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A R&D Framework for Quantopian

Jason Swearingen

edited Apr 19, 2014

I have been improving my framework and think others may now like it as an R&D environment

It's greatly simplified from my initial work, so I encourage you all to take a look here: https://github.com/Novaleaf/QuantShim

FYI while I initially was attempting a zipline compatable framework, this is now strictly quantopian only.

Here are it's features:

Features

Detailed order logging
WorstSpreadSlippage to simulate pessimistic yet realistic order execution
Strategy framework that's easy to extend
- StrategyPositions: Each strategy can control it's own positions without interfering with other strategy
- Multiple Strategies supported
TechnicalIndicators framework that's easy to extend
- State History stored for inspecting previous frames
- StandardTechnicalIndicators provided as example
Designed for coding via Python Tools for Visual Studio
- simple copy/paste into quantopian to execute
- intelisence for most quantopian internals
Open Source (GPL3)

Here I have attached the latest version, which implements the quantopian 9sector real money strategy as an example:

4 responses

Jason Swearingen

Updated the framework:

add "logging" global object to framework, allows enabling/disabling of logs, adds log time (in exchange time) and allows graphing records with variables as names.

this will be my last commit unless people make feature requests, so let me know....

https://github.com/Novaleaf/QuantShim

Jason Swearingen

one more update: compute all standard technical indicators to workaround quantopian (TALib) bug in SMA computation

This looks really cool, thanks for sharing! Unfortunate that it's licensed GPL which means that we can't import any of the code into Zipline.

Disclaimer

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian. In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

Jason Swearingen

Hi Thomas, I don't think there's anything from my framework that you'd want to port to Zipline, as I don't do anything in a "Pythonic" way. However if there is, let me know what license would fit and I can adjust the project.

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The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.

About Quantopian

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.