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Mastering pandas for Finance by Michael Heydt

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Chapter 7. Algorithmic Trading

In this chapter, we will examine how to use pandas and a library known as Zipline to develop automated trading algorithms. Zipline (http://www.zipline.io/) is a Python-based algorithmic trading library. It provides event-driven approximations of live-trading systems. It is currently used in production as the trading engine that powers Quantopian (https://www.quantopian.com/), a free, community-centered platform for collaborating on the development of trading algorithms with a web browser.

We previously simulated trading based on a historical review of social and stock data, but these examples were naive in that they glossed over many facets of real trading, such as transaction fees, commissions, and slippage, among ...

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