Make sure to check out the wonderful web application the Quantopian team has built using this library at http://www.quantopian.com
Show HN: Zipline - algorithmic trading in open source Python
11–20 of 31 posts
Re: Show HN: Zipline - algorithmic trading in open source Python
#12Awesome.
Re: Show HN: Zipline - algorithmic trading in open source Python
#13Earlier quoted context omitted.
Checkout http://www.interactivebrokers.com/en/main.php and http://www.lightspeed.com/
Thanks for the tip. Looks like they have a 10k minimum balance.
Because of the volatility of returns there is a minimum amount of money needed, sums below that minimum are just going to get wiped out before they have a chance to get a buffer added. 10K lower limits are there for good reasons.
Re: Show HN: Zipline - algorithmic trading in open source Python
#14Earlier quoted context omitted.
Checkout http://www.interactivebrokers.com/en/main.php and http://www.lightspeed.com/
Thanks for the tip. Looks like they have a 10k minimum balance.
If anyone can find an api with intraday quotes and support for backtesting which doesn't require a 10K mininum please let us know!
(I know that's probably 0 brokers)
Re: Show HN: Zipline - algorithmic trading in open source Python
#15Earlier quoted context omitted.
Checkout http://www.interactivebrokers.com/en/main.php and http://www.lightspeed.com/
Thanks for the tip. Looks like they have a 10k minimum balance.
Given most brokers transaction fee model, I don't think you'd want to algo trade with much less than that.
Though iirc Collective2 lets you test strategies for free:
Re: Show HN: Zipline - algorithmic trading in open source Python
#16The "Hello World" sample algorithm on Quantopian gets a 4000% return if it operates on AAPL for a year. It makes trades each minute using a "3 day volume-weighted-average-price." I find it hard to believe this algorithm would perform so well in the real world.
How much of an impact would factors like latency in a real world environment have on this algorithm?
https://www.quantopian.com/posts/the-hello-world-algorithm-m...
Re: Show HN: Zipline - algorithmic trading in open source Python
#17This looks pretty good. You already have competitors out there like Collective2. It'd be nice if you guys can get options data with IV; it's probably harder to get data licenses for historical options data but it'll differentiate you guys from the rest of the competition.
The data is more expensive, but the other challenge is the complexity and volume of the data. Our thought is to build an end-to-end system on equity and then add other instrument types.
Shameless plug, but Bloomberg's Data License product has, for example, all exchange traded options with full greeks, IV, etc available with many years of historical data among plenty of other asset classes. Typical sales are done to Terminal customers, but the team is always open to talking to businesses with a different model.
Re: Show HN: Zipline - algorithmic trading in open source Python
#18Quantopian presented at the New York Software Engineers meetup last week. As somebody who has built proprietary backtesting software before, I applaud their open-source approach to this problem. They have some recorded presentations on their blog for anybody who is interested http://blog.quantopian.com/
Re: Show HN: Zipline - algorithmic trading in open source Python
#19Earlier quoted context omitted.
Thanks for the tip. Looks like they have a 10k minimum balance.
If anyone can find an api with intraday quotes and support for backtesting which doesn't require a 10K mininum please let us know! (I know that's probably 0 brokers)
IB has an API that supports tick-by-tick historical data and real-time quotes. You might be able to sign up for a demo account and pull from their historical database. You'll have to roll your own backtester though when you build your own historical DB.
But to save you the time, applying regular ML to historical tick-data will only make you into a smarter market-maker. In usual trending or sideways equities, you'll make small amounts of money followed by a catastrophic loss due to catalyst events, earnings etc that wipes out months of money.
Perhaps the most important part of algo-design is not the ML, but tweaking draw-down and risk management.
Re: Show HN: Zipline - algorithmic trading in open source Python
#20If you decided to use an algorithm for real-world investing, what brokers would you recommend that have good APIs?
I think interactive brokers is one of the common choices for people who don't have the resources/money to get direct exchange connections or similar.
IB gets you more access for less money than any other outfit I'm aware of. They narrowly missed getting Corzine'd last year. I'm glad they had the sense to walk away. http://www.futuresmag.com/2011/11/04/interactive-brokers-chi...