Mean Reversion Strategy with the lemon.markets API

This repository contains a Python Script that implements the mean reversion strategy using the lemon.markets API.

Project Structure

This project contains a number of models, which you can find in the models folder. In there, we define all relevant functions for Instruments, Orders, Token and Trading Venue.

All helper functions are defined in the helpers.py file.

The actual mean reversion is logic is defined in the main.py file with mean_reversion() being the main function.

Set up

To test locally, clone this repo, use the IDE of your choice to run (although we highly recommend PyCharm) and install all required packages through the provided requirements.txt file.

Set environment variables

If you want to test locally, you need to define a number of environment variables.

ENV Variable	Explanation
API_KEY	Your API key
MIC	Market Identifier Code of Trading Venue
BASE_URL_TRADING	Base URL of our paper Trading API
BASE_URL_DATA	Base URL of our Market Data API

Deploy to Heroku

If you are interested in hosting this project in the cloud, we suggest that you use Heroku to do so. To make the hosting work, you need to create a new project and connect your GitHub repo. You can find a good explanation here. Additionally, you need to specify the environment variables through Heroku directly. You can do so by either using:

heroku config:set [KEY_NAME=value …]

or by adding them in your project in the Heroku Dashboard under /Settings/Config Vars.

Use this button to deploy to Heroku directly.

Contribute to this repository

lemon.markets is an API from developers for developers. Therefore, we highly encourage you to get involved by opening a PR or contacting us directly via support@lemon.markets.

Have fun and happy coding,