fat

FXCM Autotrader

Dependencies:

• rust
• torch bindings (see tch-rs project for installation instructions)
• hype for hyperparam tuning

Usage:

# Run build and tests
./build.sh

# Format code
rustfmt src/*

# Show usage info
./target/release/fat -h

# Download historical minutely candle data
./target/release/fat run -nv sim -r |gzip >m1.csv.gz

# Download historical hourly candle data
./target/release/fat run -nv -f hourly sim -r |gzip >h1.csv.gz

# Download historical daily candle data
./target/release/fat run -nv -f daily sim -r |gzip >d1.csv.gz

# Backtest on historical candle data
gunzip <m1.csv.gz |head -1000000 |./target/release/fat run sim

# Backtest on historical candle data, using first 10K rows purely for training
gunzip <m1.csv.gz |head -1000000 |./target/release/fat run -t 10000 sim

# Investigate stack dump when it crashes
gunzip <m1.csv.gz |head -1000000 |RUST_BACKTRACE=full ./target/debug/fat run -t 10000 sim

# Run debugger
lldb target/debug/fat

# List available frequencies
./target/release/fat ls frequency

# List available currencies
./target/release/fat ls currency

# List available symbols
./target/release/fat ls symbol

# List available symbols for a given currency
./target/release/fat ls symbol -c AUD

# Hyperparam tuning
(time hype -m "$(cat hype.json)" -- ./hype.sh -d 1s) >results.csv 2>tune.log

Configuration of the trader (hyperparams etc) is done via command line flags as well as editing src/cfg.rs and recompiling.