December 2018
Beginner to intermediate
684 pages
21h 9m
English
Content preview from Hands-On Machine Learning for Algorithmic Trading
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The Investor Exchange
IEX is an alternative exchange started in response to the HFT controversy and portrayed in Michael Lewis' controversial Flash Boys. It aims to slow down the speed of trading to create a more level playing field and has been growing rapidly since launch in 2016 while still small with a market share of around 2.5% in June 2018.
In addition to historical EOD price and volume data, IEX provides real-time depth of book quotations that offer an aggregated size of orders by price and side. This service also includes last trade price and size information:
book = web.get_iex_book('AAPL')orders = pd.concat([pd.DataFrame(book[side]).assign(side=side) for side in ['bids', 'asks']])orders.sort_values('timestamp').head() price ...