advanced-algorithmic-trading

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The design calls for the infrastructure to mirror that which might be found in a small quant
fund or family office quant arm. The functionality within QSTrader is highly modular and loosely
coupled.
The main components are the PriceHandler, Strategy, PortfolioHandler, PositionSizer,
RiskManager and ExecutionHandler. They handle portfolio/order management system and
brokerage connection functionality.
The system is event-driven and communicates via an events queue using subclassed Event
objects. The full list of components is as follows:
• Event - All "messages" of data within the system are encapsulated in an Event object.
The various events include TickEvent, BarEvent, SignalEvent, SentimentEvent,
OrderEvent and FillEvent.
• Position - This class encapsulates all data associated with an open position in an asset.
That is, it tracks the realised and unrealised profit and loss (PnL) by averaging the multiple
"legs" of the transaction, inclusive of transaction costs.
• Portfolio - The Portfolio class encapsulates a list of Positions, as well as a cash
balance, equity and PnL. This object is used by the PositionSizer and RiskManager
objects for portfolio construction and risk management purposes.
• PortfolioHandler - The PortfolioHandler class is responsible for the management of
the current Portfolio, interacting with the RiskManager and PositionSizer as well as
submitting orders to be executed by an ExecutionHandler.
• PriceHandler - The PriceHandler and derived subclasses are used to ingest financial
asset pricing data from various sources. In particular, there are separate class hierarchies
for bar and tick data.
• Strategy - The Strategy object and subclasses contain the "alpha generation" code for
creating trading signals.
• PositionSizer - The PositionSizer class provides the PortfolioHandler with guidance
on how to size positions once a strategy signal is received. For instance the PositionSizer
could incorporate a Kelly Criterion approach or carry out monthly rebalancing of a fixedweight
portfolio.
• RiskManager - The RiskManager is used by the PortfolioHandler to verify, modify
or veto any suggested trades that pass through from the PositionSizer, based on the
current composition of the portfolio and external risk considerations (such as correlation
to indices or volatility).
• ExecutionHandler - This object is tasked with sending orders to brokerages and receiving
"fills". For backtesting this behaviour is simulated, with realistic fees taken into account.
• Statistics - This is used to produce performance reports from backtests. A "tearsheet" capability
has recently been added providing detailed statistics on equity curve performance,
with benchmark comparison.