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 orders – the way to get maximum control over transactional risk

Let’s start with the most simplistic (at least at first glance) type of order: the market order. A market order is an order to buy or sell a certain amount of an asset at a market price. By market price, we normally assume the best bid or the best ask (see Chapter 3, FX Market Overview from a Developer’s Standpoint, for the explanation of the best bid and ask), and most trading strategy developers test their ideas using only the best bid/ask historical data. So, we can add another record to our order ticket prototype, and this record represents the order type:

Figure 10.5 – Specifying the order type

Figure 10.5 – Specifying the order type

We already saw (see again Chapter 3, FX Market Overview from a Developer’s Standpoint) that liquidity may have a substantial impact on how orders are executed in reality and it is considered quite a frequent situation when a single large order may move...