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Introduction to Zipline: A Trading Library for Python

quantinsti.com

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Re: Introduction to Zipline: A Trading Library for Python

#51

Post by edsouza »

ssanderson11235 wrote: post #36
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.

Good to hear, I stopped using quantopian because of lack of intraday details.

Re: Introduction to Zipline: A Trading Library for Python

#52

Post by smnscu »

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…

Random idea, but what if you could combine market data with news articles, and (obviously only for the past few years) data from blogs/reddit/hn/twitter/etc.? Sometimes there is fascinating insight to be learned in obscure places on the Internet (hn itself being a great example); I imagine a system that would collect and analyze that kind of information would be quite interesting, despite the huge amount of noise. Such a hypothetical system reminds me of this story: https://www.facebook.com/notes/robin-sloan/julie-rubicon/985...

Re: Introduction to Zipline: A Trading Library for Python

#53

Post by nether »

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…

How about no. You're entering a field where professionals working full time struggle to beat the market, what's saying that you, a folder of 10-k's, and a copy of Ben Graham are going to beat them? You could probably spend a lifetime studying investing and still come up short, because you don't have the resources or mentoring that the pros have.

Re: Introduction to Zipline: A Trading Library for Python

#54

Post by chollida1 »

smnscu wrote: post #52
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…

Random idea, but what if you could combine market data with news articles, and (obviously only for the past few years) data from blogs/reddit/hn/twitter/etc.? Sometimes there is fascinating insight to be learned in obscure places on the Internet (hn itself being a great example); I imagine a system that would collect and analyze that kind of information would be quite interesting, despite the huge amount of noise. Su…

Glib answer....

You'd get really mad at Anne Hathaway

http://www.theatlantic.com/technology/archive/2011/03/does-a...

Longer answer, this has been done for 10+ years. Bloomberg will sell you a sentiment annotated news feed for 5 figures a month if you'd like to try.

Re: Introduction to Zipline: A Trading Library for Python

#55

Post by lootsauce »

For the past year I have been trying to learn more about trading, risk management, etc. There are so many stories about how the markets work and how to make money in them. You could spend your lifetime throwing money down a hole trying each one and probably do worse than random. I can't say enough good things about the perspective I have gained from just listening to good interviews of people that trade and manage funds for a living. Take a look at https://chatwithtraders.com/podcast/ and https://realvisiontv.com

Re: Introduction to Zipline: A Trading Library for Python

#57

Post by mikkom »

smnscu wrote: post #52
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…

Random idea, but what if you could combine market data with news articles, and (obviously only for the past few years) data from blogs/reddit/hn/twitter/etc.? Sometimes there is fascinating insight to be learned in obscure places on the Internet (hn itself being a great example); I imagine a system that would collect and analyze that kind of information would be quite interesting, despite the huge amount of noise. Su…

This has been made many, many times already. Zipline that we are talking about here is created by Quantopian that actually provides aggregated twitter harvesting datafeed free for this year.

https://www.quantopian.com/data/psychsignal/stocktwits

Re: Introduction to Zipline: A Trading Library for Python

#58

Post by ohazi »

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…

In a similar vein: https://xkcd.com/1570/

Re: Introduction to Zipline: A Trading Library for Python

#59

Post by BayesStreet »

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

Hi Delaney, you're my favorite quantopian. Just watched all the lectures and I think jupyter notebooks are the best way to learn combined with a lecture for nearly any programming related subject.

Re: Introduction to Zipline: A Trading Library for Python

#60

Post by shortstuffsushi »

General question: how do you take this and interact directly with the market? Is there some sort of general, public api that you're making calls agains, where do you get an account for it, etc? Or, is this going through some firm that interfaces with the market?
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