├── .gitignore ├── LICENSE ├── README.md ├── atpy ├── __init__.py ├── backtesting │ ├── __init__.py │ ├── data_replay.py │ ├── environments.py │ ├── mock_exchange.py │ └── random_strategy.py ├── data │ ├── __init__.py │ ├── cache │ │ ├── __init__.py │ │ ├── influxdb_cache.py │ │ ├── influxdb_cache_requests.py │ │ ├── lmdb_cache.py │ │ └── postgres_cache.py │ ├── intrinio │ │ ├── __init__.py │ │ ├── api.py │ │ └── influxdb_cache.py │ ├── iqfeed │ │ ├── __init__.py │ │ ├── bar_util.py │ │ ├── filters.py │ │ ├── iqfeed_bar_data_provider.py │ │ ├── iqfeed_history_provider.py │ │ ├── iqfeed_influxdb_cache.py │ │ ├── iqfeed_influxdb_cache_requests.py │ │ ├── iqfeed_level_1_provider.py │ │ ├── iqfeed_news_provider.py │ │ ├── iqfeed_postgres_cache.py │ │ └── util.py │ ├── latest_data_snapshot.py │ ├── quandl │ │ ├── __init__.py │ │ ├── api.py │ │ ├── influxdb_cache.py │ │ └── postgres_cache.py │ ├── splits_dividends.py │ ├── tradingcalendar.py │ ├── ts_util.py │ └── util.py ├── ibapi │ ├── __init__.py │ └── ib_events.py ├── ml │ ├── __init__.py │ ├── cross_validation.py │ ├── frac_diff_features.py │ ├── labeling.py │ └── util.py └── portfolio │ ├── __init__.py │ ├── order.py │ └── portfolio_manager.py ├── scripts ├── iqfeed_to_postgres_bars_1d.py ├── iqfeed_to_postgres_bars_1m.py ├── iqfeed_to_postgres_bars_5m.py ├── iqfeed_to_postgres_bars_60m.py ├── postgres_to_lmdb_bars_1d.py ├── postgres_to_lmdb_bars_1m.py ├── postgres_to_lmdb_bars_5m.py ├── postgres_to_lmdb_bars_60m.py ├── quandl_sf0_to_postgres.py ├── update_influxdb_cache.py ├── update_influxdb_fundamentals_cache.py ├── update_postgres_adjustments_cache.py └── update_postgres_cache.py ├── setup.py └── tests ├── __init__.py ├── backtesting ├── __init__.py ├── test_data_replay.py ├── test_environments.py └── test_mock_exchange.py ├── data ├── __init__.py ├── test_splits_dividends.py ├── test_talib.py └── test_ts_utils.py ├── ibapi ├── __init__.py └── test_ibapi.py ├── intrinio ├── __init__.py └── test_api.py ├── iqfeed ├── __init__.py ├── test_bar_data_provider.py ├── test_history_provider.py ├── test_iqfeed_influxdb_cache.py ├── test_iqfeed_influxdb_cache_requests.py ├── test_iqfeed_postgres_cache.py ├── test_news_provider.py └── test_streaming_level_1.py ├── ml ├── __init__.py ├── test_cross_validation.py ├── test_data_pipeline.py ├── test_data_util.py └── test_labeling.py ├── portfolio ├── __init__.py └── test_portfolio_manager.py └── quandl ├── __init__.py └── test_api.py /.gitignore: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/.gitignore -------------------------------------------------------------------------------- /LICENSE: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/LICENSE -------------------------------------------------------------------------------- /README.md: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/README.md -------------------------------------------------------------------------------- /atpy/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /atpy/backtesting/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /atpy/backtesting/data_replay.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/backtesting/data_replay.py -------------------------------------------------------------------------------- /atpy/backtesting/environments.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/backtesting/environments.py -------------------------------------------------------------------------------- /atpy/backtesting/mock_exchange.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/backtesting/mock_exchange.py -------------------------------------------------------------------------------- /atpy/backtesting/random_strategy.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/backtesting/random_strategy.py -------------------------------------------------------------------------------- /atpy/data/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /atpy/data/cache/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /atpy/data/cache/influxdb_cache.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/cache/influxdb_cache.py -------------------------------------------------------------------------------- /atpy/data/cache/influxdb_cache_requests.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/cache/influxdb_cache_requests.py -------------------------------------------------------------------------------- /atpy/data/cache/lmdb_cache.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/cache/lmdb_cache.py -------------------------------------------------------------------------------- /atpy/data/cache/postgres_cache.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/cache/postgres_cache.py -------------------------------------------------------------------------------- /atpy/data/intrinio/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /atpy/data/intrinio/api.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/intrinio/api.py -------------------------------------------------------------------------------- /atpy/data/intrinio/influxdb_cache.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/intrinio/influxdb_cache.py -------------------------------------------------------------------------------- /atpy/data/iqfeed/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /atpy/data/iqfeed/bar_util.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/iqfeed/bar_util.py -------------------------------------------------------------------------------- /atpy/data/iqfeed/filters.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/iqfeed/filters.py -------------------------------------------------------------------------------- /atpy/data/iqfeed/iqfeed_bar_data_provider.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/iqfeed/iqfeed_bar_data_provider.py -------------------------------------------------------------------------------- /atpy/data/iqfeed/iqfeed_history_provider.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/iqfeed/iqfeed_history_provider.py -------------------------------------------------------------------------------- /atpy/data/iqfeed/iqfeed_influxdb_cache.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/iqfeed/iqfeed_influxdb_cache.py -------------------------------------------------------------------------------- /atpy/data/iqfeed/iqfeed_influxdb_cache_requests.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/iqfeed/iqfeed_influxdb_cache_requests.py -------------------------------------------------------------------------------- /atpy/data/iqfeed/iqfeed_level_1_provider.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/iqfeed/iqfeed_level_1_provider.py -------------------------------------------------------------------------------- /atpy/data/iqfeed/iqfeed_news_provider.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/iqfeed/iqfeed_news_provider.py -------------------------------------------------------------------------------- /atpy/data/iqfeed/iqfeed_postgres_cache.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/iqfeed/iqfeed_postgres_cache.py -------------------------------------------------------------------------------- /atpy/data/iqfeed/util.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/iqfeed/util.py -------------------------------------------------------------------------------- /atpy/data/latest_data_snapshot.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/latest_data_snapshot.py -------------------------------------------------------------------------------- /atpy/data/quandl/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /atpy/data/quandl/api.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/quandl/api.py -------------------------------------------------------------------------------- /atpy/data/quandl/influxdb_cache.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/quandl/influxdb_cache.py -------------------------------------------------------------------------------- /atpy/data/quandl/postgres_cache.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/quandl/postgres_cache.py -------------------------------------------------------------------------------- /atpy/data/splits_dividends.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/splits_dividends.py -------------------------------------------------------------------------------- /atpy/data/tradingcalendar.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/tradingcalendar.py -------------------------------------------------------------------------------- /atpy/data/ts_util.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/ts_util.py -------------------------------------------------------------------------------- /atpy/data/util.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/data/util.py -------------------------------------------------------------------------------- /atpy/ibapi/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /atpy/ibapi/ib_events.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/ibapi/ib_events.py -------------------------------------------------------------------------------- /atpy/ml/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /atpy/ml/cross_validation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/ml/cross_validation.py -------------------------------------------------------------------------------- /atpy/ml/frac_diff_features.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/ml/frac_diff_features.py -------------------------------------------------------------------------------- /atpy/ml/labeling.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/ml/labeling.py -------------------------------------------------------------------------------- /atpy/ml/util.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/ml/util.py -------------------------------------------------------------------------------- /atpy/portfolio/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /atpy/portfolio/order.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/portfolio/order.py -------------------------------------------------------------------------------- /atpy/portfolio/portfolio_manager.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/atpy/portfolio/portfolio_manager.py -------------------------------------------------------------------------------- /scripts/iqfeed_to_postgres_bars_1d.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/scripts/iqfeed_to_postgres_bars_1d.py -------------------------------------------------------------------------------- /scripts/iqfeed_to_postgres_bars_1m.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/scripts/iqfeed_to_postgres_bars_1m.py -------------------------------------------------------------------------------- /scripts/iqfeed_to_postgres_bars_5m.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/scripts/iqfeed_to_postgres_bars_5m.py -------------------------------------------------------------------------------- /scripts/iqfeed_to_postgres_bars_60m.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/scripts/iqfeed_to_postgres_bars_60m.py -------------------------------------------------------------------------------- /scripts/postgres_to_lmdb_bars_1d.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/scripts/postgres_to_lmdb_bars_1d.py -------------------------------------------------------------------------------- /scripts/postgres_to_lmdb_bars_1m.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/scripts/postgres_to_lmdb_bars_1m.py -------------------------------------------------------------------------------- /scripts/postgres_to_lmdb_bars_5m.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/scripts/postgres_to_lmdb_bars_5m.py -------------------------------------------------------------------------------- /scripts/postgres_to_lmdb_bars_60m.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/scripts/postgres_to_lmdb_bars_60m.py -------------------------------------------------------------------------------- /scripts/quandl_sf0_to_postgres.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/scripts/quandl_sf0_to_postgres.py -------------------------------------------------------------------------------- /scripts/update_influxdb_cache.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/scripts/update_influxdb_cache.py -------------------------------------------------------------------------------- /scripts/update_influxdb_fundamentals_cache.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/scripts/update_influxdb_fundamentals_cache.py -------------------------------------------------------------------------------- /scripts/update_postgres_adjustments_cache.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/scripts/update_postgres_adjustments_cache.py -------------------------------------------------------------------------------- /scripts/update_postgres_cache.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/scripts/update_postgres_cache.py -------------------------------------------------------------------------------- /setup.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/setup.py -------------------------------------------------------------------------------- /tests/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/__init__.py -------------------------------------------------------------------------------- /tests/backtesting/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /tests/backtesting/test_data_replay.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/backtesting/test_data_replay.py -------------------------------------------------------------------------------- /tests/backtesting/test_environments.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/backtesting/test_environments.py -------------------------------------------------------------------------------- /tests/backtesting/test_mock_exchange.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/backtesting/test_mock_exchange.py -------------------------------------------------------------------------------- /tests/data/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /tests/data/test_splits_dividends.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/data/test_splits_dividends.py -------------------------------------------------------------------------------- /tests/data/test_talib.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/data/test_talib.py -------------------------------------------------------------------------------- /tests/data/test_ts_utils.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/data/test_ts_utils.py -------------------------------------------------------------------------------- /tests/ibapi/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /tests/ibapi/test_ibapi.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/ibapi/test_ibapi.py -------------------------------------------------------------------------------- /tests/intrinio/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /tests/intrinio/test_api.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/intrinio/test_api.py -------------------------------------------------------------------------------- /tests/iqfeed/__init__.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/iqfeed/__init__.py -------------------------------------------------------------------------------- /tests/iqfeed/test_bar_data_provider.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/iqfeed/test_bar_data_provider.py -------------------------------------------------------------------------------- /tests/iqfeed/test_history_provider.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/iqfeed/test_history_provider.py -------------------------------------------------------------------------------- /tests/iqfeed/test_iqfeed_influxdb_cache.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/iqfeed/test_iqfeed_influxdb_cache.py -------------------------------------------------------------------------------- /tests/iqfeed/test_iqfeed_influxdb_cache_requests.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/iqfeed/test_iqfeed_influxdb_cache_requests.py -------------------------------------------------------------------------------- /tests/iqfeed/test_iqfeed_postgres_cache.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/iqfeed/test_iqfeed_postgres_cache.py -------------------------------------------------------------------------------- /tests/iqfeed/test_news_provider.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/iqfeed/test_news_provider.py -------------------------------------------------------------------------------- /tests/iqfeed/test_streaming_level_1.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/iqfeed/test_streaming_level_1.py -------------------------------------------------------------------------------- /tests/ml/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /tests/ml/test_cross_validation.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/ml/test_cross_validation.py -------------------------------------------------------------------------------- /tests/ml/test_data_pipeline.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/ml/test_data_pipeline.py -------------------------------------------------------------------------------- /tests/ml/test_data_util.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/ml/test_data_util.py -------------------------------------------------------------------------------- /tests/ml/test_labeling.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/ml/test_labeling.py -------------------------------------------------------------------------------- /tests/portfolio/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /tests/portfolio/test_portfolio_manager.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/portfolio/test_portfolio_manager.py -------------------------------------------------------------------------------- /tests/quandl/__init__.py: -------------------------------------------------------------------------------- 1 | -------------------------------------------------------------------------------- /tests/quandl/test_api.py: -------------------------------------------------------------------------------- https://raw.githubusercontent.com/ivan-vasilev/atpy/HEAD/tests/quandl/test_api.py --------------------------------------------------------------------------------