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

Order ticket – what you send is what you get

Let’s start with drafting a prototype of a general order ticket – something that is sent to a trading venue.

Normally, orders are sent either as FIX messages (see Chapter 4, Trading Application – What’s Inside?) or in JSON format according to the venue’s specifications. As we also noted in Chapter 4, every venue has its own data and ordering interfaces, but the core properties of an order always remain the same.

Actually, the list of these properties is quite logical. Let’s prepare an empty form and fill in its fields one by one.

First, each order should go out with an ID. Otherwise, how do we or the trading venue refer to it? If we trade live, then the trading venue will generate an order ID that we receive, but if we run a backtest and want to modify orders that had been sent earlier, we need an internally generated order ID. Anyway, number one in our order form is Order ID:

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