book

Python for Algorithmic Trading Cookbook

by Jason Strimpel

August 2024

Intermediate to advanced

406 pages

9h 25m

English

Packt Publishing

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About the author
Who this book is forWhat this book coversTo get the most out of this bookDownload the example code filesConventions usedGet in touchShare Your ThoughtsMaking the Most Out of This Book – Get to Know Your Free BenefitsStep 1Step 2Step 3
Technical requirementsWorking with stock market data with the OpenBB PlatformGetting ready…How to do it…How it works…There’s more…See alsoFetching historic futures data with the OpenBB PlatformGetting ready…How to do it…There’s more…See alsoNavigating options market data with the OpenBB PlatformGetting ready…How to do it…How it works…There’s more…See alsoHarnessing factor data using pandas_datareaderGetting ready…How to do it…How it works…There’s more…See also
Diving into pandas index typesHow to do it…How it works…There’s more…See alsoBuilding pandas Series and DataFramesGetting readyHow to do it…How it works…There’s more…See alsoManipulating and transforming DataFramesGetting ready…How to do it…How it works…There’s more…See alsoExamining and selecting data from DataFramesHow to do it…How it works…There’s more…See alsoCalculating asset returns using pandasHow to do it…How it works…There’s more…See alsoMeasuring the volatility of a return seriesHow to do it…How it works…There’s more…See alsoGenerating a cumulative return seriesGetting ready…How to do it…How it works…See alsoResampling data for different time framesHow to do it…How it works…There’s more…See alsoAddressing missing data issuesGetting ready…How to do it…How it works…There’s more…See alsoApplying custom functions to analyze time series dataGetting ready…How to do it…How it works…There’s more…See also
Quickly visualizing data using pandasHow to do it…How it works…There’s more…See alsoAnimating the evolution of the yield curve with MatplotlibHow to do it…How it works…There’s more…See alsoPlotting options implied volatility surfaces with MatplotlibGetting ready…How to do it…How it works…There’s more…See alsoVisualizing statistical relationships with SeabornHow to do it…How it works…There’s more…See alsoCreating an interactive PCA analytics dashboard with Plotly DashGetting ready…How to do it…How it works…There’s more…See also
Storing data on disk in CSV formatHow to do it…How it works…There’s more…See also…Storing data on disk with SQLiteGetting ready…How to do it…How it works…There’s more…See also…Storing data in a PostgreSQL database serverGetting ready…How to do it…How it works…There’s more…See also…Storing data in ultra-fast HDF5 formatGetting ready…How to do it…How it works…There’s more…See also…
Identifying latent return drivers using principal component analysisGetting readyHow to do it…How it works…There’s more…See alsoFinding and hedging portfolio beta using linear regressionGetting readyHow to do it…How it works…There’s more…See alsoAnalyzing portfolio sensitivities to the Fama-French factorsGetting readyHow to do it…How it works…There’s more…See alsoAssessing market inefficiency based on volatilityHow to do it…How it works…There’s more…See alsoPreparing a factor ranking model using Zipline PipelinesGetting readyHow to do it…How it works…There’s more…See also
Building technical strategies with VectorBTGetting readyHow to do it…How it works…There’s more…See alsoConducting walk-forward optimization with VectorBTGetting readyHow to do it…How it works…There’s more…See alsoOptimizing the SuperTrend strategy with VectorBT ProGetting readyHow to do it…How it works…There’s more…See also

Technical RequirementsFor Windows, Unix/Linux, and Mac Intel usersFor Mac M1/M2 usersBacktesting a momentum factor strategy with Zipline ReloadedGetting readyHow to do it…How it works…There’s more…See alsoExploring a mean reversion strategy with Zipline ReloadedGetting readyHow to do it…How it works…There’s more…See also
Preparing backtest resultsGetting ready…How to do it…How it works…There’s more…See alsoEvaluating the information coefficientGetting ready…How to do it…How it works…There’s more…See alsoExamining factor return performanceHow to do it…How it works…There’s more…See alsoEvaluating factor turnoverHow to do it…How it works…There’s more…See also
Preparing Zipline backtest results for Pyfolio ReloadedGetting ready…How to do it…How it works…There’s more…See alsoGenerating strategy performance and return analyticsGetting ready…How to do it…How it works…There’s more…See alsoBuilding a drawdown and rolling risk analysisGetting ready…How to do it…How it works…There’s more…See alsoAnalyzing strategy holdings, leverage, exposure, and sector allocationsGetting ready…How to do it…How it works…There’s more…See alsoBreaking Down Strategy Performance to Trade LevelGetting ready…How to do it…How it works…There’s more…See also
Building an algorithmic trading appGetting ready…How to do it…How it works…There’s more…See alsoCreating a Contract object with the IB APIGetting ready…How to do it…How it works…There’s more…See alsoCreating an Order object with the IB APIGetting ready…How to do it…How it works…There’s more…See alsoFetching historical market dataGetting ready…How to do it…How it works…There’s more…See alsoGetting a market data snapshotGetting ready…How to do it…How it works…There’s more…See alsoStreaming live market dataGetting ready…How to do it…How it works…There’s more…See alsoStoring live tick data in a local SQL databaseGetting ready…How to do it…How it works…There’s more…See also
Executing orders with the IB APIGetting readyHow to do it…How it works…There’s more…See alsoManaging orders once they’re placedGetting readyHow to do it…How it works…There’s more…See alsoGetting details about your portfolioGetting readyHow to do it…How it works…There’s more…See alsoInspecting positions and position detailsGetting readyHow to do it…How it works…There’s more…See alsoComputing portfolio profit and lossGetting readyHow to do it…How it works…There’s more…See also
Calculating real-time key performance and risk indicatorsGetting readyHow to do it…How it works…There’s more…See alsoSending orders based on portfolio targetsGetting readyHow to do it…How it works…There’s more…See alsoDeploying a monthly factor portfolio strategyGetting readyHow to do it…How it works…There’s more…See alsoDeploying an options combo strategyGetting readyHow to do it…How it works…There’s more…See alsoDeploying an intraday multi-asset mean reversion strategyGetting readyHow to do it…How it works…There’s more…See also
Streaming real-time options data with ThetaDataGetting readyHow to do it…How it works…There’s more…See alsoUsing the ArcticDB DataFrame database for tick storageGetting readyHow to do it…How it works…There’s more…See alsoTriggering real-time risk limit alertsGetting readyHow to do it…How it works…There’s more…See alsoStoring trade execution details in a SQL databaseGetting readyHow to do it…How it works…There’s more…See also
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Overview

Explore the practicalities of mastering algorithmic trading as you delve into 'Python for Algorithmic Trading Cookbook'. This hands-on guide takes you through essential Python recipes for data acquisition, financial modeling, and deploying live trading solutions. Gain the backbone you need to integrate algorithmic trading into your professional or personal financial strategies.

What this Book will help me do

Learn to collect, analyze, and store market data using cutting-edge Python tools, empowering you to make informed financial decisions.
Understand the principles of algorithmic trading models and learn to implement them effectively in Python.
Gain proficiency in backtesting trading strategies with robust Python libraries, ensuring their practicality and reliability.
Master the integration of your Python trading strategies into live trading environments with APIs.
Develop a systematic and data-driven approach to designing trading models, improving both accuracy and profitability.

Author(s)

Jason Strimpel, the author of 'Python for Algorithmic Trading Cookbook', is a veteran in the field of quantitative finance and algorithmic trading. With extensive experience in trading and risk management, Jason combines technical expertise with a clear, approachable teaching style. His passion lies in equipping learners with the skills to revolutionize their approach to trading through technology and data insights.

Who is it for?

This book is ideal for traders, investors, and Python developers who seek to integrate algorithmic trading into their repertoire. If you have a foundation in Python programming and an understanding of stock market dynamics, this book will guide you to advance your skills. Whether you're an aspiring quant or an experienced trader wanting to explore Python technologies, this book caters to your needs.