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9 Great Tools for Algo Trading

JULY 02, 2018 IN MARKET

In the last 5–10 years algorithmic trading, or algo trading, has gained
popularity with the individual investor. The rise in popularity has been
accompanied by a proliferation of tools and services, to both test and
trade with algorithms. I’ve put together a list of 9 tools you should
consider using for your algo trading process.

Photo by Adrian Curiel on Unsplash

Web Services:
The following are managed-services that you can use through web
browsers, and don’t require much setup from the user. As someone
who’s recently started in this field, I found it easy for new algo traders to
try out.

(1) Quantopian:

A Boston-based crowd-sourced hedge fund, Quantopian provides an

online IDE to backtest algorithms. Their platform is built with python, and
all algorithms are implemented in Python. When testing algorithms, users
have the option of a quick backtest, or a larger full backtest, and are
provided the visual of portfolio performance.

Live-trading was discontinued in September 2017, but still provide a

large range of historical data. They also have a serious community of
developers, and now hold an ongoing DAILY contest with 10 winners
awarded each day for a total of $5,000 per month in prize money
(*updated from previously written as "periodically hold contests").
Quantopian provides capital to the winning algorithm.

(2) QuantConnect:
QuantConnect, is another platform that provides an IDE to both backtest
and live-trade algorithmically. Their platform was built using C#, and
users have the options to test algorithms in multiple languages,
including both C# and Python.

QuantConnect also embraces a great community from all over the world,
and provides access to equities, futures, forex and crypto trading. They
offer live-trading integration with various names such as
InteractiveBrokers, OANDA, and GDAX.

(3) QuantRocket:

QuantRocket is a platform that offers both backtesting and live trading

with InteractiveBrokers, with live trading capabilities on forex as well as
US equities. It’s specifically designed for trading with InteractiveBrokers,
and sets itself apart with its flexibility.

QuantRocket supports multiple engines — its own Moonshot, as well as

third party engines chosen by the user. While QuantRocket doesn’t have
a traditional IDE, it is integrated well with Jupyter to produce something
similar. One thing to keep in mind is that QuantRocket is not free. Pricing
plans start at 19.99/month USD, with annual options.

Local Backtesting/LiveTrading
Engines:
In today’s software world, you have lots more freedom if you make some
effort outside of those managed-services. If you are comfortable this
way, I recommend backtesting locally with these tools:

(4) Zipline/Zipline-Live:

quantopian/zipline
zipline - Zipline, a Pythonic Algorithmic Trading Librarygithub.com

Quantopian’s IDE is built on the back of Zipline, an open source

backtesting engine for trading algorithms. Zipline runs locally, and can
be configured to run in virtual environments and Docker containers as
well. Zipline comes with all of Quantopian’s functions, but not all of its
data. To balance that, users can write custom data to backtest on. Zipline
also provides raw data from backtests, allowing for versatile uses of
visualization.

Zipline discontinued live trading in 2017, but there is an open source

project Zipline-live that works with Interactive Brokers. It has many of the
same features Zipline does, and provides live trading.

(5) BackTrader:

backtrader - Backtesting / Trading

from datetime import datetime import backtrader as bt class
SmaCross(bt.SignalStrategy): params = (('pfast', 10)…
www.backtrader.com

Backtrader is currently one of the most popular backtesting engines

available. It was built using python, and has a clean, simple, and efficient
interface that runs locally (no Web Interface). One thing to keep in mind,
backtrader doesn’t come with any data, but you can hook up your own
market data in csv and other formats pretty easily.

Starting with release 1.5.0, BackTrader has live-trading capabilities. It’s

been a popular choice with algo traders, especially after Zipline
discontinued live trading.

(6) IBPy:

blampe/IbPy
IbPy - Python API for the Interactive Brokers on-line trading
system.github.com

IBPy is an unaffiliated third party python wrapper for InteractiveBroker’s

Trade Workstation API. Before IB started providing their official API
library for python, this was the only way to connect to TWS for
algorithms written in python.

IB has released an official python SDK, and this library is heading

towards begin obsolete(while still being relevant for python2 users). But
there still remain a significant number of live trading engines/tools that
still use this library, and it’s good learning material for whoever wants to
learn about implementing API’s.

While it’s good to learn about this library since it’s ubiquitous, if you are
starting fresh, we recommend IB’s official python SDK.

Alpaca Trade API Python SDK is even much simpler to use!

Analytical Tools:
Back testing will output a significant amount of raw data. Some IDE’s will
provide basic visualization and analysis, usually algorithm performance.
If you’re looking for deeper evaluation, I recommend these tools:

(7) Pyfolio:

quantopian/pyfolio
pyfolio - Portfolio and risk analytics in Pythongithub.com

Pyfolio is another open source tool developed by Quantopian that

focuses on evaluating a portfolio. What sets Pyfolio apart, is its ability to
introduce degrees of uncertainty to a static set of data points, and
evaluate Bayesian metrics from the user’s portfolio. The Pyfolio API
offers a number of visualizations, which can be found on their GitHub
repository.

(8) Alphalens:

quantopian/alphalens
alphalens - Performance analysis of predictive (alpha) stock
factorsgithub.com

Alphalens is also an analysis tool from Quantopian. Unlike Pyfolio,

Alphalens works well with the raw data output from Zipline, and rather
than evaluate the portfolio, is performance analysis of predictive stock
factors. Alphalens has its own range of visualizations found on their
GitHub repository.
Median Daily Returns by Factor Quantile — one of the visualizations that
alphalens offers

(9)TradingView:

TradingView is a visualization tool with a vibrant open-source

community. It’s entirely web-based, and allows users to visualize data,
whether the data is the result of paper trading or algorithmic back-
testing. Like Quantopian, TradingView allows users to share their results
and visualizations with others in the community, and receive feedback.

(Bonus) Execution Platforms aka

Broker-Dealers:

(10)InteractiveBrokers:

InteractiveBrokers is an online broker-dealer for active traders in

general. They have been in the market since 1978. Algo trading isn’t IB’s
focus, but multiple engines offer live trading through integration with
their Trader Workstation. We’ve mentioned IB several times in this article
— they’re just that good!

(11)Alpaca:

Finally, Alpaca! Alpaca was founded in 2015, and is an up and coming

commission-free, broker-dealer designed specifically for algo trading.
Alpaca also has a trade api, along with multiple open-source tools, which
include a database optimized for time-series financial data known as
the MarketStore.

The brokerage is scheduled to be publicly available this September (you

can play around with the MarketStore right now), but if you can’t wait,
head over to our website and jump on the waitlist for a chance at early
access!

Alpaca | Algo Trading Commission Free with REST API

Lower your cost, Maximize your profits. Algo trading commision
free.alpaca.markets

Miscellaneous Tools to Take a Look

At:
qtpylib — another simplistic python backtesting engine
Multicharts — proprietary trading platform for forex and equities
 WealthLab — desktop tool which allows C# backtesting, with live
trading exclusive to Fidelity
Enygma Catalyst — for crypto trading
MetaTrader — backtesting/livetrading desktop app, de-fact in forex

I hope this quick primer on tools available right now was useful. If you
liked it, please leave a clap (or two, I don’t mind). If you think there are
tools that I missed, leave a comment below! I always appreciate any, and
all feedback.

by Rao Vinnakota

 ALGO TRADING, MARKET DATA, BACKTEST, QUANTOPIAN, QUANTS

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