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

Average trade and trading costs

Average trade is one of the most essential yet simplistic metrics: it’s just the ratio of the total net profit achieved by a strategy to the total number of trades:

Why do we need this value?

To answer this question, we should recall a few things from theory again.

In Chapter 3, FX Market Overview from a Developer’s Standpoint, we considered how markets are organized and learned that there is always a difference between the price at which we can buy and at which we can sell – the spread. Regardless of the type of orders used in the strategy, the market price must move for the distance of the spread at the very least, only to move the newly opened position from a negative zone to break even.

Besides that, don’t forget the various issues with liquidity and order execution that were considered in Chapter 10, Types of Orders and Their Simulation in Python. If the strategy uses market orders...