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cuemacro / finmarketpy

Python library for backtesting trading strategies & analyzing financial markets (formerly pythalesians)
http://www.cuemacro.com
Apache License 2.0
3.41k stars 490 forks source link

Project goals, comparison with zipline #2

Open elyase opened 9 years ago

elyase commented 9 years ago

It would be great to have a a short section on project goals/philosophy and how it differs from existing libraries like quantopian/zipline, QuantLib, etc.

saeedamen commented 9 years ago

Thanks for the question! My first focus is on providing a simple wrapper for number of market data sources like Bloomberg, Yahoo etc. I also want to provide a wrapper for various visualisation libraries like Matplotlib, Plotly etc. These parts of the project could quite easily compliment zipline and QuantLib.

QuantLib is focused more on option pricing, so I definitely don't want to replicate that fully. Zipline is more focused toward backtesting trading strategies. I also want to include some backtesting capability for trading strategies eventually (I have this in testing currently for cash markets and also vanilla FX options) and maybe might integrate zipline into it as an alternative backtesting mechanism.

I've been in currency markets for a decade creating systematic trading models, so the direction I want to take the project is to do stuff that I've had problems with in the past. Hence, it end up being spreading across several different areas, as opposed to just one.