Apifiny Algo is a high performance trading library for High Frequency Trading (HFT) and latency sensitive traders. The library consists of TradingLib which offers direct market data access and a computation framework to create trading algo libraries and execution order management; and QuantLib for seamless trading algo implementation.
It is implemented in C++ but allows traders to code trading strategies in Python and JSON, offering flexibility and convenience without compromise of performance. It is connected to multiple exchanges (Binance, Binance US, FTX, Huobi, OKX, Coinbase and OKCoin).
One powerful feature is its JSON-based pseudo-language that uses C++ classes and parameters to construct computation nodes and network. The tool then uses market events and timer events to drive the computation network, generate trading signals and place orders efficiently. The psudo-language also handles risk formulations, simplifying portfolio trading and hedging.
TradingLib offers access to market data and advanced components for order management and back-testing. Coders, HFT traders can build their algo trading applications or libraries to trade, or use that for 3rd party distribution.
- ([Supports multiple major exchanges]) reference
- Supports Spot, Margin, Swap (Perpetual) and Futures trading (Support for Options trading is coming soon) reference
- Market data access
- Subscribe to order updates, balance and contract position data
- Order management and trading functionalities
- Place limit and IOC orders
- PnL and Fee calculation
- Timer, event management
- Preconfigured security master data
- Live trading control: pause, resume, liquidation, set position, set parameters
- Live status report
- Simulation engine: support back-testing and data generation
- Plugin mechanism to extend functionalities, allow users to add additional components, e.g. variables, strategies, historical data player, sampling mechanism and risk formula
QuantLib offers HFT traders professional tools to implement trading strategies
- TimeSampler, TradeSampler, BookSampler...
- MidPx, MktWPx, TradePx, TWAP, VWAP...
- Math variables: Add, Sub, Mul, Div, Sum, Abs, Mediam, Std ...
- Bool variables: GT, LT, WithInRange …
- Transform: Sigmoid …
- Alpha components: ReturnBetweenPm …
- Alphas: Basis …
- BaseStrategies, TakeStrategies, MakeStrategies, ArbStrategies, PortfolioStrategies ...