PyAlgoEngine — Algorithmic Trading Engine

PyAlgoEngine is a high-performance algorithmic trading engine written in Python, Cython, and C, designed for HFT (High-Frequency Trading) systems.

It provides C-level market data structures with shared-memory buffers, an event-driven engine architecture, backtesting with simulated order matching, exchange calendar profiles, and web-based visualization dashboards — all with Cython acceleration for latency-critical paths.

Homepage:

https://github.com/BolunHan/PyAlgoEngine

License:

MIT

Version:

0.12.3.post1

Features

  • C-Level Market Data — Tick, Bar, OrderBook, Transaction, Order, Trade types implemented in Cython/C with nanosecond timestamps and 128-bit IDs.

  • High-Performance Buffers — Shared-memory MarketDataBuffer, lock-free ConcurrentBuffer, ring buffer, and buffer cache.

  • Event-Driven Engine — Pub/sub event engine, market data service (MDS), algorithm engine, and trade engine with position/risk management.

  • Exchange Profiles — CN (A-share) and global exchange calendars with session phases, holiday schedules, and timezone handling.

  • Backtesting — Historical data replay, simulated order matching with configurable fees/latency, and trade performance metrics.

  • Strategy Framework — StrategyEngine and AlgoTemplate base classes with global singletons for rapid strategy development.

  • Web Visualization — Flask + Bokeh dashboards with candlestick charts and interactive strategy tester.

  • Compile-Time Tuning — Configure BOOK_SIZE, TICKER_SIZE, ID_SIZE, MAX_WORKERS at build time via environment variables.

User Guide

API Reference

Indices and Tables