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Quantframe API Reference

Project Structure

quantframe/
├── assets/           # Project assets and outputs
│   ├── images/      # Generated visualizations
│   │   ├── analysis/    # Market analysis charts
│   │   ├── backtest/    # Strategy backtest results
│   │   └── optimization/# Parameter optimization plots
│   └── logs/        # Application logs
├── config/          # Configuration management
├── data/           # Data source implementations
├── docs/           # Documentation
└── utils/          # Utility modules

Configuration System

Base Configuration (quantframe.config.base_config)

Core configuration infrastructure providing parameter validation and conversion utilities.

BaseConfig

Base class for all configuration objects in quantframe.

Methods:

  • to_dict(): Convert configuration to dictionary format
  • to_dataframe(): Convert configuration to DataFrame format
  • from_dict(config_dict): Create configuration from dictionary
  • validate_range(param_name, value, min_val, max_val): Validate parameter ranges
  • validate(): Abstract method for parameter validation

ICT Strategy Configuration (quantframe.config.ict_config)

Configuration parameters for the Inner Circle Trader (ICT) strategy implementation.

ICTConfig

Inherits from BaseConfig, providing ICT-specific parameter validation.

Parameters:

  • FVG Parameters

    • fvg_threshold: 0.002 (0.01% - 5%)
    • Gap size detection threshold

  • Order Block Parameters

    • ob_lookback: 20 bars (10-100)
    • volume_threshold: 1.5x (1.1x - 5.0x)

  • Risk Management

    • stop_loss: 2% (0.5% - 10%)
    • take_profit: 3% (0.5% - 20%)
    • risk_per_trade: 1% (0.1% - 5%)

  • Position Management

    • min_volume: 100,000 units
    • max_positions: 5 (1-20)

Data Sources

Base Data Source (quantframe.data.sources.base_source)

Abstract base class providing shared functionality for all data sources.

Features:

  • Standardized data caching
  • Column name mapping
  • Error handling
  • Logging integration

Methods:

  • get_data(): Abstract method for data retrieval
  • load_cache(): Load data from cache
  • save_cache(): Save data to cache
  • standardize_columns(): Standardize column names

Binance Source (quantframe.data.sources.binance_source)

Implementation for retrieving data from Binance API.

Features:

  • Real-time and historical data
  • OHLCV data retrieval
  • Market pair information
  • Built-in caching system

Timeframes:

  • Minutes: 1m, 5m, 15m
  • Hours: 1h, 4h
  • Days: 1d

Yahoo Finance Source (quantframe.data.sources.yfinance_source)

Implementation for retrieving data from Yahoo Finance.

Features:

  • Historical price data
  • Adjusted price calculations
  • Data caching system
  • Multiple timeframe support

Timeframes:

  • Minutes: 1m, 2m, 5m, 15m, 30m
  • Hours: 1h
  • Days: 1d, 5d
  • Weeks/Months: 1wk, 1mo, 3mo

Utilities

Log Manager (quantframe.utils.log_manager)

Manages log files with rotation and cleanup capabilities.

Features:

  • Automatic log rotation based on size
  • Compression of rotated logs
  • Cleanup of expired logs
  • Configurable retention policies

Configuration:

  • max_size_mb: Maximum log file size
  • max_age_days: Log retention period
  • max_backups: Number of backup files to keep

Market Analysis (quantframe.analysis.market_analysis)

MarketAnalyzer

Comprehensive market analysis toolkit.

Methods:

  • analyze_volatility_clustering(): ARCH effects analysis
  • detect_regime_changes(): Market regime detection
  • analyze_market_microstructure(): Microstructure metrics
  • analyze_momentum_reversal(): Momentum patterns
  • analyze_liquidity(): Liquidity metrics
  • estimate_market_impact(): Impact modeling
  • analyze_tail_risk(): VaR and ES calculations
  • analyze_cross_market_dynamics(): Correlation analysis
  • analyze_intraday_patterns(): Pattern detection

ICT Strategy (quantframe.strategy.ict_strategy)

Core Components

  • Fair Value Gap (FVG) detection
  • Order Block identification
  • Volume analysis
  • Market structure tracking

Key Features:

  • Configurable FVG detection
  • Volume-based institutional analysis
  • Position sizing
  • Risk management integration