘ └────────────────┘
│ │
│ │
│ ┌────downloads
│ │
▼ ▼
┌───────────────┐ ┌───────────────┐
│ │ │ │
│ GCP PubSub │ │CSV file export│
│ │ │ │
└───────────────┘ └───────────────┘
│ │
│ │
live │
trading │
│ │
▼ │
┌───────────────┐ backtest
│ │ │
│ trade engine │ │
│ │◀─────────────────┘
│ │
└───────────────┘
│
trade
execution
│
│
│
▼
┌───────────────┐
│ │
│ Broker API │
│ │
└───────────────┘
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