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

High frequency, low latency – where Python fails

Our overview would be incomplete without mentioning HFT. Its roots are in the financial crisis of 2008 when liquidity became the main issue in most, if not all, developed markets. Exchanges started to offer an incentive to those who provided liquidity, waiving many restrictions that previously required liquidity providers to be regulated. As a result, many market participants started to offer liquidity, or, rather, demonstrated this liquidity in the order book – because they sent an order only to withdraw it from the book some milliseconds later. In other words, they started to bluff creating an illusion of liquidity.

Of course, to be successful here, you need to be able to process thousands of transactions per second and reduce the latency (that is, the time between the order is sent to the exchange and the time it appears in the order book) to the absolute minimum. That’s why HFT requires very expensive computers...