Crypto AlgoTrading Framework (TypeScript)
Algorithmic trading toolkit for crypto — backtest, tick-by-tick replay, and simulation modes. Ported from the original Python framework with matching strategy semantics.
hist-{interval}/*.csv
│
▼
Entry / exit strategies (SMA cross, …)
│
▼
Stop-loss + trailing stop
│
▼
Backtest P&L · optional Redis cache
Quick start
cp .env.example .env
npm install
npm run check # typecheck + vitest + smoke backtest
npm run backtest # SMA cross on BTC-XRP (default)
npm run tick # tick-by-tick replay
Custom market:
npm start -- backtest BTC-SRN
Project structure
algotrading/
├── package.json
├── tsconfig.json
├── .env.example
├── hist-10m/ # Sample CSV history (BTC-XRP, BTC-SRN)
│
├── src/
│ ├── index.ts # Public API exports
│ ├── cli.ts # backtest | tick commands
│ ├── config/
│ │ ├── vars.ts # Env-driven defaults (interval, stops, …)
│ │ └── logger.ts
│ ├── types/market.ts # MarketRow, EntryFn, ExitFn
│ ├── data/csv.ts # loadMarketFromFile, listMarketsOnDisk
│ ├── indicators/
│ │ ├── sma.ts # SMA crossover helpers
│ │ └── bollinger.ts # Bollinger bands (pandas-compatible)
│ ├── strategies/
│ │ ├── entry.ts # crossSmas entry
│ │ └── exit.ts # crossSmas exit
│ ├── risk/stops.ts # stopLoss, trailingStopLoss
│ ├── engine/
│ │ ├── signals.ts # isTimeToBuy, isTimeToExit
│ │ ├── backtest.ts # backtest(), backtestMarket()
│ │ ├── tickByTick.ts # Candle replay loop
│ │ └── realtime.ts # Live feed stub (extend for exchanges)
│ └── cache/ # ioredis-os optional backtest cache
│
├── tests/ # Vitest — parity with legacy Python tests
├── scripts/smoke-test.ts
│
└── cryptoalgotrading/ # Legacy Python implementation (reference)
Operating modes
| Mode | API | Data source |
|---|---|---|
| Backtest | backtest() | hist-{interval}/*.csv |
| Tick-by-tick | tickByTick() | CSV replay with optional delay |
| Realtime | realtime() | Stub — wire exchange WebSocket in src/engine/realtime.ts |
Example (programmatic)
import { backtest, entry, exit } from './src/index.js';
const total = await backtest({
markets: ['BTC-XRP'],
entryFns: [entry.crossSmas],
exitFns: [exit.crossSmas],
smas: [15, 40],
interval: '10m',
fromFile: true,
});
console.log(`Total P&L: ${total}%`);
Configuration
| Variable | Default | Description |
|---|---|---|
DATA_DIR | . | Root path for hist-{interval}/ folders |
DEFAULT_INTERVAL | 10m | Candle folder suffix |
STOP_TYPE | 3 | 0 off · 1 fixed · 2 trailing · 3 both |
STOP_LOSS_PCT | 2 | Fixed stop % below entry |
TRAILING_LOSS_PCT | 3 | Trailing stop % below peak |
COMMISSION_ENABLED | true | Deduct BNB_COMMISSION on exits |
REDIS_URL | — | Optional backtest result cache |
Architecture
flowchart LR
CSV["hist-10m/*.csv"]
DATA["data/csv.ts"]
IND["indicators/sma.ts"]
STR["strategies entry/exit"]
SIG["engine/signals.ts"]
BT["engine/backtest.ts"]
CACHE[("Redis optional")]
CSV --> DATA --> BT
IND --> STR --> SIG --> BT
BT --> CACHE
Legacy Python
The original Python package lives in cryptoalgotrading/. It required Pandas, Matplotlib, InfluxDB, and Bittrex/Binance clients. The TypeScript edition keeps the same SMA crossover logic and CSV layout but drops matplotlib plotting and DB dependencies for a leaner Node.js runtime.
To run legacy Python tests: pip install -r requirements.txt && python -m pytest test/
Risk disclaimer
USE AT YOUR OWN RISK. This software is not financial advice. Test in simulation before deploying capital.