OlympusTrader.broker package¶

Submodules¶

OlympusTrader.broker.alpaca_broker module¶

class OlympusTrader.broker.alpaca_broker.AlpacaBroker(paper: bool, feed: DataFeed = DataFeed.IEX, verbose: int = 0, **kwargs)¶

Bases: BaseBroker

HISTORICAL_DATA: dict[str, dict[Literal['trade', 'quote', 'bar', 'news', 'signals'], DataFrame]] = {}¶

cancel_order(order_id)¶: Cancel an order by order_id

async closeStream(assetStreams)¶

async closeTradeStream()¶: Close the trade stream

close_all_positions()¶: Close all open positions and cancel all open orders

close_position(symbol, qty=None, percent=None)¶: Close a position by symbol

crypto_client: CryptoHistoricalDataClient = None¶

crypto_stream_client: CryptoDataStream = None¶

execute_insight_order(insight: Insight, asset: IAsset) → IOrder | None¶: Manage insight order by planing entry and exit orders for a given insight

format_on_bar(bar: Bar | DataFrame | Series)¶: Format stream bar data to { symbol: str, bar: -> open, high, low, close, volume} - (data={}, index=MultiIndex[(str, pd.Timestamp), names=[‘symbol’, ‘timestamp’]], columns=[‘open’, ‘high’, ‘low’, ‘close’, ‘volume’]):

format_on_quote(quote: Quote)¶: Format stream quote data

format_on_trade_update(trade: TradeUpdate)¶: Format stream Trade Order data and event

format_order(order: Order) → IOrder¶: Format stream Order data

format_position(position: Position) → IPosition¶

get_account()¶: Get account information

get_history(asset: ~OlympusTrader.broker.interfaces.IAsset, start: <module 'datetime' from '/home/docs/.asdf/installs/python/3.12.10/lib/python3.12/datetime.py'>, end: <module 'datetime' from '/home/docs/.asdf/installs/python/3.12.10/lib/python3.12/datetime.py'>, resolution: ~OlympusTrader.utils.timeframe.ITimeFrame)¶: Get historical data for a given asset open, high, low, close, volume

get_latest_quote(asset: IAsset)¶: Get the latest quote for a given asset

get_order(order_id)¶: Get order by order_id

get_orders()¶: Get all orders

get_position(symbol)¶: Get position by symbol

get_positions()¶: Get all open positions

get_ticker_info(symbol)¶: Get ticker information by symbol

async startTradeStream(callback: Awaitable)¶: Listen to trades and order updates and call the callback function with the data

stock_client: StockHistoricalDataClient = None¶

stock_stream_client: StockDataStream = None¶

async streamMarketData(callback: Awaitable, assetStreams)¶: Listen to market data and call the callback function with the data

trade_stream_client: TradingStream = None¶

trading_client: TradingClient = None¶

update_order(order_id: str, price: float, qty: float) → IOrder | None¶: Update an order by order_id

OlympusTrader.broker.base_broker module¶

class OlympusTrader.broker.base_broker.BaseBroker(name: ISupportedBrokers = ISupportedBrokers.BASE, paper: bool = True, feed: str | None = None, verbose: int = 0)¶

Bases: ABC

BACKTEST_FlOW_CONTROL: AsyncStepCoordinator = <OlympusTrader.utils.asyncStepCoordinator.AsyncStepCoordinator object>¶

DataFeed: str | None¶

LOGGER: Logger = None¶

NAME: ISupportedBrokers = 'BaseBroker'¶

PAPER: bool¶

RUNNING_MARKET_STREAM: bool = False¶

RUNNING_TRADE_STREAM: bool = False¶

TICKER_INFO: dict[str, IAsset] = {}¶

VERBOSE: int = 0¶

abstractmethod cancel_order(order_id: str) → str | None¶: Cancel an order by order_id

abstractmethod async closeStream(assetStreams: List[IMarketDataStream])¶

abstractmethod async closeTradeStream()¶: Close the trade stream

abstractmethod close_all_positions()¶: Close all open positions and cancel all open orders

abstractmethod close_position(symbol: str, qty: float | None = None, percent: float | None = None) → IOrder | None¶: Close a position by symbol

abstractmethod execute_insight_order(insight: Insight, asset: IAsset) → IOrder | None¶: Manage insight order by planing entry and exit orders for a given insight

abstractmethod format_on_bar(bar: Any, symbol: str | None = None) → DataFrame | None¶: Format stream bar data to { symbol: str, bar: -> open, high, low, close, volume} - (data={}, index=MultiIndex[(str, pd.Timestamp), names=[‘symbol’, ‘timestamp’]], columns=[‘open’, ‘high’, ‘low’, ‘close’, ‘volume’]):

abstractmethod format_on_quote(quote: Any) → IQuote¶: Format stream quote data

abstractmethod format_on_trade_update(trade: Any) → tuple[IOrder, ITradeUpdateEvent]¶: Format stream Trade Order data and event

abstractmethod format_order(order: Any) → IOrder¶: Format stream Order data

abstractmethod get_account() → IAccount¶: Get account information

property get_current_time: datetime¶: Get the current broker time

abstractmethod get_history(asset: ~OlympusTrader.broker.interfaces.IAsset, start=datetime.datetime(2025, 12, 9, 12, 9, 34, 424562), end=datetime.datetime(2025, 12, 16, 12, 9, 34, 424568), resolution=<OlympusTrader.utils.timeframe.ITimeFrame object>) → DataFrame¶: Get historical data for a given asset open, high, low, close, volume

abstractmethod get_latest_quote(asset: IAsset) → IQuote¶: Get the latest quote for a given asset

abstractmethod get_order(order_id) → IOrder | None¶: Get order by order_id

abstractmethod get_orders() → dict[str, IOrder] | None¶: Get all orders

abstractmethod get_position(symbol) → IPosition¶: Get position by symbol

abstractmethod get_positions() → dict[str, IPosition]¶: Get all open positions

abstractmethod get_ticker_info(symbol: str) → IAsset | None¶: Get ticker information by symbol

abstractmethod async startTradeStream(callback: Awaitable)¶: Listen to trades and order updates and call the callback function with the data

abstractmethod async streamMarketData(callback: Awaitable, assetStreams: List[IMarketDataStream])¶: Listen to market data and call the callback function with the data

supportedFeatures: ISupportedBrokerFeatures¶

abstractmethod update_order(order_id: str, price: float, qty: float) → IOrder | None¶: Update an order by order_id

OlympusTrader.broker.interfaces module¶

class OlympusTrader.broker.interfaces.IAccount(account_id: str, equity: float, cash: float, currency: str, buying_power: float, shorting_enabled: bool, leverage: float)¶

Bases: object

account_id: str¶

buying_power: float¶

cash: float¶

currency: str¶

equity: float¶

leverage: float¶

shorting_enabled: bool¶

class OlympusTrader.broker.interfaces.IAccountState¶

Bases: TypedDict

account: IAccount¶

orders: List[IOrder]¶

positions: dict[str, IPosition]¶

class OlympusTrader.broker.interfaces.IAsset¶

Bases: TypedDict

asset_type: Literal['stock', 'crypto', 'forex']¶

contract_size: NotRequired[int]¶

exchange: str¶

fractionable: bool¶

id: str¶

marginable: bool¶

max_order_size: NotRequired[float]¶

min_order_size: float¶

min_price_increment: float¶

name: str¶

price_base: NotRequired[int]¶

quantity_base: NotRequired[int]¶

shortable: bool¶

status: Literal['active', 'inactive']¶

symbol: str¶

tradable: bool¶

class OlympusTrader.broker.interfaces.IOrder¶

Bases: TypedDict

asset: IAsset¶

created_at: datetime¶

filled_at: datetime | None¶

filled_price: float | None¶

filled_qty: float¶

legs: IOrderLegs | None¶

limit_price: float¶

order_class: IOrderClass¶

order_id: str | UUID¶

qty: float¶

side: IOrderSide¶

status: ITradeUpdateEvent¶

stop_price: float | None¶

submitted_at: datetime¶

time_in_force: ITimeInForce¶

type: IOrderType¶

updated_at: datetime¶

class OlympusTrader.broker.interfaces.IOrderClass(*values)¶

Bases: Enum

BRACKET = 'bracket'¶

OCO = 'oco'¶

OTO = 'oto'¶

SIMPLE = 'simple'¶

TRO = 'tro'¶

class OlympusTrader.broker.interfaces.IOrderLeg¶

Bases: TypedDict

created_at: datetime¶

filled_at: datetime | None¶

filled_price: float | None¶

limit_price: float¶

order_class: IOrderClass¶

order_id: str¶

status: ITradeUpdateEvent¶

submitted_at: datetime¶

type: IOrderType¶

updated_at: datetime¶

class OlympusTrader.broker.interfaces.IOrderLegs¶

Bases: TypedDict

stop_loss: IOrderLeg | None¶

take_profit: IOrderLeg | None¶

trailing_stop: IOrderLeg | None¶

class OlympusTrader.broker.interfaces.IOrderRequest¶

Bases: TypedDict

limit_price: float¶

order_class: IOrderClass¶

qty: float¶

side: IOrderSide¶

stop_loss: float¶

symbol: str¶

take_profit: float¶

time_in_force: ITimeInForce¶

trail_price: float¶

type: IOrderType¶

class OlympusTrader.broker.interfaces.IOrderSide(*values)¶

Bases: Enum

Order Side.

BUY = 'Long'¶

SELL = 'Short'¶

class OlympusTrader.broker.interfaces.IOrderType(*values)¶

Bases: Enum

Order Type.

LIMIT = 'Limit'¶

MARKET = 'Market'¶

STOP = 'Stop'¶

STOP_LIMIT = 'Stop_limit'¶

TRAILING_STOP = 'Trailing_stop'¶

class OlympusTrader.broker.interfaces.IPosition¶

Bases: TypedDict

asset: IAsset¶

avg_entry_price: float¶

cost_basis: float¶

current_price: float¶

margin_required: float | None = 0¶: BackTesting param: The margin required for leveraged positions

market_value: float¶

qty: float¶

side: IOrderSide¶

unrealized_pl: float¶

class OlympusTrader.broker.interfaces.IQuote¶

Bases: TypedDict

ask: float¶

ask_size: float¶

bid: float¶

bid_size: float¶

symbol: str¶

timestamp: datetime¶

volume: float¶

class OlympusTrader.broker.interfaces.ISupportedBrokerFeatures(barDataStreaming: bool = True, tradeEventStreaming: bool = True, featuredBarDataStreaming: bool = True, submitOrder: bool = True, maxOrderValue: float = None, cancelOrder: bool = True, closePosition: bool = True, getAccount: bool = True, getPosition: bool = True, getPositions: bool = True, getHistory: bool = True, getQuote: bool = True, getTickerInfo: bool = True, leverage: bool = True, shorting: bool = True, margin: bool = True, bracketOrders: bool = True, trailingStop: bool = True)¶

Bases: object

Supported Broker Features.

barDataStreaming: bool = True¶

bracketOrders: bool = True¶

cancelOrder: bool = True¶

closePosition: bool = True¶

featuredBarDataStreaming: bool = True¶

getAccount: bool = True¶

getHistory: bool = True¶

getPosition: bool = True¶

getPositions: bool = True¶

getQuote: bool = True¶

getTickerInfo: bool = True¶

leverage: bool = True¶

margin: bool = True¶

maxOrderValue: float = None¶

shorting: bool = True¶

submitOrder: bool = True¶

tradeEventStreaming: bool = True¶

trailingStop: bool = True¶

class OlympusTrader.broker.interfaces.ISupportedBrokers(*values)¶

Bases: Enum

Supported Brokers.

ALPACA = 'AlpacaBroker'¶

BASE = 'BaseBroker'¶

CCXT = 'CCXTBroker'¶

MT5 = 'MetaTrader5Broker'¶

PAPER = 'PaperBrokerr'¶

T212 = 'TradingTwoOneTwoBroker'¶

TV = 'TradingViewBroker'¶

class OlympusTrader.broker.interfaces.ITimeInForce(*values)¶

Bases: Enum

DAY = 'day'¶

FOK = 'fok'¶

GTC = 'gtc'¶

IOC = 'ioc'¶

OPG = 'opg'¶

class OlympusTrader.broker.interfaces.ITradeUpdate(order: IOrder, event: ITradeUpdateEvent)¶: Bases: object

class OlympusTrader.broker.interfaces.ITradeUpdateEvent(*values)¶

Bases: Enum

Trade Update Event.

ACCEPTED = 'accepted'¶

CANCELED = 'canceled'¶

CLOSED = 'closed'¶

EXPIRED = 'expired'¶

FILLED = 'fill'¶

NEW = 'new'¶

PARTIAL_FILLED = 'partial_filled'¶

PENDING_NEW = 'pending_new'¶

REJECTED = 'rejected'¶

REPLACED = 'replaced'¶

OlympusTrader.broker.mt5_broker module¶

OlympusTrader.broker.paper_broker module¶

class OlympusTrader.broker.paper_broker.PaperBroker(cash: float = 100000.0, start_date: date = None, end_date: date = None, leverage: int = 4, currency: str = 'GBP', allow_short: bool = True, mode: IStrategyMode = IStrategyMode.BACKTEST, feed: Literal['yf', 'eod'] = 'yf', feedDelay: int = 0, verbose: int = 0)¶

Bases: BaseBroker

ACCOUNT: IAccount = None¶

ACCOUNT_HISTORY: dict[date, IAccount] = {}¶

ACTIVE_ORDERS: deque[IOrder] = deque([])¶

property Account: IAccount¶: Returns the state of the strategy.

CANCELED_ORDERS: deque[IOrder] = deque([])¶

CLOSE_ORDERS: deque[IOrder] = deque([])¶

CurrentTime: datetime = None¶

END_DATE: datetime = None¶

FeedDelay: int = 0¶

HISTORICAL_DATA: dict[str, dict[Literal['trade', 'quote', 'bar', 'news', 'signals'], DataFrame]] = {}¶

LEVERAGE: int = 4¶

MODE: IStrategyMode = 'Backtest'¶

Orders: dict[UUID, IOrder] = {}¶

PENDING_ORDERS: deque[IOrder] = deque([])¶

Positions: dict[str, dict[UUID, IPosition]] = {}¶

PreviousTime: datetime = None¶

STARTING_CASH: float = 100000.0¶

START_DATE: datetime = None¶

UPDATE_ORDERS: deque[IOrder] = deque([])¶

VERBOSE: int = 0¶

cancel_order(order_id: str)¶: Cancel an order by order_id

async closeStream(assetStreams: List[IMarketDataStream])¶

async closeTradeStream()¶: Close the trade stream

close_all_positions()¶: Close all open positions and cancel all open orders

close_position(symbol: str, qty=None, percent=None)¶: Close a position by symbol

execute_insight_order(insight: Insight, asset: IAsset)¶: Manage insight order by planing entry and exit orders for a given insight

export_trade_log(filename='trade_log.csv')¶

export_vbt_signals(asset, filename='vbt_signals.csv')¶

format_on_bar(bar, symbol: str)¶: Format stream bar data to { symbol: str, bar: -> open, high, low, close, volume} - (data={}, index=MultiIndex[(str, pd.Timestamp), names=[‘symbol’, ‘timestamp’]], columns=[‘open’, ‘high’, ‘low’, ‘close’, ‘volume’]):

format_on_quote(quote)¶: Format stream quote data

format_on_trade_update(trade: ITradeUpdate)¶: Format stream Trade Order data and event

format_order(order) → IOrder¶: Format stream Order data

get_VBT_results(timeFrame: ITimeFrame) → dict[str, Portfolio]¶: returns the backtest results from Vector BT - profit and loss, profit and loss percentage, number of orders executed and filled, cag sharp rattio, percent win. etc.

get_account()¶: Get account information

property get_current_time: datetime¶: Get the current broker time

get_history(asset: IAsset, start: datetime, end: datetime, resolution: ITimeFrame, shouldDelta: bool = True) → DataFrame¶: Get historical data for a given asset open, high, low, close, volume

get_latest_quote(asset: IAsset) → IQuote¶: Get the latest quote for a given asset

get_order(order_id)¶: Get order by order_id

get_orders()¶: Get all orders

get_position(symbol: str, mode: Literal['all', 'active'] = 'active')¶: Get position by symbol

get_positions(mode: Literal['all', 'active'] = 'active')¶: Get all open positions

get_ticker_info(symbol: str)¶: Get ticker information by symbol

async processActiveOrders(callback: Awaitable)¶: Process active orders that are either filled or partially filled. This method checks for take profit and stop loss conditions and updates the order status accordingly. It also updates the position information and calculates the P&L for filled positions.

async processCanceledOrders(callback: Awaitable)¶: Process canceled orders that are either canceled or pending new. This method cancels pending orders and removes it from the PENDING_ORDERS and UPDATE_ORDERS.

async processClosedOrders(callback: Awaitable)¶: Process closed orders that are either filled or closed. This method updates the order status to CLOSED and sets the stop price to the current bar’s open price. It also updates the filled quantity and filled at time.

async processPendingOrders(callback: Awaitable)¶: Process pending orders that are either new or accepted. This method checks the current market conditions and fills market orders immediately. It also processes limit orders based on the current bar’s high and low prices.

async processUpdateOrders(callback: Awaitable)¶

setCurrentTime(time: datetime)¶

async startTradeStream(callback)¶: Listen to trades and order updates and call the callback function with the data

async streamMarketData(callback, assetStreams)¶

Listen to market data and call the async callback with the data.

Important: callback must be an async callable: async def callback(bar, timeframe=…).

update_account_balance()¶

update_account_history()¶

update_order(order_id: str, price: float, qty: float)¶: Update an order by order_id

OlympusTrader.broker package¶

Submodules¶

OlympusTrader.broker.alpaca_broker module¶

OlympusTrader.broker.base_broker module¶

OlympusTrader.broker.interfaces module¶

OlympusTrader.broker.mt5_broker module¶

OlympusTrader.broker.paper_broker module¶

Module contents¶