A production-grade medium-frequency algorithmic trading system for forex markets, operating on timeframes from seconds to minutes across major currency pairs.
| Metric | Value |
|---|---|
| Timeframe | 1s - 15m |
| Markets | Major, Minor, Exotic pairs |
| Brokers | OANDA, Interactive Brokers, MT5 |
| Strategies | Mean Reversion, Momentum, Carry, News |
- Multi-Broker Support - OANDA, Interactive Brokers, MetaTrader 5, cTrader
- Strategy Framework - Modular architecture for rapid strategy development
- Backtesting Engine - Tick-level replay with realistic spread and slippage
- Risk Management - Position sizing, stop-loss, take-profit, max drawdown
- Economic Calendar - News event detection and trading filters
- Session Awareness - London, New York, Tokyo, Sydney session handling
- Correlation Analysis - Cross-pair correlation monitoring
| Strategy | Timeframe | Description | Pairs |
|---|---|---|---|
| Mean Reversion | 1m - 15m | Statistical arbitrage on RSI/BB extremes | EUR/USD, GBP/USD |
| Momentum | 5m - 1h | Trend following with ADX confirmation | All majors |
| Carry Trade | 1h - 1D | Interest rate differential capture | AUD/JPY, NZD/JPY |
| News Trading | Tick - 1m | High-impact news event scalping | USD pairs |
| Range Trading | 5m - 1h | Support/resistance bounce trading | EUR/CHF, USD/CAD |
| Breakout | 15m - 4h | Session breakout with volume confirmation | GBP pairs |
┌─────────────────────────────────────────────────────────────────────────┐
│ FOREX TRADING SYSTEM ARCHITECTURE │
├─────────────────────────────────────────────────────────────────────────┤
│ │
│ ┌───────────────────────────────────────────────────────────────────┐ │
│ │ DATA LAYER │ │
│ │ ┌───────────┐ ┌───────────┐ ┌───────────┐ ┌───────────────┐ │ │
│ │ │ OANDA │ │ IBKR │ │ MT5 │ │ Economic │ │ │
│ │ │ Stream │ │ TWS │ │ Terminal │ │ Calendar │ │ │
│ │ └─────┬─────┘ └─────┬─────┘ └─────┬─────┘ └───────┬───────┘ │ │
│ │ └──────────────┴───────┬──────┴────────────────┘ │ │
│ └───────────────────────────────┼──────────────────────────────────┘ │
│ ▼ │
│ ┌───────────────────────────────────────────────────────────────────┐ │
│ │ PROCESSING LAYER │ │
│ │ │ │
│ │ ┌──────────────┐ ┌──────────────┐ ┌──────────────┐ │ │
│ │ │ Market │ │ Signal │ │ Risk │ │ │
│ │ │ Data │───▶│ Generator │───▶│ Manager │ │ │
│ │ │ Handler │ │ │ │ │ │ │
│ │ └──────────────┘ └──────────────┘ └──────┬───────┘ │ │
│ │ │ │ │
│ │ ┌────────────────────────────────────────────────────────────┐ │ │
│ │ │ STRATEGY ENGINE │ │ │
│ │ │ ┌────────────┐ ┌────────────┐ ┌────────────┐ ┌─────────┐ │ │ │
│ │ │ │ Mean │ │ Momentum │ │ Carry │ │ News │ │ │ │
│ │ │ │ Reversion │ │ │ │ Trade │ │ Trading │ │ │ │
│ │ │ └────────────┘ └────────────┘ └────────────┘ └─────────┘ │ │ │
│ │ └────────────────────────────────────────────────────────────┘ │ │
│ └───────────────────────────────┬──────────────────────────────────┘ │
│ ▼ │
│ ┌───────────────────────────────────────────────────────────────────┐ │
│ │ EXECUTION LAYER │ │
│ │ ┌──────────────┐ ┌──────────────┐ ┌──────────────┐ │ │
│ │ │ Order │ │ Position │ │ Performance │ │ │
│ │ │ Manager │ │ Tracker │ │ Analytics │ │ │
│ │ └──────────────┘ └──────────────┘ └──────────────┘ │ │
│ └───────────────────────────────────────────────────────────────────┘ │
│ │
└─────────────────────────────────────────────────────────────────────────┘
forex-medium-frequency-algorithmic-trading-bot/
│
├── src/
│ ├── strategies/
│ │ ├── base_strategy.py
│ │ ├── mean_reversion.py
│ │ ├── momentum.py
│ │ ├── carry_trade.py
│ │ └── news_trading.py
│ │
│ ├── broker/
│ │ ├── oanda.py
│ │ ├── ibkr.py
│ │ └── mt5.py
│ │
│ ├── data/
│ │ ├── feed.py
│ │ ├── historical.py
│ │ └── calendar.py
│ │
│ ├── risk/
│ │ ├── position_sizer.py
│ │ └── risk_manager.py
│ │
│ ├── backtest/
│ │ ├── engine.py
│ │ └── metrics.py
│ │
│ └── utils/
│ ├── config.py
│ ├── logger.py
│ └── indicators.py
│
├── config/
│ └── config.yaml
│
├── tests/
├── notebooks/
├── requirements.txt
└── README.md
# Clone repository
git clone https://github.com/pranay123-stack/forex-medium-frequency-algorithmic-trading-bot.git
cd forex-medium-frequency-algorithmic-trading-bot
# Install dependencies
pip install -r requirements.txt
# Configure
cp config/config.example.yaml config/config.yaml
# Run backtest
python -m src.backtest.engine --strategy mean_reversion --pair EUR/USD
# Run live (paper)
python -m src.main --strategy momentum --mode paper# config/config.yaml
broker:
name: oanda
account_type: practice # practice or live
api_key: ${OANDA_API_KEY}
trading:
pairs:
- EUR/USD
- GBP/USD
- USD/JPY
timeframe: 5m
max_positions: 3
risk:
max_position_size: 0.02 # 2% risk per trade
stop_loss_pips: 20
take_profit_pips: 40
max_daily_loss: 0.05 # 5% max daily loss- Strategy implementations
- Broker connectors (OANDA, IBKR, MT5)
- Backtesting engine
- Economic calendar integration
- Web dashboard
Forex trading involves substantial risk of loss. Leverage can work against you. Past performance does not guarantee future results. Only trade with capital you can afford to lose.
MIT License
Pranay - Quantitative Developer
