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Python For Finance: Algorithmic Trading

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Re: Python For Finance: Algorithmic Trading

#31

Post by jaredbroad »

QuantConnect recently announced full python library support; and we have launched https://www.quantconnect.com/tutorials to help people write quantiative strategies in Python.

QuantConnect & LEAN gives you ability to do tick->daily resolutions; for equity, morning-star, future, option, forex and cfd trading - all with a fully open source project which includes samples of data to get you started.

The grunt work is still done in C# so its faster than other full python based backtesting engines. Edit: I'm the Founder @ QC.

Re: Python For Finance: Algorithmic Trading

#32

Post by cityhall »

TACIXAT wrote: post #14
pmart123 wrote: post #13

Personally, I struggle to see the competitive advantage Quantopian brings. They use retail brokerage platforms to facilitate trading, which rules out anything close to HFT. Then, they are tied to any financial data vendor (Morningstar in this case) to not offer too much visibility on the underlying data. As others have mentioned, this makes it tough to validate aspects like adjusted vs. as reported earnings, how deli…

My understanding is that Quantopian has no interest in being a platform for HFT. It's there to democratize trading strategies and test them in a sound way. They do a lot to have a good backtesting platform and clean the data that is available in the platform. If I wanted to automate a strategy, I'd have to figure out the Robinhood API and basically recreate what they have. Instead, I can use their platform, their bac…

It sounds like day trading for script kiddies. There's no way to develop or execute a sound strategy with that level of access.

It's like a slot machine tournament. No one has an edge but some percentage of people will do well enough over a finite period to convince them to put real money behind their lucky algorithm.

Re: Python For Finance: Algorithmic Trading

#33

Post by SirLJ »

jaredbroad wrote: post #31

QuantConnect recently announced full python library support; and we have launched https://www.quantconnect.com/tutorials to help people write quantiative strategies in Python. QuantConnect & LEAN gives you ability to do tick->daily resolutions; for equity, morning-star, future, option, forex and cfd trading - all with a fully open source project which includes samples of data to get you started. The grunt work is sti…

When promoting your company, please say so, also on QuantConnect one cannot actually see the data, so there is no way to verify how good the data is...

Re: Python For Finance: Algorithmic Trading

#34

Post by SirLJ »

jaredbroad wrote: post #30
rl3 wrote: post #28

Earlier quoted context omitted.

QuantConnect also offers tick-level data, though not full resolution if memory serves. Still way ahead of Quantopian in any case.

Futures have millisecond timestamps (trades/quotes), equity trade ticks are rounded to the nearest second, cfd/forex are millisecond quote bars. For options we have minute resolution data =)

please use a disclaimer if and when you are promoting your own company...

Re: Python For Finance: Algorithmic Trading

#35

Post by wtvanhest »

TACIXAT wrote: post #19

I went to the Quantopian conference for their basic training on algorithmic trading. This blog post was pretty much what they covered, intro to pandas and a simple strategy. There is a lot of educational material on their site too (which is what you ended up getting in the paid training). My biggest thing with the Python for Finance books - I know Python, I want to learn finance. All these books are the inverse of th…

The problem with learning finance that it takes a lot og effort. A good place to start would be taking the 3 CFA exams. After about 1000 hours of study, you will have a basic grasp of finance.

Re: Python For Finance: Algorithmic Trading

#36

Post by rl3 »

SirLJ wrote: post #33
jaredbroad wrote: post #31

QuantConnect recently announced full python library support; and we have launched https://www.quantconnect.com/tutorials to help people write quantiative strategies in Python. QuantConnect & LEAN gives you ability to do tick->daily resolutions; for equity, morning-star, future, option, forex and cfd trading - all with a fully open source project which includes samples of data to get you started. The grunt work is sti…

When promoting your company, please say so, also on QuantConnect one cannot actually see the data, so there is no way to verify how good the data is...

>When promoting your company, please say so ...

His bio and pronoun usage said as much.

>also on QuantConnect one cannot actually see the data, so there is no way to verify how good the data is...

Can you not load up the data and test it however you wish? They even say where they get their data from.

Re: Python For Finance: Algorithmic Trading

#37

Post by jaredbroad »

SirLJ wrote: post #33
jaredbroad wrote: post #31

QuantConnect recently announced full python library support; and we have launched https://www.quantconnect.com/tutorials to help people write quantiative strategies in Python. QuantConnect & LEAN gives you ability to do tick->daily resolutions; for equity, morning-star, future, option, forex and cfd trading - all with a fully open source project which includes samples of data to get you started. The grunt work is sti…

When promoting your company, please say so, also on QuantConnect one cannot actually see the data, so there is no way to verify how good the data is...

Sorry SirL! I edited it within 10 sec to be explicit but you must've refreshed before I'd updated it =)

We provide FX/CFD data for free download; the other data is restricted by the exchanges sadly so we can't make it available. Instead we put the tools we used to make it into LEAN format into LEAN (/Toolbox) so you can purchase it and convert it yourself.

Re: Python For Finance: Algorithmic Trading

#38

Post by dsacco »

wtvanhest wrote: post #35
TACIXAT wrote: post #19

I went to the Quantopian conference for their basic training on algorithmic trading. This blog post was pretty much what they covered, intro to pandas and a simple strategy. There is a lot of educational material on their site too (which is what you ended up getting in the paid training). My biggest thing with the Python for Finance books - I know Python, I want to learn finance. All these books are the inverse of th…

The problem with learning finance that it takes a lot og effort. A good place to start would be taking the 3 CFA exams. After about 1000 hours of study, you will have a basic grasp of finance.

This is utterly the wrong way to learn finance for quantitative trading. That would be an unproductive use of time.

Read Options, Futures and Other Derivatives and Algorithmic Trading and DMA and you basically know everything you'll get from public sources that could be meaningful for trading.

If he knows how to code and is looking for "mathematics of finance" he should start with those, not the CFA.

Re: Python For Finance: Algorithmic Trading

#39

Post by PaulRobinson »

nickthemagicman wrote: post #25

How is algorithmic trading not equivalent to astrology? Nothing can be predicted because there's way too many confounding factors.

Algo trading typically utilises technical analysis which is basically patterns proven to repeat in markets for a variety of fundamental reasons, or fundamental analysis (e.g. algorithmically valuing and pricing options based on underlying fundamental data, sentiment analysis, etc.), and buying/shorting as appropriate. It is based on scientific methods: empirical evidence being used to validate hypothesis that produce results that can be shared and repeated by others.

Astrology is story-telling with no scientific grounding.

Re: Python For Finance: Algorithmic Trading

#40

Post by dsacco »

Blackstone4 wrote: post #3
SirLJ wrote: post #2

It is a great article, but why on earth someone will use a service like Quantopian or similar service? They are your competitor and who will prevent a disgruntle employee or a hacker to steel your successful trading strategy? Just buy some data from eBay, you can get 20 years of historical stock market data for less than $100 and you can test any trading strategy or idea imaginable, including trend following, buy and…

Have you done this? If so it would be great to get your perspective

This commenter comes into every single thread about trading and talks about buying data from ebay, then consistently demonstrates that he doesn't know the first thing about due diligence on financial data. Each time I try to ask him about his data quality or methodology at even a high level, he responds by accusing me of wanting to steal his work or stop the democratization of data.

I'm going to reiterate this right now: you are not going to find data valuable enough for trading insights on ebay. Go look at the prices of historical data for various time resolutions at TickData or CBOE Livevol and then ask yourself if cheap, competitive data on ebay is too good to be true.

If the data is competitive, it's expensive. If it's not competitive, you shouldn't be paying for it, especially not from ebay. The first time I read about him doing this I was puzzled, now I'm getting increasingly frustrated because it's blatantly false information.

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