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

Choosing the market and preparing data

There is one very common misconception regarding systematic trading: it is believed that a technical trading strategy should work in any market. I hope that the previous chapters have already dispelled this myth. Just as an example, let’s recall the famous EURCHF market while the Swiss national bank was keeping the rate of the Swiss franc pegged to the euro (see Chapter 9, Trading Strategies and Their Core Elements) – go and trade it using trend-following if the price virtually doesn’t move at all!

Even if we set aside such extreme examples, anyway, choosing the market can be a non-trivial task. Most of the time, we have to try many markets even if we can make an educated guess about which should perform better with a specific kind of strategy. However, there are some general guidelines that we are going to use now.

First, since we’re focused on trend-following, we would like to trade a market that is full of...