Trading cryptocurrencies with julia.
Backtest.jl is a julia project that I wrote to do stuff with cryptocurrencies trading. Currently it hooks to the ccxt python library to connect to exchanges apis, for now just to fetch ohlcv data.
OHLCV data is sanitized and saved using Zarr.jl
There are methods to filter pairs which is what I call the markets that you trade with, composed of the base currency and quote currency, like
It is possible to resample (downsample) the ohlcv data from smaller timeframes to larger ones.
A simple CLI allows to download and resample the data such that a cron job can be setup to download data perioadically.
There are some basic plotting utilities based on the echarts library through the pycharts python wrapper. There is also Echarts.jl but had some issues with it. I might just work with just creating the echarts js configurations my self in the future depending on how pyecharts progresses.
I played a little with some orderbook data ,and orderbook imbalance, through the OrderBook module.
Analysis module instead deals with indicators and feature filtering. It is backed by
Indicators.jl package, and the
CausalityTools.jl package for correlations.
Other funny indicators which I transposed from a book you can easily find on the web are provided by the modules
Violations for shorting and
Considerations for longing.