TheoryCraft

TheoryCraft is an open-source, event-driven backtesting and execution engine for quantitative trading, written in Elixir.

TheoryCraft provides a GenStage-based streaming architecture for processing market data through configurable processors and data feeds. Build complex trading strategies with multiple timeframes, technical indicators, and custom processors using a fluent, composable API.

For tutorials and guides, see the user documentation:

https://theorycraft-trading.com/docs/

⚠️ Development Status

This library is under active development and the API is subject to frequent changes.

Breaking changes may occur between releases as we refine the interface and add new features. We recommend pinning to a specific commit hash if you need stability.

Installation

TheoryCraft is not yet available on Hex. To use it in your project, add it to your mix.exs:

def deps do
  [
    {:theory_craft, github: "theorycraft-trading/theory_craft"}
  ]
end

Quick Start

Basic Pipeline

Build a simple market data pipeline with resampling:

alias TheoryCraft.MarketSource

# Create a pipeline that loads tick data and resamples to 5-minute and 1-hour bars
market =
  %MarketSource{}
  |> MarketSource.add_data_ticks_from_csv("ticks.csv", name: "XAUUSD")
  |> MarketSource.resample("m5", name: "XAUUSD_m5")
  |> MarketSource.resample("h1", name: "XAUUSD_h1")

# Stream events through the pipeline
for event <- MarketSource.stream(market) do
  IO.inspect(event)
end

With Technical Indicators

Add technical indicators using parallel processing:

require TheoryCraftTA.TA, as: TA

alias TheoryCraft.MarketSource.MarketEvent

market =
  %MarketSource{}
  |> MarketSource.add_data_ticks_from_csv("ticks.csv", name: "XAUUSD")
  |> MarketSource.resample("m5", name: "XAUUSD_m5")
  # Indicators are processed in parallel with `add_indicators_layer/2`
  |> MarketSource.add_indicators_layer([
    TA.sma(XAUUSD_m5[:close], 20, name: "sma_20"),
    TA.ema(XAUUSD_m5[:close], 50, name: "ema_50"),
    TA.rsi(XAUUSD_m5[:close], 14, name: "rsi_14")
  ])
  |> MarketSource.add_indicator(TA.atr("XAUUSD_m5", 14, name: "atr_14"))

market
|> MarketSource.stream()
|> Enum.take(100)
|> Enum.each(fn %MarketEvent{data: data} ->
  %{
    "XAUUSD_m5" => bar,
    "sma_20" => sma,
    "ema_50" => ema,
    "rsi_14" => rsi,
    "atr_14" => atr
  } = data

  # Your strategy logic here
end)

Aggregate Only Completed Bars

Filter out incomplete bars to avoid redundant calculations:

market =
  %MarketSource{}
  |> MarketSource.add_data_ticks_from_csv("ticks.csv", name: "XAUUSD")
  |> MarketSource.resample("m5", name: "XAUUSD_m5", bar_only: true)
  |> MarketSource.add_indicators_layer([
    TA.sma(XAUUSD_m5[:close], 20, name: "sma_20")
  ])

# Only emits events when bars are complete
for event <- MarketSource.stream(market) do
  # Process only completed bars
end

Features

GenStage Pipeline Architecture: Backpressure-aware streaming with automatic termination handling
Parallel Processing: Automatic parallelization of independent processors
Multiple Timeframes: Resample tick data to any timeframe (m1, m5, h1, D, etc.)
Bar Aggregation: Filter out incomplete bars to reduce redundant calculations
Technical Indicators: Integration with TheoryCraftTA for technical analysis
Custom Processors: Implement the Processor behaviour for custom transformations
Fluent API: Build complex pipelines with an intuitive, chainable interface
Memory-Efficient: Streaming architecture processes data without loading everything into memory

Examples

For detailed examples and tutorials, check out the notebooks in the livebooks directory.

License

Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0

Unless required by applicable law or agreed to in writing, software distributed under the License is distributed on an "AS IS" BASIS, WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied. See the License for the specific language governing permissions and limitations under the License.