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)

MACD-Bracket-Order strategy – backtesting the strategy

In this recipe, you will perform backtesting on the MACD-Bracket-Order strategy. You must have fetched this strategy from your account on the AlgoBulls platform in the previous recipe of this chapter. You will leverage the backtesting functionality facilitated by pyalgotrading for this recipe, which, in turn, submits a backtesting job on the AlgoBulls platform.

Once submitted, backtesting will be run by the AlgoBulls backtesting engine. You can query the status at any time to find out the state of the backtesting job. The job goes through the following states, in the given order:

  • STARTING (Intermediate state)
  • STARTED (Stable state)
  • STOPPING (Intermediate state)
  • STOPPED (Stable state)

On submitting a job, it starts with an intermediate state, 'STARTING'. In this state, the AlgoBulls backtesting engine fetches the strategy and get the execution environment ready, which may take a couple of minutes. Once done,...