Book Image

Getting Started with Forex Trading Using Python

By : Alex Krishtop
Book Image

Getting Started with Forex Trading Using Python

By: Alex Krishtop

Overview of this book

Algorithm-based trading is a popular choice for Python programmers due to its apparent simplicity. However, very few traders get the results they want, partly because they aren’t able to capture the complexity of the factors that influence the market. Getting Started with Forex Trading Using Python helps you understand the market and build an application that reaps desirable results. The book is a comprehensive guide to everything that is market-related: data, orders, trading venues, and risk. From the programming side, you’ll learn the general architecture of trading applications, systemic risk management, de-facto industry standards such as FIX protocol, and practical examples of using simple Python codes. You’ll gain an understanding of how to connect to data sources and brokers, implement trading logic, and perform realistic tests. Throughout the book, you’ll be encouraged to further study the intricacies of algo trading with the help of code snippets. By the end of this book, you’ll have a deep understanding of the fx market from the perspective of a professional trader. You’ll learn to retrieve market data, clean it, filter it, compress it into various formats, apply trading logic, emulate the execution of orders, and test the trading app before trading live.
Table of Contents (21 chapters)
1
Part 1: Introduction to FX Trading Strategy Development
5
Part 2: General Architecture of a Trading Application and A Detailed Study of Its Components
11
Part 3: Orders, Trading Strategies, and Their Performance
15
Part 4: Strategies, Performance Analysis, and Vistas

Market-making – profiting on liquidity provision and associated risks

We already considered market-making in detail in the Market makers – comfortable, sophisticated, expensive section in Chapter 3, FX Market Overview from a Developer’s Standpoint, so there’s no need to repeat ourselves here. We will mention market-making here only for consistency as an example of a sell-side trading strategy. If we want to classify market-making as pertaining to alpha- or beta-generating strategies, probably we could qualify it as beta-generating. However, at the same time, high values of beta are harmful to market-making. In general, market making requires the trader not only to be sufficiently funded but also to meet various regulatory requirements, which makes this activity available mostly to institutions.

This is no surprise that market making requires not only direct access to the order book, with the ability to update the best bid and ask there, but also assumes...