README.rst

pysentosa - Python API for sentosa trading system

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• pysentosa is the Python API for sentosa trading system written by Wu Fuheng

• WebSite: http://www.quant365.com (Quant365 - Trading with Science and Technology)

• OS: Linux Ubuntu 15.10 64bit

• Installation:

  GITURL=https://raw.githubusercontent.com/henrywoo/pysentosa/master
  wget $GITURL/install_nanomsg.sh -O install_nanomsg.sh
  chmod u+x install_nanomsg.sh
  ./install_nanomsg.sh
  
  wget $GITURL/install_yaml_cpp.sh -O install_yaml_cpp.sh
  chmod u+x install_yaml_cpp.sh
  ./install_yaml_cpp.sh
  
  sudo apt-get install -y python-pip libboost-all-dev
  sudo pip install -U pysentosa pyyaml netifaces websocket-client nanomsg \
    setproctitle psutil

• Launch your IB TWS.

• Run your strategy to trade

  Run demo:

  from pysentosa.demo import run_demo
  run_demo()

  Sample code:

  from pysentosa import Merlion
  from ticktype import *
  
  m = Merlion()
  target = 'SPY'
  m.track_symbol([target, 'BITA'])
  bounds = {target: [220, 250]}
  while True:
    symbol, ticktype, value = m.get_mkdata()
    if symbol == target:
      if ticktype == ASK_PRICE and value < bounds[symbol][0]:
          oid = m.buy(symbol, 5)
          while True:
              ord_st = m.get_order_status(oid)
              print ORDSTATUS[ord_st]
              if ord_st == FILLED:
                  bounds[symbol][0] -= 20
                  break
              sleep(2)
      elif ticktype == BID_PRICE and value > bounds[symbol][1]:
          oid = m.sell(symbol, 100)
          bounds[symbol][1] += 20