Jupyter Notebooks

Usage

Since developing an algorithmic trading strategy requires a lot of experimentation and testing, an interactive development environment like Jupyter Notebooks is ideal. Especially in the beginning phase, it can help to progress a lot quicker.

Roboquant is designed to be used in both standalone applications and Jupyter Notebooks. The exposed APIs are convenient to call from a Jupyter Notebook without much ceremony and there are many charts included that make it easier to interpret what is going on during a run.

Using roboquant in a Kotlin Jupyter Notebook requires just a single command:

%use @http://roboquant.org/roboquant.json

This will automatically load the roboquant library (it will actually load three roboquant modules: core, extra and crypt) and import most commonly used packages from the core module.

If you run Welcome() in a notebook cell afterwards, you’ll see the version of roboquant you are using together with other information about the environment you are in.

Welcome()
Chromium based browsers perform best, especially when you plot charts with many data points.

Importing packages

By default, most of the core roboquant packages are imported. But the packages of the roboquant-crypto and roboquant-extra modules are not included by default. So for these you need to add the appropriate import statement.

But you are not limited to using roboquant libraries only. In fact, you can use any Java or Kotlin library that is published on some repository or is available in the local file system.

@file:DependsOn("org.xyz:abc:1.0.0")
@file:DependsOn("someLocalFile.jar")

Charts

Roboquant uses the excellent Apache ECharts JavaScript library to render charts in your browser. All charts are interactive, meaning you can zoom into areas of interest, and you can often filter by values of interest. There is a toolbar at the top right of each chart that allows for additional functionality, like downloading the chart or seeing the raw data.

// Metric related charts
MetricChart(data)
MetricBoxChart(data)
MetricHistogramChart(data)
MetricCalendarChart(data)

// Price related charts
PriceChart(feed, asset)
PriceBarChart(feed, asset)
PriceCorrelationChart(feed, assets)

// Asset related charts
AssetAllocationChart(account.positions)
AssetPerformanceChart(feed)

// Trade related charts
TradeChart(account.trades)
TradeAssetChart(account.trades)

// Order related chart
OrderChart(account.openOrders)

Design Philosophy

In order to build robust and well performing trading algorithms, you often need to diversify across assets and asset classes. So a lot of the visualization is focused on providing insights on what is happening in such scenario and less in plotting the metrics for a single asset only.

All the charts are tailored for roboquant usage and are not a generic plotting library. So typically with just one line of code, you plot a very feature rich chart. However, adding a new custom chart is not much work either, see also Custom Charts.

Global settings

If you have to plot a lot of samples (> 500,000), your browser can become unresponsive. To avoid this problem, you can limit the number of samples sent to the browser. The default is unlimited.

    Chart.maxSamples = 100_000 // Max samples to use when drawing a chart

General usage

If the chart instance is the last statement of a notebook cell, it will get rendered automatically.

    // If last line, will get plotted
    MetricChart(data)

However, if the chart instance is not the last statement in a cell, you’ll need to invoke the render() method. This is also the way to plot multiple charts.

    // Plot the correlation matrix over different timeframes
    for (timeframe in Timeframe.past(20.years).split(2.years))
        PriceCorrelationChart(feed, assets, timeframe).render()

PriceBarCart

prices

Main features of this chart include:

  • shows the PriceBar actions (also referred to a candlesticks) for a certain Asset in a Feed

  • provides an overview of the volume in the same chart (if the feed has this information)

  • can handle large amounts of candles, and you can easily zoom into smaller timeframes to see more details

  • you can plot trades for the same asset in the same chart to see when they were created.

    val trades = roboquant.broker.account.trades

    // Plot the prices of the first asset from a historic feed and also all the trades for that same asset
    PriceBarChart(feed, feed.assets.first(), trades = trades)

PriceChart

Similar to the functionality offered by a PriceBarChart, but this chart displays a single price and not a candlestick. As a consequence, it can be used to plot any type of PriceAction and not only a PriceBar. So if you have a feed with order book data or trade prices, this is the chart to use.

    // Plot how Apple performed during the 2008 financial crisis
    val apple = feed.assets.getBySymbol("AAPL")
    PriceChart(feed, apple, timeframe = Timeframe.financialCrisis2008)
Currently, you can only plot a single asset at a time. This might change in the future.

PriceCorrelationChart

Plots the Pearson correlation of a set of assets using the prices found in the provided Feed. You can optionally specify the period to take into account.

correlation
    val assets = feed.assets.take(10)
    PriceCorrelationChart(feed, assets, timeframe = Timeframe.past(2.years))

MetricChart

Plots any metric that has been captured during one or more runs. If the metric data covers multiple runs, like in a walk-forward test, each run will be plotted as its own series.

walkforward

CalendarChart

Plots a metric on a year calendar, using color coding (heatmap) to indicate how each individual day performed. If you quickly want to see which days had the highest and lowest PNL, this is a great chart to use.

calendar

TradeChart

Plots all the executed trades from a run.

trades

OrderChart

Similar to TradeChart, but this one plots all the placed orders. In general trades contain more info (like realized pnl), so the TradeChart might be more useful.

AssetAllocationChart

Show the asset allocation of your positions, so how much you have exposed to the different assets.

assets

Custom Charts

Developing your own chart is not difficult. Roboquant uses the ECharts-Java library that makes it easy to create almost any chart from within your Java or Kotlin code.

Have a look at source code of one of the included charts as inspiration. If you think your chart would also be useful for other algo-traders, consider creating a PR to get it included.