Introducing Q-API

At Deltaray we are committed to providing retail traders and institutions tools that help them make informed trading decisions. As part of this initiative, we are releasing a Free API today, which provides access to some of the building blocks of MesoSim and MesoLive.

Q stands for Quantitative

In trading, the ultimate goal is to increase your capital while minimizing the risk to an acceptable level. Measuring risk is a complicated process. Even the simplest risk metric - Max Drawdown - requires you to keep track of the highs and lows in a rolling manner. When evaluating strategy performance, it is advised to study the Risk-Adjusted Return (e.g., Sharpe or Sortino), which takes both returns and drawdowns into account.

QuantStats

In MesoSim and MesoLive we are using Ran Aroussi's excellent QuantStats library to calculate quantitative metrics and create portfolio analytics tearsheets. 

Tearsheet Example pg 1
Tearsheet Example pg 1
Tearsheet Example pg 2
Tearsheet Example pg 2
Tearsheet Example pg 3
Tearsheet Example pg 3


With Q-API we are releasing the tearsheet generation and risk metrics calculation free for personal use. These functionalities are available using the following endpoints:

  • /quantstats/v1/tearsheet-from-json
  • /quantstats/v1/tearsheet-from-csv
  • /quantstats/v1/metrics-from-json
  • /quantstats/v1/metrics-from-csv

Both endpoints require the user to provide the Strategy Performance and a Benchmark Price (such as ^SPX) as time-series. 

Market Calendar

It's important to know when we can engage in a particular activity we're interested in. This holds true for trading as well; it's essential to be aware of the market's opening and closing times, including early closures.

Q-API enables the users to access this information using the
 /market-calendar/v1/trading-hours endpoint. Our trading calendar's historical data dates back to 1998. 

On the roadmap

We plan to expand Q-API's functionality, including (but not limited to):

  • Position sizing via Kelly Criterion (Formula)
  • Options Pricers
  • Additional market data 

Note on MesoSim API

MesoSim API is currently available to institutional clients only.
Therefore, Q-API does not include access to MesoSim's API.

Start using it Today

Head to Q-API and begin using it today.
You can leverage the Swagger-UI to explore and try the API.

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