Features

Interested in finance?

Installation

Quickstart

import{createTrader}from'devalpha'constfeeds={myQuandlFeed:[1,2,3,4],myStreamFeed:fs.createReadStream(...)}conststrategy=(context,action)=>{// Place an orderif(action.type==='myQuandlFeed'){context.order({identifier:action.payload.identifier,quantity:100*action.payload.signalStrength,price:1000})}// Get current portfolio stateconststate=context.state()// Cancel an orderif(state.capital.cash<10000){context.cancel({id:123})}}// Create the trading streamconststream=createTrader({ feeds},strategy)// Consumer the stream and make money!stream.done(()=>{console.log('Finished!')})

Settings

constsettings={/* Toggle backtesting/realtime mode. In backtesting mode, events from the feed stream are pulled  as needed rather than pushed as created. This allows you to do a number of events for each feed  item, and then pull the next one only when you're finished with the current.  NOTE: DevAlpha will only activate realtime mode when this parameter is explicitly set to `false`.  This means that setting `backtesting: 0` will not do the job. */backtesting:true,/* Only used in realtime mode. The client manages order execution, and is provided to the  internal broker middleware. */client:null,/* Define the starting capital of your algorithm. Use only in backtesting mode. In realtime mode  you're better of using the `initialStates` setting instead. */startCapital:0,/* Provide initial states for your algorithm. One obvious use case would be when realtime  trading, and you want to fetch positions, capital, or order information from your broker. */initialStates:{},/* An object mapping event names to stream-like objects. See https://highlandjs.org/#_(source)  for a definition of "stream-like". Keys will be used as event type names. */feeds:{},/* Settings for your backtest. */backtest:{/* Denotes when your backtest is started (the first date of your backtesting data). */timestamp:0,/* A number or a function used when calculating expected commission. */commission:0},/* Settings for the guard middleware, which will prevent or alter orders (based on your  configuration). */guard:{/* Allow/disallow shorting. */shorting:false,/* Allow/disallow trading on margin. */margin:false,/* An array of restricted instrument identifiers. Example: ['GOOG', 'SPOT']. */restricted:[]},/* DevAlpha dashboard settings. */dashboard:{/* Toggle the DevAlpha dashboard. */active:false,/* Port used to pipe portfolio data. */port:4449}}

Usage

constsettings={...}conststrategy=(context,action)=>{...}createTrader(settings,strategy).resume()

import{createTrader,ORDER_FILLED,ORDER_FAILED}from'devalpha'constsettings={...}conststrategy=(context,action)=>{...}conststream=createTrader(settings,strategy)constslackStream=stream.fork()constredisStream=stream.fork()// Get Slack notifications on filled or failed ordersslackStream.each((event)=>{if(event.action.type===ORDER_FILLED){slackLogger.log('Hooray! An order was filled!')}elseif(event.action.type===ORDER_FAILED){slackLogger.log('Whoops! One of your orders was not executed!')}})// Place the current state in a Redis storeredisStream.each((event)=>{redisClient.set('state',JSON.stringify(event.state))})

Resources

License

Responsibilities