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

Navigating through data

The problem with data collection starts at the very beginning: every data provider offers its own data, quite often in its own format. Some data providers offer only compressed data or snapshots (see later in this chapter) while others broadcast tick-by-tick data; very few data providers also offer order book (depth of market or DOM; see Chapter 3, FX Market Overview from a Developer’s Standpoint) data.

So, first and above all, you should decide on the data granularity: whether your trading algorithm requires tick-by-tick or compressed data, and if you need DOM data or not. At this stage, you may feel lost with these questions, but don’t worry—you will get a very clear understanding of your data needs when you’ve accomplished further chapters of this book.

Let’s consider all three cases and see how we can actually handle ticks, snapshots, and DOM market data.

Tick data and snapshots

I would like to reiterate that...