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)

Expiry of financial instruments

Financial instruments may or may not have a fixed expiry date. If they do, they are last available for trading on their expiry date. Typically, instruments from a cash segment do not expire, whereas derivative instruments (those from the futures and options segment) have a short validity period, and expire on the given date. This recipe shows both types of instruments and how their expiry date can be fetched. An expiry date is static data, meaning it doesn't change during the live market hours.

Getting ready

Make sure the broker_connection and instruments objects are available in your Python namespace. Refer to the Technical requirements section of this chapter to set up broker_connection. Refer to the first recipe of this chapter to set up instruments.

How to do it…

We execute the following steps for this recipe:

  1. Get an instrument object using broker_connection:
>>> instrument1 = broker_connection.get_instrument('NSE',...