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

The correct way to calculate the number of trades

When we were working with the trend-following strategy in Chapter 12, Sample Strategy – Trend-Following, we only opened new positions, and each opening closed the previously open one. This is normal for always-in-the-market strategies. In this case, indeed, the number of trades coincides with the number of executed orders.

In our example with a limit and a stop order, we use two orders to actually perform just one trade: buying and then exiting the market with a profit or loss. Therefore, we should only use the amount of entry orders to calculate the average trade. How can we distinguish between opening and closing orders?

There are multiple ways of doing that. One of the possible options would be adding another key to the order with values of Entry or Exit, but we will use a different approach: we will add a new attribute to the tradingSystemMetadata class, which will hold the actual number of trades, and we will update...