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Trading Strategy documentation

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Getting started
Overview
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Developing strategies
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- Setting up development environment
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- Code examples
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- Strategy examples
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  - Running the strategy backtests and examples
  - EMA crossover strategy
  - EMA cross over strategy with stop loss
  - Exploring the Power of Detached Technical Indicators
  - Portfolio construction model trading strategy example
  - Portfolio construction model example 2 (Trader Joe)
  - TradingView’s PineScript strategy conversion example
  - Grid search example
  - Synthetic data backtesting example
  - Synthetic data w/stop loss backtesting example
  - Backtesting fee analysis
  - Examining live trading strategy using notebook
  - Debugging live strategy
  - Osmosis ATOM-OSMO mean reversion strategy
  - Backtest template
  - Momentum Crossover Strategy
  - Osmosis synthetic data backtesting example
  - Examine live strategy 2
  - Long & Short direction mean reversion strategy with Bollinger Bands, Uniswap v3 on Polygon
  - Loading binance data into trading universe
  - Tags overview
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    - CEX (1)
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      - Loading binance data into trading universe
    - advanced (6)
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    - alpha-model (2)
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      - Portfolio construction model trading strategy example
      - Portfolio construction model example 2 (Trader Joe)
    - bollinger-bands (3)
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    - dark-theme (1)
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      - Osmosis ATOM-OSMO mean reversion strategy
    - debugging (1)
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      - Debugging live strategy
    - ema (10)
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    - fee-analysis (1)
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      - Backtesting fee analysis
    - get-started (4)
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    - grid-search (1)
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      - Grid search example
    - leverage (1)
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      - Long & Short direction mean reversion strategy with Bollinger Bands, Uniswap v3 on Polygon
    - live-strategy (3)
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    - mean-reversion (4)
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    - momentum (2)
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      - Momentum Crossover Strategy
      - Portfolio construction model trading strategy example
    - multipair (2)
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      - Portfolio construction model trading strategy example
      - Portfolio construction model example 2 (Trader Joe)
    - old (1)
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      - Backtest template
    - rsi (5)
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    - shorting (3)
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      - Loading binance data into trading universe
      - Long & Short direction mean reversion strategy with Bollinger Bands, Uniswap v3 on Polygon
    - sideloading (1)
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      - Loading binance data into trading universe
    - sma (1)
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      - Portfolio construction model example 2 (Trader Joe)
    - stop-loss (9)
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    - synthetic-data (5)
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    - template (1)
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      - Backtest template
    - trend-analysis (8)
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- Market data format details
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- Troubleshooting
- Internal development process
- Old example strategies
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Architecture
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Deploying live trading strategies
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Protocol
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- Overview
- Comparison
Learn algorithmic trading
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Glossary
API reference
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- Market data client
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  - client
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    - BaseClient
    - Client
  - chain
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    - ChainId
  - exchange
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  - pair
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  - candle
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  - liquidity
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  - trade
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    - Trade
  - timebucket
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    - TimeBucket
  - token
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    - Token
  - reader
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    - read_parquet
  - priceimpact
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  - stablecoin
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    - is_stablecoin_like
  - types
  - utils
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    - columnar
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      - iterate_columnar_dicts
    - format
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    - forward_fill
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      - forward_fill
    - groupeduniverse
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    - jupyter
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    - schema
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    - time
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  - transport
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    - base
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      - BaseTransport
    - cache
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    - data_trigger
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      - wait_for_data
    - jsonl
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      - load_candles_jsonl
      - load_trading_strategy_like_jsonl_data
    - pyodide
  - charting
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    - candle_chart
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  - testing
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    - mock_client
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      - MockClient
    - uniswap_v2_mock_client
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      - UniswapV2MockClient
  - direct_feed
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    - candle_feed
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      - CandleFeed
      - prepare_raw_candle_data
    - conversion
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      - CurrencyConversion
      - convert_to_float
    - dash
    - direct_feed_pair
    - ohlcv_aggregate
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    - store
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      - DirectFeedStore
    - synthetic_feed
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      - SyntheticTradeFeed
    - timeframe
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      - Timeframe
    - trade_feed
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      - SaveHook
      - Trade
      - TradeDelta
      - TradeFeed
    - trade_store
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      - ParquetFileStore
      - TradeFeedStore
    - uniswap_v2
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    - warn
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      - disable_pandas_warnings
- Trade execution engine
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  - state
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    - balance_update
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    - blockhain_transaction
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    - freeze
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      - freeze_position_on_failed_trade
    - generic_position
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      - GenericPosition
    - identifier
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    - interest
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      - Interest
    - interest_distribution
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    - loan
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      - Loan
      - LoanSide
    - metadata
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    - pickle_over_json
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      - decode_pickle_over_json
      - encode_pickle_over_json
    - portfolio
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      - Portfolio
    - position
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      - TradingPosition
      - TriggerPriceUpdate
    - repair
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    - reserve
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      - ReservePosition
    - retry
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      - rebroadcast_trade
      - retry_trades
    - revaluation
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      - RevalueEvent
    - state
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      - BacktestData
      - State
    - statistics
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    - store
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    - sync
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    - trade
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    - types
    - uptime
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      - Uptime
    - validator
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    - valuation
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      - ValuationUpdate
    - visualisation
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      - Plot
      - PlotKind
      - PlotLabel
      - PlotShape
      - RecordingTime
      - Visualisation
  - strategy
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    - account_correction
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    - alpha_model
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    - approval
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    - asset
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    - bootstrap
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    - cycle
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    - default_routing_options
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      - TradeRouting
    - description
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      - StrategyExecutionDescription
    - dummy
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      - DummyExecutionModel
    - dust
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      - get_dust_epsilon_for_asset
      - get_dust_epsilon_for_pair
    - engine_version
    - execution_context
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      - ExecutionContext
      - ExecutionMode
    - execution_model
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    - factory
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      - StrategyFactory
    - interest
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    - lending_protocol_leverage
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    - output
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    - pandas_trader
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      - alternative_market_data
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        load_candle_universe_from_dataframe
        
        load_candle_universe_from_parquet
        
        load_candles_from_dataframe
        
        load_candles_from_parquet
        
        replace_candles
        
        resample_multi_pair
        
        resample_single_pair
      - decision_trigger
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        UpdatedUniverseResult
        
        fetch_availability
        
        fetch_lending_data
        
        fetch_price_data
        
        update_universe
        
        validate_latest_candles
        
        wait_for_universe_data_availability_jsonl
      - indicator
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        CreateIndicatorsProtocolV1
        
        CreateIndicatorsProtocolV2
        
        DiskIndicatorStorage
        
        IndicatorDefinition
        
        IndicatorKey
        
        IndicatorResult
        
        IndicatorSet
        
        IndicatorSource
        
        IndicatorStorage
        
        MemoryIndicatorStorage
        
        calculate_and_load_indicators
        
        calculate_indicators
        
        call_create_indicators
        
        load_indicators
        
        prepare_indicators
        
        setup_indicator_multiprocessing
        
        validate_function_kwargs
        
        warm_up_indicator_cache
      - position_manager
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        PositionManager
        
        explain_open_position_failure
      - rebalance
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        get_existing_portfolio_weights
        
        get_weight_diffs
        
        rebalance_portfolio_old
      - runner
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        PandasTraderRunner
      - strategy_input
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        StrategyInput
        
        StrategyInputIndicators
    - parameters
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      - CoreStrategyParameters
      - StrategyParameters
    - pricing_model
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      - PricingModel
    - qstrader
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      - alpha_model
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        AlphaModel
      - order_sizer
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        CashBufferedOrderSizer
      - portfolio_construction_model
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        PortfolioConstructionModel
      - runner
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        QSTraderRunner
    - reserve_currency
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      - ReserveCurrency
    - reverse_universe
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      - DataRangeMode
      - reverse_trading_universe_from_state
    - routing
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      - RoutingModel
      - RoutingState
    - run_state
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    - runner
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      - StrategyRunner
      - post_process_trade_decision
    - stop_loss
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      - check_position_triggers
      - report_position_triggered
    - strategy_cycle_trigger
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      - StrategyCycleTrigger
    - strategy_module
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    - strategy_type
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      - StrategyType
    - summary
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    - sync_model
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    - tag
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      - StrategyTag
    - trade_pricing
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    - trading_strategy_universe
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    - universe_model
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    - valuation
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    - weighting
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  - analysis
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    - advanced_metrics
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    - alpha_model_analyser
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    - curve
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      - CurveType
    - fee_analyser
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      - analyse_trading_fees
      - create_pair_trading_fee_summary_table
    - grid_search
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    - multi_asset_benchmark
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    - multipair
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    - position
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      - display_positions
      - display_reserve_position_events
    - single_pair
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      - expand_entries_and_exits
    - slippage
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      - display_slippage
    - stop_loss
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      - analyse_stop_losses
      - analyse_trigger_updates
    - trade_analyser
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    - universe
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      - analyse_long_short_universe
  - visual
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    - benchmark
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    - custom_indicators
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      - calculate_on_balance_volume
    - equity_curve
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    - grid_search
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      - visualise_grid_search_equity_curves
      - visualise_single_grid_search_result_benchmark
    - image_output
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    - multiple_pairs
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    - qs_wrapper
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      - import_quantstats_wrapped
    - single_pair
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    - strategy_state
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    - technical_indicator
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    - utils
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    - web_chart
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  - backtest
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    - backtest_execution
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      - BacktestExecution
      - fix_sell_token_amount
    - backtest_generic_router
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      - EthereumBacktestPairConfigurator
    - backtest_module
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      - run_backtest_for_module
    - backtest_pricing
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      - BacktestPricing
      - backtest_pricing_factory
    - backtest_routing
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    - backtest_runner
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    - backtest_sync
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      - BacktestSyncModel
      - FundFlowEvent
    - backtest_valuation
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      - BacktestValuationModel
      - backtest_valuation_factory
    - data_preload
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      - preload_data
    - grid_search
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    - legacy_backtest_sync
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      - BacktestSyncer
    - notebook
    - simulated_wallet
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      - SimulatedWallet
    - tearsheet
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      - BacktestReporter
      - export_backtest_report
  - ethereum
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    - enzyme
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      - asset
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        EnzymeAsset
        
        EnzymeAssetType
        
        load_enzyme_asset_list
      - tx
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        EnzymeTransactionBuilder
      - vault
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        EnzymeVaultSyncModel
    - eth_pricing_model
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      - EthereumPricingModel
    - eth_valuation
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      - EthereumPoolRevaluator
    - ethereum_protocol_adapters
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    - ethereumtrader
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    - execution
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    - hot_wallet_sync_model
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      - HotWalletSyncModel
      - EthereumHotWalletReserveSyncer
    - onchain_balance
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      - fetch_address_balances
    - one_delta
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      - analysis
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        analyse_credit_trade_by_receipt
        
        analyse_leverage_trade_by_receipt
        
        analyse_one_delta_trade
        
        decode_path
      - one_delta_execution
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        OneDeltaExecution
      - one_delta_live_pricing
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        OneDeltaLivePricing
        
        one_delta_live_pricing_factory
      - one_delta_routing
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        OneDeltaRouting
        
        OneDeltaRoutingState
        
        get_one_delta
      - one_delta_valuation
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        OneDeltaPoolRevaluator
        
        one_delta_valuation_factory
    - rebroadcast
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      - rebroadcast_all
    - revert
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      - clean_revert_reason_message
    - routing_data
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    - routing_model
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      - EthereumRoutingModel
    - routing_state
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    - swap
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    - token
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      - fetch_token_as_asset
      - translate_token_details
    - tx
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      - HotWalletTransactionBuilder
      - TransactionBuilder
    - uniswap_v2
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      - uniswap_v2_execution
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        UniswapV2Execution
        
        get_current_price
      - uniswap_v2_execution_v0
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        UniswapV2ExecutionModelVersion0
        
        UniswapV2RoutingInstructions
        
        broadcast_and_resolve
        
        resolve_trades
      - uniswap_v2_live_pricing
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        UniswapV2LivePricing
        
        uniswap_v2_live_pricing_factory
      - uniswap_v2_routing
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        UniswapV2Routing
        
        UniswapV2RoutingState
        
        get_uniswap_for_pair
      - uniswap_v2_valuation
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        UniswapV2PoolRevaluator
        
        uniswap_v2_sell_valuation_factory
      - uniswap_v2_valuation_v0
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        UniswapV2PoolValuationMethodV0
        
        uniswap_v2_sell_valuation_factory
    - uniswap_v3
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      - uniswap_v3_execution
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        UniswapV3Execution
        
        get_current_price
      - uniswap_v3_live_pricing
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        UniswapV3LivePricing
        
        uniswap_v3_live_pricing_factory
      - uniswap_v3_routing
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        UniswapV3Routing
        
        UniswapV3RoutingState
        
        get_uniswap_for_pair
      - uniswap_v3_valuation
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        UniswapV3PoolRevaluator
        
        uniswap_v3_sell_valuation_factory
    - universe
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      - create_exchange_universe
      - create_pair_universe
    - wallet
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    - web3config
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      - Web3Config
  - cli
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    - approval
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      - CLIApprovalModel
    - backup
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      - backup_state
    - bootstrap
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    - close_all
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      - close_all
    - commands
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      - app
      - backtest
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        backtest
      - check_accounts
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        check_accounts
      - check_universe
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        check_universe
      - check_wallet
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        check_wallet
      - close_all
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        close_all
      - console
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        console
        
        launch_console
      - correct_accounts
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        correct_accounts
      - enzyme_asset_list
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        enzyme_asset_list
      - enzyme_deploy_vault
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        enzyme_deploy_vault
      - export
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        export
        
        walk_all_typer_options
      - hello
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        hello
      - init
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        init
      - perform_test_trade
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        construct_identifier_from_pair
        
        parse_pair_data
        
        perform_test_trade
      - repair
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        repair
      - reset
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        reset
      - reset_deposits
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        reset_deposits
      - retry
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        retry
      - shared_options
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        required_option
      - show_positions
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        PositionType
        
        show_positions
      - start
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        start
      - version
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        version
      - visualise
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        visualise
    - discord
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      - get_discord_logging_handler
      - post_logging_discord_image
    - env
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      - EnvVarDescription
      - get_available_env_vars
    - latest_release
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      - main
    - log
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    - loop
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      - ExecutionLoop
      - ExecutionTestHook
    - main
    - result
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      - display_backtesting_results
    - testtrade
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      - make_test_trade
    - version_info
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      - VersionInfo
    - watchdog
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  - utils
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    - accuracy
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    - binance
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      - create_binance_universe
      - fetch_binance_dataset
    - blockchain
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      - get_block_timestamp
      - get_latest_block_timestamp
    - cpu
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      - get_safe_max_workers_count
    - crossover
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      - contains_cross_over
      - contains_cross_under
    - dataclass
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      - EthereumAddress
      - UTCFriendlyDataClassJsonMixin
    - default_strategies
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      - get_default_strategies_path
    - format
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      - calculate_percentage
    - fullname
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      - get_object_full_name
    - jupyter_notebook_folder
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      - get_strategies_folder
    - jupyter_notebook_name
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      - get_notebook_name
      - path
    - leverage_calculations
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    - notebook
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      - OutputMode
      - setup_charting_and_output
    - price
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      - is_legit_price_value
    - python_module_loader
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      - extract_module_members
      - import_python_source_file
    - ring_buffer_logging_handler
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      - ExportedRecord
      - RingBufferHandler
    - sort
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      - unique_sort
    - state_downloader
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      - download_state
    - summarydataframe
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      - Format
      - Value
      - as_bars
      - as_decimal
      - as_dollar
      - as_duration
      - as_integer
      - as_missing
      - as_percent
      - create_summary_table
      - format_value
      - format_values
    - timer
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      - timed_task
    - timestamp
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    - typing
    - url
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      - get_url_domain
      - redact_url_password
  - webhook
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    - api
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      - web_chart
      - web_file
      - web_home
      - web_icon
      - web_logs
      - web_metadata
      - web_notify
      - web_ping
      - web_source
      - web_state
      - web_status
      - web_visulisation
    - app
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    - error
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    - events
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      - add_cors_headers
    - http_log
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      - configure_http_request_logging
      - log_tween_factory
    - server
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      - WebhookServer
      - create_webhook_server
  - testing
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    - backtest_trader
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      - BacktestTrader
    - dummy_wallet
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      - DummyWalletSyncer
      - apply_sync_events
    - ethereumtrader_one_delta
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      - OneDeltaTestTrader
    - ethereumtrader_uniswap_v2
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direct_feed_pair#

API documentation for tradingstrategy.direct_feed.direct_feed_pair Python module in Trading Strategy.

Module description#

ohlcv_aggregate

Trading Strategy is in beta and still under development. Any documentation is preliminary and not final.

Contents

direct_feed_pair
- Module description