OpenTrade

OpenTrade is an open source OEMS, and algorithmic trading platform, designed for simplicity, flexibility and performance.

Demo

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Features:

• Strictly follows Google C++ Style Guide
• Multi-level account functionality
• Super simple API interfaces for market data adapter (C++), exchange connectivity (C++) and execution/alpha algo (C++ and Python)
• REST and web socket interface
• Multi-source market data support, e.g., different FX pricing sources
• Pre-trade risk limits on multi-level accounts
• Post-trade risk integrated with OpenRisk
• Edit and test Python algo online
• Backtest
• Multi-theme web frontend
• Fully thread-safe design, everything can be modified during runtime, e.g., reload symbol list, modify tick size table, lot-size, exchange timezone and trading/break period etc.
• Built-in execution simulator
• Simple configuration
• Internal cross
• Execution Optimization Framework
• Order Aggregation
• Customized indicator extension
• Smart Route and FX aggregation
• Support both PostgreSQL and Sqlite3

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Steps to run on Ubuntu 18.04 or later

• Compile

  • Prepare dev environment.

  sudo apt update \
  && sudo apt install -y \
    g++  \
    make \
    cmake \
    clang-format \
    clang \
    python \
    python3-dev \
    vim \
    exuberant-ctags \
    git \
    wget \
    libssl-dev \
    libboost-program-options-dev \
    libboost-system-dev \
    libboost-date-time-dev \
    libboost-filesystem-dev \
    libboost-iostreams-dev \
    libboost-python-dev \
    libsoci-dev \
    libpq-dev \
    sqlite3 \
    libsqlite3-dev \
    libquickfix-dev \
    libtbb-dev \
    liblog4cxx-dev

  • Build

  git clone https://github.com/opentradesolutions/opentrade
  cd opentrade
  make debug

• Setup database

  • Sqlite3

  wget https://github.com/opentradesolutions/data/raw/master/test.sqlite3

  • Or PostgreSQL

  sudo apt remove --purge postgres*
  sudo apt autoremove
  sudo apt install -y postgresql-10 || sudo apt install -y postgresql-11
  sudo apt install -y postgresql-contrib postgresql-client
  # add data to database as user 'postgres'
  sudo su postgres;
  cd;
  wget https://github.com/opentradesolutions/data/raw/master/opentrade-pg_dumpall.sql
  psql -f opentrade-pg_dumpall.sql
  exit # become yourself again

• Run opentrade

  • Download tick data files

  cd opentrade
  wget https://raw.githubusercontent.com/opentradesolutions/data/master/bbgids.txt
  wget https://github.com/opentradesolutions/data/raw/master/ticks.txt.xz.part1
  wget https://github.com/opentradesolutions/data/raw/master/ticks.txt.xz.part2
  cat ticks.txt.xz.part1 ticks.txt.xz.part2 > ticks.txt.xz
  xz -d ticks.txt.xz

  • Run

  # please modify opentrade.conf to use postgres if setup database with PostgreSQL
  cp opentrade.conf-example opentrade.conf
  ./opentrade

• Open Web UI

  # username/password: test/test
  http://localhost:9111
  

CentOS 8

Please checkout install_centos.sh

Internal Latency

make test-latency

Backtest

• Only BBO support currently, full orderbook support will come soon
• It is up to you to generate report

make args=-j backtest-debug
wget -O ticks.tgz https://www.dropbox.com/s/maikrn2qbz8hxba/ticks.tgz?dl=1; tar xzf ticks.tgz
./build/backtest-debug/opentrade/opentrade -b scripts/backtest.py -t ticks/%Y%m%d -s 20170701 -e 20181115

Execution Optimization Example

make args=-j backtest-release
cd scripts/execution_optimization
wget https://raw.githubusercontent.com/opentradesolutions/data/master/targets.zip; unzip targets.zip;
wget https://github.com/opentradesolutions/data/raw/master/test.sqlite3
./run
./sim_summary.py rpt*

params	avg cost	avg fr	total pnl	total tvr
High-0150	0.9378	1.0000	-0.0089	125.6283
High-0300	0.9297	1.0000	-0.0084	125.6273
High-0450	1.0504	1.0000	-0.0093	125.6262
High-0600	1.1687	1.0000	-0.0101	125.6252
High-0900	1.2693	1.0000	-0.0111	125.6255
High-1200	1.2615	1.0000	-0.0119	125.6264
High-1500	1.2867	1.0000	-0.0123	125.6280
High-1800	1.3281	1.0000	-0.0132	125.6296
High-2100	1.3886	1.0000	-0.0141	125.6324
High-2400	1.4285	1.0000	-0.0151	125.6340
High-2700	1.4940	1.0000	-0.0158	125.6348
High-3000	1.7564	0.9974	-0.0173	125.6373
Low-0150	-0.0681	0.5145	-0.0497	96.6273
Low-0300	0.1620	0.7019	-0.0244	108.1107
Low-0450	-0.1739	0.8185	-0.0295	117.1855
Low-0600	0.3163	0.8836	-0.0148	118.0378
Low-0900	0.3646	0.8884	-0.0177	120.5907
Low-1200	0.7914	0.9347	-0.0131	125.6282
Low-1500	0.8468	0.9427	-0.0106	125.6280
Low-1800	1.0057	0.9932	-0.0130	125.3894
Low-2100	1.2167	0.9862	-0.0161	125.6313
Low-2400	1.2075	1.0000	-0.0138	125.6348
Low-2700	1.3235	1.0000	-0.0150	125.6363
Low-3000	1.5444	0.9956	-0.0162	125.6386
Medium-0150	0.3631	0.5238	-0.0541	98.7558
Medium-0300	0.3999	0.7333	-0.0190	109.3046
Medium-0450	0.5549	0.8820	-0.0141	117.3461
Medium-0600	0.7546	0.8941	-0.0219	124.6843
Medium-0900	0.7669	0.8994	-0.0221	125.6307
Medium-1200	1.0957	0.9366	-0.0161	125.6295
Medium-1500	1.1907	0.9427	-0.0135	125.6285
Medium-1800	1.3788	0.9932	-0.0162	125.3895
Medium-2100	1.4976	0.9982	-0.0166	125.6344
Medium-2400	1.5517	1.0000	-0.0169	125.6354
Medium-2700	1.6557	1.0000	-0.0180	125.6368
Medium-3000	1.8620	0.9956	-0.0192	125.6392

The other OS system

we prepared Dockfile-dev for you.