The Autonomous Quantitative Trading System is a custom pipeline designed to trade financial markets by programmatically detecting high-probability structural inefficiencies and applying a multi-agent validation layer before executing any order.
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Key Pillars
1. Market Data Ingestion
The system connects to Yahoo Finance (yfinance) to fetch live minute-interval candles. It aggregates and resamples this data to run multi-timeframe scans.
2. Fair Value Gaps & Breaks of Structure
Using a volatility-adjusted Wilder's ATR engine, the strategy detects Fair Value Gaps (FVG) and Breaks of Structure (BOS) to pinpoint entry zones, stop losses, and target partial take profits:
- FVG: A three-candle pattern where a rapid price expansion leaves a visual inefficiency (gap) between the first candle's high/low and the third candle's low/high.
- BOS: Confirms a trend change or trend continuation when the price breaks and closes past a recent structural swing high or swing low.
3. AI Execution Gatekeeper
Once a setup is identified quantitatively, the system builds a detailed semantic context including volume profile, key levels, index correlation, and trend momentum. It invokes the OpenAI GPT-4o API to run a qualitative check. If GPT-4o rejects the setup, the trade is skipped and logged to the DB. If it passes, it moves to execution.
4. Mathematical Risk Engine
The risk engine strictly enforces the 1% risk-to-capital rule. Units are calculated based on the distance to the stop loss. The system automates multi-stage exits, trailing stops, and break-even stop adjustments.
System Flow
graph TD
A[Yahoo Finance API] -->|Real-Time 1m Candles| B(Market Data Feed)
B -->|Timeframe Aggregator| C(5m Candlestick Engine)
C -->|Wilder's ATR| D(Volatility Calculator)
D -->|Technical Imbalance Importer| E(BOS + FVG Strategy Engine)
E -->|Setup Detection| F{Strict Quantitative Filters}
F -->|Reject| G[Log Rejected Setup to DB]
F -->|Pass| H[Risk & Sizing Engine]
H -->|Calculate Units & Stop Loss| I[OpenAI GPT-4o Reviewer]
I -->|Semantic Trade Verdict| J{AI Action Gatekeeper}
J -->|SKIP/WAIT| K[Log AI Rejection to DB]
J -->|TAKE| L[Internal Executor & Discord Notification]
L -->|Trade Executed| M[Log Active Trade to DB]
Tech Stack
- Backend & Strategy: Python, Pandas, SQLAlchemy (SQLite), Pydantic v2
- APIs: Yahoo Finance, OpenAI, Discord Webhooks
- UI: Streamlit, Plotly