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

Retrieving and Handling Market Data with Python

If you look at the general logical diagram of a trading application’s architecture, which we devised in Chapter 1, Developing Trading Strategies – Why They Are Different, you can see that now we’re moving from the very first module named Receive data to the second one, Cleanup and filter, which features the Store and Retrieve functionality.

In previous chapters, we mentioned many times that any algo trading application is based on market data, and success in algo trading (that is, the ability to make money and not lose it) depends on the quality of the data and its consistency. So, let’s proceed to determine which data we really need to collect and how to make sure the collected data is consistent, then decide about the internal format for the trading app, and the way to store, update, retrieve, and delete data (if necessary).

Upon finishing this chapter, you will have a clear understanding of the most...