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

Aggregation – in search of the best price

Do you remember that any OTC market in general, and the FX in particular, is highly fragmented? There are multiple market participants offering different prices for the same asset at the same moment in time.

This is true for any market participant and any trading venue, and ECNs are no exception. If ECNs were closed systems without any links to the outer world, then the price could potentially be very different from prices in the rest of the FX market. Indeed, if we have there an exchange-like trading venue then even though bids and asks are posted by only a small group of qualified members, the price will be determined by supply and demand, quite like in any other market. This means that price takers will be those who drive the price up or take it down. In a closed system, the price is determined only by members of this system.

It may seem that theoretically nothing prevents the price of the same euro versus the US dollar to be...