| # Algorithmic Trading |
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| FinRL reinforcement-learning trading with Alpaca execution, plus Yahoo Finance OHLCV as the default public tape. Parallel LLC. |
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| 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. |
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| ## 1. Title and Summary |
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| **Algorithmic Trading** |
| Ingest OHLCV, compute indicators or train a FinRL policy, size orders under position and drawdown caps, route to paper or live Alpaca. |
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| GitHub `main` is the FinRL / Docker / Streamlit tree plus algotrader 2.0. `dev` is the integration branch. Yahoo is the default `data_source.type`. |
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| **Design themes** |
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| * 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 |
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| --- |
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| ## 2. Concepts and Methods |
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| ### Market data |
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| | 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 | |
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| `load_data` dispatches on `data_source.type`. Existing `alpaca` / `csv` / `synthetic` branches are unchanged. |
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| ### Strategy and FinRL |
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| * `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 |
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| Backtests in this repo are in-sample passes unless you add a purged walk-forward yourself. Leakage is the null hypothesis. |
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| --- |
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| ## 3. Stack |
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| | 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 | |
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| --- |
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| ## 4. Structure |
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| ``` |
| 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 |
| ``` |
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| Branch policy: **`main`** (protected) and **`dev`** only. Do not re-enable Dependabot or the Monday `dependency-updates` workflow; those created extra branches. |
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| ## 5. Quick start |
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| ```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 |
| ``` |
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| Default ingest is CSV. For Yahoo daily bars without a broker: |
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| ```yaml |
| data_source: |
| type: 'yahoo' |
| trading: |
| symbol: 'AAPL' |
| timeframe: '1d' |
| ``` |
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| ```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 |
| ``` |
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| 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. |
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| ## 6. Configuration (additive Yahoo keys) |
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| | 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 | |
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| **License:** Apache License 2.0 |
| **Organization:** [Parallel LLC](https://github.com/ParallelLLC) |
| **Repository:** <https://github.com/ParallelLLC/algorithmic_trading> |
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