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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

#31

Post by blobbers »

CaptainKanuk wrote: post #18
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 run Quantopian's Lectures, which are also intended to teach the statistics behind trading. https://www.quantopian.com/lectures

These have been really great. Thanks for putting them together!

Re: Introduction to Zipline: A Trading Library for Python

#32

Post by flatM »

edsouza wrote: post #30

I have looked at Zipline before, but it does not handle intraday trades, and does some guesses on when the trade executes during the "day", so you may not get the best price. Running an algorithm for multi-day trades for more than a few months does not make sense on how the markets move, as certain events like "brexit", earnings, M&A, etc... affect stock price. If you are really interested in algorithmic trading, and…

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

Re: Introduction to Zipline: A Trading Library for Python

#33

Post by hellofunk »

canttestthis wrote: post #3
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 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.

Re: Introduction to Zipline: A Trading Library for Python

#34

Post by flatM »

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…

If you're serious into retail algotrading, IB (Interactive Brokers) is the best broker you can get.

Re: Introduction to Zipline: A Trading Library for Python

#35

Post by jb1991 »

Before you jump in try to make your millions, a fairly well-known and accepted statistic is that at least 95% of day traders (using any method) lose money.

All the very successful day traders I know lost lots of money in the beginning before learning how to do it properly. You need to have a solid source of funds to fuel your learning, and tremendous patience.

Re: Introduction to Zipline: A Trading Library for Python

#36

Post by ssanderson11235 »

edsouza wrote: post #30

I have looked at Zipline before, but it does not handle intraday trades, and does some guesses on when the trade executes during the "day", so you may not get the best price. Running an algorithm for multi-day trades for more than a few months does not make sense on how the markets move, as certain events like "brexit", earnings, M&A, etc... affect stock price. If you are really interested in algorithmic trading, and…

Zipline dev here. Zipline happily works on minutely data (in fact, we recently dropped support for daily mode entirely on Quantopian, which is built on top of Zipline).

All the tutorials and examples for Zipline use daily data because there's no freely-available minutely data that we can distribute to our users.

Re: Introduction to Zipline: A Trading Library for Python

#37

Post by cponeill »

unknown_apostle wrote: post #21
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…

Actually, does anyone know where an amateur could buy/download quarterly balance sheets/income statements for the broad stock market universe?

You could always use Yahoo Finance or Marketwatch for a quick overview of the financial statements of publicly traded companies.

Re: Introduction to Zipline: A Trading Library for Python

#38

Post by cloudjacker »

sjbase wrote: post #20
cloudjacker wrote: post #9

Earlier quoted context omitted.

algorithmic trading doesn't equal high frequency trading. people conflate these a lot even though they know better. high frequency trading requires algorithmic trading. but algorithmic trading can implement warren buffet or suzi orman's style if thats what you wanted.

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!

Re: Introduction to Zipline: A Trading Library for Python

#39

Post by gaius »

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.

Indeed. Think about how many tens of millions of people drive everyday... But a self-driving car still proved elusive...

Re: Introduction to Zipline: A Trading Library for Python

#40

Post by joejev »

flatM wrote: post #32
edsouza wrote: post #30

I have looked at Zipline before, but it does not handle intraday trades, and does some guesses on when the trade executes during the "day", so you may not get the best price. Running an algorithm for multi-day trades for more than a few months does not make sense on how the markets move, as certain events like "brexit", earnings, M&A, etc... affect stock price. If you are really interested in algorithmic trading, and…

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?
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