Modules
- feed
- broker
- predictor
- algorithm
- analyzer
- task
Feed
- Live mode: read from redis
- Offline mode: read from pickle
- Now feeding: tick
Broker
- Live mode: push order to redis, leave order match to some 3rd party broker, e.g., 华泰matic
- Offline mode: subscribe the order matching simulation method on_tick to the tick feed
Predictor
- buy/sell methods returns the buy/sell signal
- context: a dict of instruments, each ins has
- last_feed_time
- tickabs (for PredictorFromTickab)
- factors: utilized by buy/sell method to determine buy/sell signals
Algorithm
- Communicate with the broker, and control the trading process
- Subscribe the on_feed method to the feed before running the feed
- 4 methods to determine buy/sell price and shares should be implemented
- Trading results is recorded in self.results
Analyzer
- Analyze the trading results
- Use draw method to plot the trading results
Task
- Provides templates to generate tasks
- Do task management for algorithms like twap