Stockholm
Stockholm is a laboratory for algorithmic trading.
Usage
Once Stockholm is installed, you can run it from the command line as follows:
Here are the supported command-line options:
Usage: stockholm [OPTIONS] [COMMAND]
Commands:
backtest Backtest a trading strategy
run Run the trading bot (default)
historical Fetch historical market data as CSV
infer Run one inference with a trained neural network
train Train a neural network on historical stock data
help Print this message or the help of the given subcommand(s)
Options:
--address <ADDRESS> Address of the running TWS or IB Gateway API [default: 127.0.0.1:4001]
--client-id <CLIENT_ID> Client ID to use for the API connection [default: 100]
-v, --version Print version
-h, --help Print help
You can evaluate a strategy over historical CSV files with the backtest subcommand. Files are ordered lexicographically by filename; the buy-and-hold strategy prints the final closing price minus the initial opening price:
The market-maker strategy repeatedly places whole-share limit orders below and above each one-second bar's closing price. Existing orders fill when a subsequent bar trades through their limit and expire after their configured lifetime. Each eligible order fills at most --bar-volume-limit shares per one-second bar (1,000 by default), with the remainder staying open. During the final rows of each complete daily CSV selected by --liquidation-seconds (900 by default), the strategy cancels all buy orders, places no new buys, and liquidates up to the same volume limit at the current closing price each second. The reported result is final marked-to-market profit:
The market-maker-grid strategy evaluates buy and sell TTLs of 5, 15, 30, 60, 120, 300, 900, 3,600, 7,200, 14,400, 43,200, and 86,400 seconds and discount and markup percentages of 0.01, 0.03, 0.1, 0.3, 1, 3, and 10 by default, then prints the most profitable of the resulting 7,056 combinations as CSV. Override each side of the search space independently with comma-separated --buy-ttls, --sell-ttls, --discount-percentages, and --markup-percentages values. Search progress is written to standard error, leaving standard output as machine-readable CSV. Initial cash and liquidation duration remain configurable, while the single-run TTL and percentage options do not affect grid mode:
You can select the symbol whose live market data and five-second bars should be streamed with the run subcommand:
You can fetch historical bars as CSV with the historical subcommand. The start and end are ISO 8601 datetimes with explicit UTC offsets, and the interval defaults to SEC:
The train subcommand trains a simple neural network to predict multiple future samples from a fixed window of historical stock prices. Each input must be a CSV file produced by the historical subcommand; only its open column is used. Training and validation files are specified separately, and every file is treated as an independent time series so windows never span file boundaries:
Training uses log returns and every available overlapping window. Normalization is fitted exclusively from the training files. By default, the model uses 20 inputs to predict 5 outputs, a batch size of 64, 50 epochs, a learning rate of 0.001, and a seed of 42, and writes the trained Burn model and its preprocessing metadata to model; these settings can be changed with --inputs, --outputs, --batch-size, --epochs, --learning-rate, --seed, and --model-directory.
The infer subcommand loads those artifacts and forecasts opening prices from one CSV input window. Because prices are converted to log returns, the CSV must contain one more raw price than the model's input count; the default 20-input model therefore consumes 21 prices:
You'll also need to start an Interactive Brokers Gateway that Stockholm can talk to. You can run that in a Docker container via the provided run-ib-gateway.sh script:
The script expects the Interactive Brokers username to be in a file called $HOME/ib-username, and it looks for the password in $HOME/ib-password.
You probably want to run Stockholm and IB Gateway as daemons, e.g., with launchd or systemd. See the Configuring your operating system to run Stockholm as a daemon section below for instructions.
For debugging, you can connect to the VNC server at vnc://127.0.0.1:5900 using the default password vnc_password. In macOS, you can do this from Finder with Cmd+k.
Stockholm assumes a US Equity and Options Add-On Streaming Bundle (NP) market data subscription.
Installation instructions
Installation on macOS or Linux (AArch64 or x86-64)
If you're running macOS or Linux (AArch64 or x86-64), you can install Stockholm with this command:
|
The same command can be used again to update to the latest version.
The installation script supports the following optional environment variables:
VERSION=x.y.z(defaults to the latest version)PREFIX=/path/to/install(defaults to/usr/local/bin)
For example, the following will install Stockholm into the working directory:
| PREFIX=.
If you prefer not to use this installation method, you can download the binary from the releases page, make it executable (e.g., with chmod), and place it in some directory in your PATH (e.g., /usr/local/bin).
Installation on Windows (AArch64 or x86-64)
If you're running Windows (AArch64 or x86-64), download the latest binary from the releases page and rename it to stockholm (or stockholm.exe if you have file extensions visible). Create a directory called Stockholm in your %PROGRAMFILES% directory (e.g., C:\Program Files\Stockholm), and place the renamed binary in there. Then, in the "Advanced" tab of the "System Properties" section of Control Panel, click on "Environment Variables..." and add the full path to the new Stockholm directory to the PATH variable under "System variables". Note that the Program Files directory might have a different name if Windows is configured for a language other than English.
To update an existing installation, simply replace the existing binary.
Installation with Cargo
If you have Cargo, you can install Stockholm as follows:
You can run that command with --force to update an existing installation.
Configuring your operating system to run Stockholm as a daemon
Stockholm depends on IB Gateway, so the repository provides sample service definitions for running both programs as daemons. Adjust the paths, arguments, and other settings in these files as needed before installing them.
Creating launchd services on macOS
On macOS, launchd can be used to run Stockholm and IB Gateway as daemons. Copy local.stockholm.plist and local.ib-gateway.plist from the service_configs directory to /Library/LaunchDaemons/, copy run-ib-gateway.sh to /usr/local/bin/, and make sure all three files are owned by root.
Run the following commands to start the services:
You can view the logs with tail -F /var/log/ib-gateway.log /var/log/stockholm.log.
Creating systemd services on Linux
On most Linux distributions, systemd can be used to run Stockholm and IB Gateway as daemons. Copy stockholm.service and ib-gateway.service from the service_configs directory to /etc/systemd/system/, copy run-ib-gateway.sh to /usr/local/bin/, and make sure all three files are owned by root.
Run sudo systemctl enable ib-gateway stockholm --now to enable and start the services. You can view the logs with sudo journalctl --follow --unit ib-gateway --unit stockholm.