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Introduction to Zipline: A Trading Library for Python

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Re: Introduction to Zipline: A Trading Library for Python

#41

Post by bduerst »

chollida1 wrote: post #2

I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…

This was my experience as well. Doing "quant" trading on the side quickly becomes a second job, as you are always adjusting, training, simulating, and even just observing the models you're using.

It's not impossible to make money though. When it comes down to it, the trade-off for the hours you put in and the money you make only really pays off if you're trading with someone else's money, and lots of it.

Re: Introduction to Zipline: A Trading Library for Python

#42

Post by whatok »

cloudjacker wrote: post #38
sjbase wrote: post #20

Earlier quoted context omitted.

Agreed, HFT has become a catch-all term for anyone trying to make a marketing/political statement about trading. Like the term "big data" - it's been used to describe so many things that it no longer describes anything. Another thing that gets ignored is the the difference between a trading strategy and an execution algorithm.

I wish I could get some rest API and websockets into the debt and credit default swaps market, really inefficient markets that reveal a lot about sentiment don't need high frequency at all, just pretty average latency actually (for now anyway) IB probably has this, not sure though. But those data costs are a huge deterrent for me!

I think DTCC has some freely available live CDS data but I forget where and don't know how the APIs are.

Re: Introduction to Zipline: A Trading Library for Python

#43

Post by [deleted] »

winter_blue wrote: post #29
howlin wrote: post #11

Earlier quoted context omitted.

You can make money having by having better access like the HFT firms or by having data not widely available. You can also make money by applying well known principles more intelligently than others. This latter approach usually requires a lot of money. You can't afford retail brokerage costs when you're in a highly crowded and competitive trade. The best way to make some money as a personal trader is to take advantag…

> You can't afford retail brokerage costs when you're in a highly crowded and competitive trade. This is very important. Most brokerage charge around $7 per trade, which makes high-volume trading very very expensive and prohibitive. Robin Hood is an amazing alternative that charges nada for trades, and once they have an API[1], I think they'd be a great choice for small-time developers looking to do some (low-frequen…

[deleted]

Re: Introduction to Zipline: A Trading Library for Python

#44

Post by selectron »

hellofunk wrote: post #33
canttestthis wrote: post #3

Earlier quoted context omitted.

I never understood this. If its possible to be a profitable independent day trader, and we know it is because many are, then it should be possible to code the rules you follow and become a profitable algo trader.

You vastly underestimate the complexity of a discretionary trader's intuition and experience. You cannot just replicate years of human experience with computer code so easily.

This statement is too general. You could of said the same thing about chess, there are chess Grandmasters who devote their lives to studying the game yet computers play chess at a much higher level than any human.

Re: Introduction to Zipline: A Trading Library for Python

#45

Post by blobbers »

lpage wrote: post #26
chollida1 wrote: post #2

I've typed and deleted this post a few times trying to find a way that it doesn't sound kind of pompous but if it helps save one person alot of money then screw it, I'll sound pompous.... I get asked quite a bit on how to start doing algorithmic trading and the first thing I always tell people is don't. I think I've said this many times now but the number of people who come at it with the thinking "I'm a computer sci…

I mostly agree with this. Treating markets as an exercise purely in data science is a _bad idea_. Risking money without a solid understanding of market mechanics and trading conventions is a recipe for disaster. Taking a Bayesian view won't save you either - this is a land where some new "six sigma" event happens every six months. That said, the same logic that holds for identifying profitable strategies within an in…

I'm curious what folk's thoughts are on these two platforms:

Interactive brokers offers low fee access to their platform (https://www.interactivebrokers.com/en/index.php?f=13869)

Quantopian (www.quantopian.com) gives you the ability to trade through robinhood with long trades at 0 commission. There has been some skepticism in the Q forums on how well robinhood's execution is (possibly the effect of a "you get what you pay for"-attitude).

Trading real capital with algorithms is more difficult than it sounds. Mentally if you're algorithm is doing stock selection as well as trade execution, you no longer understand what you own. During a period of extended drawdown, you have to be mentally tough enough to believe that your algorithm has what it takes to dig itself out.

In a sense, it is like the start-up game. You have to believe you're doing something well enough that in the end you'll be right (and not bankrupt).

Re: Introduction to Zipline: A Trading Library for Python

#46

Post by prodigal_erik »

unknown_apostle wrote: post #19

Everybody's trading nowadays. How about just investing :-) I.e. focus on periods longer than a year, which so few people/professional market participants do. And on actual businesses instead of the crazy antics of a line. I wonder if you could use something like Zipline/Quantopian to screen huge amounts of consolidated balance sheets for markers of undervaluation. You could reject 1000s of companies and focus your “m…

I'm all for value investing (it's the only legitimate reason for stock to exist) but in evolutionary terms, this is hoping to be large and healthy enough to ignore parasites rather than resist them dogging your every step.

Re: Introduction to Zipline: A Trading Library for Python

#47

Post by jaredbroad »

joejev wrote: post #40
flatM wrote: post #32

Earlier quoted context omitted.

For backtesting intraday trades, LEAN from QuantConnect is a better alternative.

Could you explain why you feel that it is better? What in particular does LEAN support that Zipline does not support?

Equities, FOREX, Futures, Options; tick, second, minute, hour and daily resolutions. Python, C# and F# backtesting. Dozens of models for improving the accuracy of your backtest.

Live trading on IB, Tradier, FXCM, Oanda and paper trading.

Local charting built in for desktop and backtesting.

Lots of tools provided for free data downloads to work with public free data libraries. lean.quantconnect.com

(I'm founder of QC :))

Re: Introduction to Zipline: A Trading Library for Python

#48

Post by flatM »

joejev wrote: post #40
flatM wrote: post #32

Earlier quoted context omitted.

For backtesting intraday trades, LEAN from QuantConnect is a better alternative.

Could you explain why you feel that it is better? What in particular does LEAN support that Zipline does not support?

Two features of LEAN won me over are : 1) LEAN supports finer data such as minutes, seconds, and ticks. 2) LEAN was developed in C#, which is way faster than Python.

Re: Introduction to Zipline: A Trading Library for Python

#49

Post by semi-extrinsic »

RussianCow wrote: post #10
canttestthis wrote: post #3

Earlier quoted context omitted.

I never understood this. If its possible to be a profitable independent day trader, and we know it is because many are, then it should be possible to code the rules you follow and become a profitable algo trader.

There are many strategies that are difficult to encode into an algorithm. When I briefly did day trading independently, my most profitable strategies played on public perception and (over)reactions to news. Those things are very, very difficult to properly automate (though many companies try, with varying degrees of success).

> Those things are very, very difficult to properly automate (though many companies try, with varying degrees of success).

Case in point is the fluctuations in Warren Buffett's fund whenever Anne Hathaway is in the news.

http://ftalphaville.ft.com//2011/03/28/528481/for-the-bots-a...

Re: Introduction to Zipline: A Trading Library for Python

#50

Post by semi-extrinsic »

selectron wrote: post #44
hellofunk wrote: post #33

Earlier quoted context omitted.

You vastly underestimate the complexity of a discretionary trader's intuition and experience. You cannot just replicate years of human experience with computer code so easily.

This statement is too general. You could of said the same thing about chess, there are chess Grandmasters who devote their lives to studying the game yet computers play chess at a much higher level than any human.

Chess is rational, following a easily understood set of rules, and both players have perfect information. The big problem has always been analysing all future possibilities.

The stock markets are very far from a rational, perfect information game with simple rules.

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