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

Implementation of TA indicators in Python

I am sure you remember that any TA indicator uses a certain period as a parameter. This period means a number of data points that we take into consideration. To calculate an indicator on every bar, we start from the oldest one (the leftmost on the chart) and then move one by one, updating our dataset with each new bar.

Since we are talking about an absolutely essential thing that lies in the foundation of all TA, let me be very detailed here – probably too detailed – but I want to leave no place for ambiguity or misunderstanding in the following concepts and code samples.

Let’s start with the core concept of time series processing: the sliding window.

Sliding windows

Let’s go back to the example of a random walk (around bars and movies) that we considered in the previous section. The entire dataset, or historical data, consists of 10 data points:

S1 = {0.7, 2, 1.5, 0.3, 2.6, 1.1, 1.8, 0.45, 3.1, 2...