Tybee

Tybee is an asset trading library which uses stochastic nonlinear optimization techniques. Its design and use is detailed below. It is mostly designed and implemented it as a thought experiment. I do not guarentee that this algorithm or this software will be successful or profitable with any asset. It is to be used at ones own risk (see LICENSE). It is written in Haskell.

Status: infancy

Why is it called Tybee?

Tybee is an island off the coast of Georgia. If you go there, make sure you hit up the Crab Shack. Its awesome.

Documentation

Still working on this...

Design

Tybee uses a simple idea. Given an asset's history, lets figure out a modifier on the current average price X such that we will buy when the ask price reaches Cur * X, then sell when the bid price reaches Cur * Y (Y > X) or Cur * Z (Z < X) (a stoploss or floor).

The optimization objective function will simulate this trading behavior with a given set of inputs (X, Y, Z) using historical asset price data. The optimization function is up for discussion, but is currently slated to be SPSA (implementation).

Getting Started

You can install via cabal (or cabal-dev)

cabal install tybee

Getting the Source

Get the tybee source.

git clone git://github.com/yanatan16/tybee

Set up a sandbox.

The first time through, you need to download and install a ton of dependencies, so hang in there.

cd tybee
cabal-dev install \
    --enable-tests \
    --enable-benchmarks \
    --only-dependencies \
    -j

The cabal-dev command is just a sandboxing wrapper around the cabal command. The -j flag above tells cabal to use all of your CPUs, so even the initial build shouldn't take more than a few minutes.

cabal-dev configure --enable-tests --enable-benchmarks
cabal-dev build

Note: For the development mode use --flags=developer. Development mode allows you to run tests from ghci easily to allow some good ole TDD.

Running Tests

Once you've built the code, you can run the entire test suite in a few seconds.

dist/build/tests/tests +RTS -N

We use the direct executable rather than cabal-dev tests because it doesn't pass through options very well. The +RTS -N above tells GHC's runtime system to use all available cores. If you want to explore, the tests program (dist/build/tests/tests) accepts a --help option. Try it out.

Tests From GHCI

You can run all the tests from ghci.

cabal-dev ghci

starts up the REPL.

> import Test.Tybee
> runAllTests

Or you can run a single test

> runTest "Trade*" -- follows test patterns in Test.Framework
> runGroup 4 -- if you know the group number

Running benchmarks

You can run benchmarks similar to tests.

dist/build/benchmarks/benchmarks

Just like with tests, there's a --help option to explore.

License

The MIT License found in the LICENSE file.