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3339913 3d257f3 3339913 3d257f3 3339913 3d257f3 3339913 | 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 | # Algorithmic Trading
FinRL reinforcement-learning trading with Alpaca execution, plus Yahoo Finance OHLCV as the default public tape. Parallel LLC.
This is **research and paper-trading infrastructure**. Live capital requires a separate evaluation contract, feature-parity tests, and a rewritten execution path. Do not treat `paper_trading: false` as a promotion gate.
---
## 1. Title and Summary
**Algorithmic Trading**
Ingest OHLCV, compute indicators or train a FinRL policy, size orders under position and drawdown caps, route to paper or live Alpaca.
GitHub `main` is the FinRL / Docker / Streamlit tree plus algotrader 2.0. `dev` is the integration branch. Yahoo is the default `data_source.type`.
**Design themes**
* Four ingest paths: CSV replay, synthetic GBM, Alpaca REST, Yahoo (`yfinance>=1.0`)
* FinRL policies (PPO, A2C, DDPG, TD3) on a Gymnasium-style environment
* Alpaca for authenticated market data and order routing (paper by default)
* Yahoo for delayed public bars when no broker key is available
* Secrets from environment (`ALPACA_API_KEY`, `ALPACA_SECRET_KEY`), never committed
* Tests and Docker/CI as already present on this tree
---
## 2. Concepts and Methods
### Market data
| Source | When to use | Failure modes |
| ------ | ----------- | ------------- |
| **CSV** | Offline replay; default in `config.yaml` | Missing path or OHLCV columns → `None` |
| **Synthetic** | Unit tests and demos | GBM is not tradable edge |
| **Alpaca** | Authenticated bars and live/paper orders | Auth, feed, and rate-limit failures |
| **Yahoo** | Real Close without a broker account | Unofficial API, ~15 min delay, interval lookback caps (1m ≈ 7 days). Pin `yfinance>=1.0`; 0.2.x fails against the current chart API |
`load_data` dispatches on `data_source.type`. Existing `alpaca` / `csv` / `synthetic` branches are unchanged.
### Strategy and FinRL
* `StrategyAgent`: SMA, RSI, Bollinger, MACD on Close; teaching rule, not an alpha claim
* `FinRLAgent`: PPO / A2C / DDPG / TD3 via Stable-Baselines3; persist under `models/`
* `ExecutionAgent` / `AlpacaBroker`: paper simulation or Alpaca market/limit orders
Backtests in this repo are in-sample passes unless you add a purged walk-forward yourself. Leakage is the null hypothesis.
---
## 3. Stack
| Layer | Tools |
| ----- | ----- |
| Language | Python 3.11 (CI); 3.8+ stated for local |
| RL | FinRL / Stable-Baselines3, Gym/Gymnasium, PyTorch |
| Broker | alpaca-py |
| Market data | Alpaca REST; yfinance ≥ 1.0 (Yahoo) |
| Tabular | pandas, NumPy, scikit-learn |
| UI | Streamlit, Dash, Jupyter widgets |
| Deploy | Docker Compose, GitHub Actions |
| Tests | pytest, pytest-cov |
---
## 4. Structure
```
algorithmic_trading/
├── agentic_ai_system/ # ingest, strategy, FinRL, Alpaca, Yahoo
├── ui/ # Streamlit, Dash, Jupyter, WebSocket
├── tests/
├── models/ # trained artifacts (gitignored bodies)
├── data/ # generated CSV (gitignored)
├── scripts/ # Docker / deploy helpers
├── .github/workflows/ # CI/CD, release, backtesting
├── config.yaml
├── requirements.txt
├── Dockerfile
└── docker-compose*.yml
```
Branch policy: **`main`** (protected) and **`dev`** only. Do not re-enable Dependabot or the Monday `dependency-updates` workflow; those created extra branches.
---
## 5. Quick start
```bash
git clone https://github.com/ParallelLLC/algorithmic_trading.git
cd algorithmic_trading
python -m venv .venv && source .venv/bin/activate
pip install -r requirements.txt
cp .env.example .env # Alpaca keys if using alpaca ingest or orders
```
Default ingest is CSV. For Yahoo daily bars without a broker:
```yaml
data_source:
type: 'yahoo'
trading:
symbol: 'AAPL'
timeframe: '1d'
```
```bash
python demo.py
python -m agentic_ai_system.main --mode backtest --start-date 2024-01-01 --end-date 2024-12-31
pytest tests/ -q
```
UI launchers and Docker are documented in `UI_SETUP.md` and `DOCKER_HUB_SETUP.md`. Paper-trade before live. Yahoo is not a SIP tape.
---
## 6. Configuration (additive Yahoo keys)
| Key | Meaning |
| --- | ------- |
| `data_source.type` | `csv` \| `synthetic` \| `alpaca` \| `yahoo` |
| `yahoo.start_date` / `end_date` | Historical window; clamped per Yahoo interval limits |
| `yahoo.auto_adjust` | Passed to `yfinance` |
| `execution.broker_api` | `paper` \| `alpaca_paper` \| `alpaca_live` |
| `finrl.algorithm` | PPO, A2C, DDPG, TD3 |
---
**License:** Apache License 2.0
**Organization:** [Parallel LLC](https://github.com/ParallelLLC)
**Repository:** <https://github.com/ParallelLLC/algorithmic_trading>
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