There are 5 main components to QTPyLib:
Blotter- handles market data retrieval and processing.
Broker- sends and process orders/positions (abstracted layer).
Algo- (sub-class of
Broker) communicates with the
Blotterto pass market data to your strategies, and process/positions orders via
Reports- provides real-time monitoring of trades and open positions via Web App, as well as a simple REST API for trades, open positions, and market data.
- 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.
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 a complete list of available methods.