Tradingo

Tradingo is a bitmex derivatives exchange trading bot. It trades currently is only tested with a single symbol and its main strategy entity is restricted as such. Testing and market interface components are generally built agnositc to such requirement.

Trading strategies are implemented by inheriting from the Strategy class. There are three event handlers to implement onExecution, onTrade and onQuote. Each react to based on what they are named. Strategies can register implementations of the Signal class, they will then evaluate before the strategies on either a callback timer, or on quote event.

Strategies must be registered in the src/strategies/Strategies.cpp Strategies are selected with the 'factoryMethod' key in config.

The strategy has a set of allocations which is a continuous data structure indexed by price. The strategy modifies allocations along this index based on how the size, direction and at what level to order at. Active orders are amended should an allocation at a price level change. One price level per order.

Configuration

Config is provided with

1. --config option. Specified zero or more times. Each config is applied to the defaults in order. Path is to a json or cfg file.
2. --config-json flag to provide json string directly on command line.

Initial replay settings

When running a replay, json string may be provided for --initial-position and --initial-margin.

Tradingo functionalities are packaged in two docker images. One for backtesting and one for trading, both use tradingo-base docker image for its build dependencies.

Time control

Compiling with -DREPLAY_MODE, simulates the time the strategy has based on replay data provided.

1. realtime mode, replay will play over the file at speed dictated in datafiles
2. non-realtime mode, file is passed with no time

A signal can be either callback or timed In realtime, all signals are callback and determine if they are to evaluate themselves based on the market data update.

The main difference for seperation of the two docker images is the compilation mode.

In replay mode, must be used signal-callback=true realtime=true

Building

Running autogen.sh should build tradingo on ubuntu platforms.

Tests

Run tests with make test in the build directory. Compile with -DWITH_REGRESSION_TESTS to enable simulated replay tests generated with tradingo-optimizer. testTradingo and testTradino-lr are the main unit test binaries.