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

Time in force – better control over execution

The specifiers mentioned previously are normally called time in force conditions, although, as you will see a bit later in this chapter, for some of them, it is not really obvious or intuitive.

Important disambiguation

More often than not, these execution method specifiers are referred to as the type of order. This can be found not only in some brokers’ documentation but also in books on trading, and even academic research. So, be very careful when you encounter type of order or time in force in any documentation, and make sure you understand what exactly the author had in mind: the type of order as such (market, limit, stop, etc.), the time during which it is valid, or how the order should be executed liquidity-wise!

In the following subsections, we will consider different order specifiers in detail.

Immediate or cancel

An Immediate-or-Cancel (IOC) instruction attached to a market order means: I want to buy...