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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

#141

Post by RockyMcNuts »

Sukotto wrote: post #71
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 has been on my mind recently as someone who was in the front office for a few years (but not making trades) but is now on the outside. I mean each day 100's of Phd's start with clean market data, more data sources than you could possibly think of and statistical back testing systems that have 1000's of man hours put into them, trying to find a way to make money. It seems to me that the Tiger Rule applies here. Y…

you can make more money, you just have to take more risk, and it takes being quite knowledgeable, experienced, and careful to know what a good risk is and how to diversify it/hedge it.

Re: Introduction to Zipline: A Trading Library for Python

#142

Post by infinite8s »

lordnacho wrote: post #133

I'm sitting at an HFT here, coding. This zipline thing is quite interesting if you're new, but if you can code, I'm not sure what the advantage is. The idea of a backtest is quite simple, and you can easily fire up something like pandas to do it for you. The equity line is simply your positions x returns, minus costs. To determine your positions, you have to make sure you aren't looking at future prices, but apart fr…

2 questions - what kind of leg work is involved, and how much is a fair bit of money? Is it possible with 250k of working capital?

Re: Introduction to Zipline: A Trading Library for Python

#143

Post by seagreen »

nl wrote: post #126
seagreen wrote: post #119

Earlier quoted context omitted.

Dr. Lun has a PhD from MIT and is doing original AI research. If that's your profile then do what you want=)

There are plenty of MIT PhDs very successfully losing money. I think this goes directly to the "if you use these platforms you are a fool" comment. It seems to me that some people who aren't fools use the platforms, and some who are, don't. Also, this is HN. Pretty sure there is more than one MIT PhD reading this, and I know there is more than one doing original AI research. Bring this comment to mind: https://twitte…

  "if you use these platforms you are a fool"
Hey, that's not fair, you're arguing against half my point!

I said if you use these platforms _and don't have a reason to think you've got an advantage_ you shouldn't be doing so.

Lun and his peers are an exception to this. If you want to make a second argument and say he shouldn't be trading go ahead (and I'll try to back you up), but my original point was about the 99.9% who aren't Lun and are clearly just fish.

Re: Introduction to Zipline: A Trading Library for Python

#144

Post by lordnacho »

infinite8s wrote: post #142
lordnacho wrote: post #133

I'm sitting at an HFT here, coding. This zipline thing is quite interesting if you're new, but if you can code, I'm not sure what the advantage is. The idea of a backtest is quite simple, and you can easily fire up something like pandas to do it for you. The equity line is simply your positions x returns, minus costs. To determine your positions, you have to make sure you aren't looking at future prices, but apart fr…

2 questions - what kind of leg work is involved, and how much is a fair bit of money? Is it possible with 250k of working capital?

Leg work:

- Getting the data into a shape that you can use. Normally a total PITA. For futures, you have to either stitch the contracts yourself, or get a pre-stitched series, which you have to take time to understand. Filtering it for weird data points.

- Writing the strategy / backtesting code. The fun part.

- Connecting to a broker. Gotta read API docs, test the functions, connect it to your code in a way that makes sense, and probably in a way that makes it easy to switch brokers. Test the price feed, write error handling code.

- Daily operations code. You'll need a daily process where you can see what's going on. Automated testing of the trade report for correctness. Notifications from brokers need responses, you need to post margin as well. Some kind of SMS or Whatsapp for when something is wrong. Holiday calendar.

250k is not enough. Some of the futures contracts are quite large, and you won't be able to get the full benefit of diversification if you don't have a bunch of instruments to trade (look for a blog called Investment Idiocy, he recently talked about this). Above ~$3-5M, it isn't a problem and you can ignore it.

Re: Introduction to Zipline: A Trading Library for Python

#145

Post by cloudjacker »

infinite8s wrote: post #140
cloudjacker wrote: post #118

Earlier quoted context omitted.

That is awesome Yeah i get the promise: professionals do this, pay a premium for that Until they don't because someone provides the data for free or next to nothing In this town we call it disruption

Who's going to provide that data for free when they can charge a LOT of money for access to it. Ever notice why free data on Google or Yahoo are 15 min delayed?

I know what the exchanges charge for data access, and even if you pay it is in an antiquated format.

Tradier has been providing equity and option tick data for free for years in a clean RESTful API with the capability of websockets and streaming. So thats the answer to your question of who.

Like I said, in this town we call it disruption.

Re: Introduction to Zipline: A Trading Library for Python

#146

Post by oldmartin »

joeyspn wrote: post #76
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 mean each day 100's of Phd's... Yes, but then... "Finance novice beats hedge fund pros, winning $100k in Quantopian trading contest" https://pando.com/2015/03/05/finance-novice-beats-hedge-fund... Thousands of brilliant people are out there undiscovered and I think quantopian does a great job leveling the playing field.

"Yes, but then... "Finance novice beats hedge fund pros, winning $100k in Quantopian trading contest"

Not sure if you know, but that winning algorithm was taken offline within one month for poor performance. It was probably just overoptimised on past data to win the competition and then failed miserably out in the real market.

Re: Introduction to Zipline: A Trading Library for Python

#147

Post by meritt »

pfarnsworth wrote: post #125
meritt wrote: post #84

Earlier quoted context omitted.

The rapid rise in popularity of algorithmic trading among everyday coders, the massive growth of /r/wallstreetbets, and the popularity of Quantopian tells me one thing: Go long on retail brokers (AMTD, ETFC, IBKR)

Massive growth of wallstreetbets? Come on, I've been subscribed to that subreddit since the beginning and it's largely a joke.

It's absolutely a joke but that doesn't mean it's not causing a lot of people to trade options

Re: Introduction to Zipline: A Trading Library for Python

#148

Post by Blackthorn »

lintiness wrote: post #139
Blackthorn wrote: post #121

Earlier quoted context omitted.

I use Interactive Brokers. They're probably the best retail brokerage out there. They're cheap -- the best rates on commissions and by far the best rates for margin. And they have a reasonably well-documented and supported API which you can write your programs against. The API is actually pretty much industry-standard so if you're interested in a third-party program, they probably support it. If there's any downside,…

use iqfeed or quandl for data (i use iqfeed for quotes as well).

Sure but that's a big monthly expense.

Re: Introduction to Zipline: A Trading Library for Python

#149

Post by sseveran »

cloudjacker wrote: post #145
infinite8s wrote: post #140

Earlier quoted context omitted.

Who's going to provide that data for free when they can charge a LOT of money for access to it. Ever notice why free data on Google or Yahoo are 15 min delayed?

I know what the exchanges charge for data access, and even if you pay it is in an antiquated format. Tradier has been providing equity and option tick data for free for years in a clean RESTful API with the capability of websockets and streaming. So thats the answer to your question of who. Like I said, in this town we call it disruption.

Thats part of their business model. I have not used their data but I can tell you that all tick data is not created equally.

We are unlikely to ever see CDS data for free since individuals cannot trade them as most retail investors are not Eligible Contract Participant. Some brokerages give away data to get people to trade with them so there its about customer acquisition.

Re: Introduction to Zipline: A Trading Library for Python

#150

Post by SEJeff »

chollida1 wrote: post #113
SEJeff wrote: post #112

Earlier quoted context omitted.

You're pretty much spot on sans the "clean market data" part. I work for a very large electronic trading firm (and have been in HFT professionally the past 8.5-9 years of my career) who has a team dedicated to just grooming this data. It is a lot of work and it is noisy. Coming from some exchanges, it is even often wrong. Look at the entire mess the recent leap second did to some exchanges.

I think you misunderstood, or I wasn't clear:) The reason they have clean data is that big firms have teams of people dedicated to just cleaning data. The little guy has to spend time cleaning data even before he/she starts to compete.

Right, I'm saying I work at one of said firms. The data even then isn't clean, just cleaner. Perhaps I'm just too pedantic :)
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