Book Image

Python Algorithmic Trading Cookbook

By : Pushpak Dagade
Book Image

Python Algorithmic Trading Cookbook

By: Pushpak Dagade

Overview of this book

If you want to find out how you can build a solid foundation in algorithmic trading using Python, this cookbook is here to help. Starting by setting up the Python environment for trading and connectivity with brokers, you’ll then learn the important aspects of financial markets. As you progress, you’ll learn to fetch financial instruments, query and calculate various types of candles and historical data, and finally, compute and plot technical indicators. Next, you’ll learn how to place various types of orders, such as regular, bracket, and cover orders, and understand their state transitions. Later chapters will cover backtesting, paper trading, and finally real trading for the algorithmic strategies that you've created. You’ll even understand how to automate trading and find the right strategy for making effective decisions that would otherwise be impossible for human traders. By the end of this book, you’ll be able to use Python libraries to conduct key tasks in the algorithmic trading ecosystem. Note: For demonstration, we're using Zerodha, an Indian Stock Market broker. If you're not an Indian resident, you won't be able to use Zerodha and therefore will not be able to test the examples directly. However, you can take inspiration from the book and apply the concepts across your preferred stock market broker of choice.
Table of Contents (16 chapters)

Knowing other attributes supported by the broker

For placing an order, the following attributes are needed: order transaction type, order variety, order type, and order code. Different brokers may support different types of order attributes. For example, some brokers may support just regular orders, while others may support regular and bracket orders. The value for each of the attributes supported by the broker can be queried using the broker specific constants provided by the pyalgotrading package.

How to do it…

We execute the following steps to complete this recipe:

  1. Import the necessary class from the pyalgotrading module:
>>> from pyalgotrading.broker.broker_connection_zerodha import BrokerConnectionZerodha
  1. List the order transaction types:
>>> list(BrokerConnectionZerodha.ORDER_TRANSACTION_TYPE_MAP.keys())

We'll get the following output:

[<BrokerOrderTransactionTypeConstants.BUY: 'BUY'>,
<BrokerOrderTransactionTypeConstants.SELL: 'SELL'>]
  1. List the order varieties:
>>> list(BrokerConnectionZerodha.ORDER_VARIETY_MAP.keys())

We'll get the following output:

[<BrokerOrderVarietyConstants.MARKET: 'ORDER_VARIETY_MARKET'>,
<BrokerOrderVarietyConstants.LIMIT: 'ORDER_VARIETY_LIMIT'>,
<BrokerOrderVarietyConstants.STOPLOSS_LIMIT: 'ORDER_VARIETY_STOPLOSS_LIMIT'>,
<BrokerOrderVarietyConstants.STOPLOSS_MARKET: 'ORDER_VARIETY_STOPLOSS_MARKET'>]
  1. List the order types:
>>> list(BrokerConnectionZerodha.ORDER_TYPE_MAP.keys())

We'll get the following output:

[<BrokerOrderTypeConstants.REGULAR: 'ORDER_TYPE_REGULAR'>,
<BrokerOrderTypeConstants.BRACKET: 'ORDER_TYPE_BRACKET'>,
<BrokerOrderTypeConstants.COVER: 'ORDER_TYPE_COVER'>,
<BrokerOrderTypeConstants.AMO: 'ORDER_TYPE_AFTER_MARKET_ORDER'>]
  1. List the order codes:
>>> list(BrokerConnectionZerodha.ORDER_CODE_MAP.keys())

We'll get the following output:

[<BrokerOrderCodeConstants.INTRADAY: 'ORDER_CODE_INTRADAY'>,
<BrokerOrderCodeConstants.DELIVERY: 'ORDER_CODE_DELIVERY_T0'>]

How it works…

In step 1, we import the BrokerConnectionZerodha class from pyalgotrading. This class holds the order attributes mapping between pyalgotrading and broker specific constants as dictionary objects. The next steps fetch and print these mappings. Step 2 shows that your broker supports both BUY and SELL order transaction types.

Step 3 shows that your broker supports MARKET, LIMIT, STOPLOSS_LIMIT, and STOPLOSS_MARKET order varieties. Step 4 shows that your broker supports REGULAR, BRACKET, COVER, and AFTER_MARKET order types. Step 5 shows that your broker supports INTRADAY and DELIVERY order codes.

The outputs may differ from broker to broker, so consult your broker documentation if you are using a different broker. A detailed explanation of all these types of parameters will be covered in Chapter 6, Placing Trading Orders on the Exchange. This recipe is to just give an overview of the parameters, as they are needed in the subsequent recipes of this chapter.