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

Compound orders

Compound orders are those that assume a certain logical chain in their execution. That’s why they are also referred to as conditional orders. Strictly speaking, such an order is not a single order: it’s a sequence of orders that are triggered one by another.

As the most common example, let’s consider a stop-limit order. Unlike stop or limit orders, it requires two prices to be specified: stop and limit. If such an order is sent to the execution venue, first, the venue’s matching engine waits till the stop price of the order is touched by the market (best bid/ask) price. After that, the order is executed using its limit price exactly like when executing a limit order. So, a stop limit order is a combination of both.

For example, if the current price of EUR USD is 1.01015 and I want to buy it at 1.0102, I can use a stop order to enter the market – but I remember that during the execution of a stop order, I can get a potentially...