├── .gitattributes ├── .gitignore ├── .travis.yml ├── LICENSE.TXT ├── algotrader ├── __init__.py ├── analyzer │ ├── __init__.py │ ├── drawdown.py │ ├── performance.py │ └── pnl.py ├── app │ ├── __init__.py │ ├── backtest_runner.py │ ├── live_ats.py │ └── mkt_data_importer.py ├── chart │ ├── __init__.py │ └── plotter.py ├── model │ ├── __init__.py │ ├── market_data_pb2.py │ ├── model_factory.py │ ├── ref_data_pb2.py │ ├── time_series2_pb2.py │ ├── time_series_pb2.py │ ├── timeseries_runner.py │ └── trade_data_pb2.py ├── model2 │ └── __init__.py ├── provider │ ├── __init__.py │ ├── broker │ │ ├── __init__.py │ │ ├── ib │ │ │ ├── __init__.py │ │ │ ├── ib_broker.py │ │ │ ├── ib_model_factory.py │ │ │ └── ib_socket.py │ │ └── sim │ │ │ ├── __init__.py │ │ │ ├── commission.py │ │ │ ├── data_processor.py │ │ │ ├── fill_strategy.py │ │ │ ├── order_handler.py │ │ │ ├── sim_config.py │ │ │ ├── simulator.py │ │ │ └── slippage.py │ ├── datastore │ │ ├── __init__.py │ │ ├── cass.py │ │ ├── inmemory.py │ │ └── mongodb.py │ └── feed │ │ ├── __init__.py │ │ ├── csv.py │ │ ├── pandas_h5.py │ │ ├── pandas_memory.py │ │ └── pandas_web.py ├── strategy │ ├── __init__.py │ ├── alpha_formula.py │ ├── cross_sectional_mean_reverting.py │ ├── down_2pct_strategy.py │ ├── ema_strategy.py │ ├── merton_optimal.py │ ├── pair_trading.py │ ├── sma_strategy.py │ ├── vix_future.py │ └── volatility_made_simple.py ├── technical │ ├── __init__.py │ ├── atr.py │ ├── bb.py │ ├── historical_volatility.py │ ├── kfpairregression.py │ ├── ma.py │ ├── pipeline │ │ ├── __init__.py │ │ ├── corr.py │ │ ├── cross_sessional_apply.py │ │ ├── make_vector.py │ │ ├── pairwise.py │ │ └── rank.py │ ├── roc.py │ ├── rolling_apply.py │ ├── rsi.py │ ├── stats.py │ ├── talib_wrapper.py │ └── talib_wrapper_gen.py ├── trading │ ├── __init__.py │ ├── account.py │ ├── bar_aggregator.py │ ├── clock.py │ ├── config.py │ ├── context.py │ ├── data_series.py │ ├── event.py │ ├── instrument_data.py │ ├── order.py │ ├── portfolio.py │ ├── position.py │ ├── ref_data.py │ ├── sequence.py │ └── subscription.py └── utils │ ├── __init__.py │ ├── data_series.py │ ├── date.py │ ├── indicator.py │ ├── logging.py │ ├── market_data.py │ ├── model.py │ ├── protobuf_to_dict.py │ ├── py2to3.py │ ├── ref_data.py │ ├── sde_sim.py │ └── trade_data.py ├── config ├── backtest.json ├── backtest.yaml ├── config.txt ├── data_import.yaml ├── down2%.yaml └── live_ib.yaml ├── data ├── refdata │ ├── ccy.csv │ ├── exch.csv │ └── instrument.csv └── tradedata │ ├── 1.csv │ ├── fb.csv │ ├── goog.csv │ ├── msft.csv │ └── spy.csv ├── poc ├── __init__.py ├── backtest_in_memory.py ├── backtest_pairtrading.py ├── cassandra_sample.py ├── copy_test.py ├── ib_demo.py ├── ib_tester.py ├── msgpack_numpy.py ├── oms_client.py ├── oms_server.py ├── pandas.ipynb ├── pyfolio_playground.py ├── rpy2.py ├── rxpy_scheduling.py ├── ser_deser.py ├── tensor_flow.ipynb ├── theano_check1.py ├── time_test.py └── zerorpc_patch.py ├── proto └── algotrader │ └── model │ ├── market_data.proto │ ├── ref_data.proto │ ├── time_series.proto │ ├── time_series2.proto │ └── trade_data.proto ├── readme.md ├── requirements.txt ├── scripts ├── __init__.py ├── cassandra │ ├── algotrader.cql │ └── algotrader.old.cql ├── eoddata_symbol_importer.py ├── event_calendar_downloader.py ├── gen_proto.sh ├── ib_inst_utils.py ├── kdb │ ├── bar.q │ ├── quote.q │ └── trade.q ├── netfronds_tickdata.py ├── start_mongo.sh └── vix_inst_importer.py ├── tests ├── __init__.py ├── integration_tests │ ├── __init__.py │ ├── test_data_store.py │ └── test_persistence_mongo.py ├── sample_factory.py ├── test_bar.py ├── test_bar_aggregator.py ├── test_broker.py ├── test_broker_mgr.py ├── test_clock.py ├── test_cmp_functional_backtest.py ├── test_config.py ├── test_data_series.py ├── test_data_series_utils.py ├── test_feed.py ├── test_in_memory_db.py ├── test_indicator.py ├── test_instrument_data.py ├── test_ma.py ├── test_market_data_processor.py ├── test_model_factory.py ├── 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