Library Structure

There are 5 main components to QTPyLib:

  1. Blotter - handles market data retreival and processing.
  2. Broker - sends and proccess orders/positions (abstracted layer).
  3. Algo - (sub-class of Broker) communicates with the Blotter to pass market data to your strategies, and proccess/positions orders via Broker.
  4. Reports - provides real time monitoring of trades and open opsitions via Web App, as well as a simple REST API for trades, open positions and market data.
  5. Lastly, Your Strategies, which are sub-classes of Algo, handle the trading logic/rules and does most of its operation using the Instument API. This is where you’ll write most of your code.

The Workflow module is a utility module that includes a few handy methods for working with external data sources when backtesting (see the Data Workflow section for more info).

Please refer to the API Reference for complete list of available methods.

Flow Chart

QTPyLib Diagram