Python for Algorithmic Trading Cookbook

Recipes for designing, building, and deploying algorithmic trading strategies with Python

Publisher:Packt Publishing Limited

By: Jason Strimpel

Paid access

|Jan 2025

E-Book €35.99Institutions €136.95

Description

Harness the power of Python libraries to transform freely available financial market data into algorithmic trading strategies and deploy them into a live trading environment

Key Features

Follow practical Python recipes to acquire, visualize, and store market data for market research
Design, backtest, and evaluate the performance of trading strategies using professional techniques
Deploy trading strategies built in Python to a live trading environment with API connectivity
Purchase of the print or Kindle book includes a free PDF eBook

Book Description

Discover how Python has made algorithmic trading accessible to non-professionals with unparalleled expertise and practical insights from Jason Strimpel, founder of PyQuant News and a seasoned professional with global experience in trading and risk management. This book guides you through from the basics of quantitative finance and data acquisition to advanced stages of backtesting and live trading.
Detailed recipes will help you leverage the cutting-edge OpenBB SDK to gather freely available data for stocks, options, and futures, and build your own research environment using lightning-fast storage techniques like SQLite, HDF5, and ArcticDB. This book shows you how to use SciPy and statsmodels to identify alpha factors and hedge risk, and construct momentum and mean-reversion factors. You’ll optimize strategy parameters with walk-forward optimization using VectorBT and construct a production-ready backtest using Zipline Reloaded. Implementing all that you’ve learned, you’ll set up and deploy your algorithmic trading strategies in a live trading environment using the Interactive Brokers API, allowing you to stream tick-level data, submit orders, and retrieve portfolio details.
By the end of this algorithmic trading book, you'll not only have grasped the essential concepts but also the practical skills needed to implement and execute sophisticated trading strategies using Python.

What you will learn

Acquire and process freely available market data with the OpenBB Platform
Build a research environment and populate it with financial market data
Use machine learning to identify alpha factors and engineer them into signals
Use VectorBT to find strategy parameters using walk-forward optimization
Build production-ready backtests with Zipline Reloaded and evaluate factor performance
Set up the code framework to connect and send an order to Interactive Brokers

Who this book is for

Python for Algorithmic Trading Cookbook equips traders, investors, and Python developers with code to design, backtest, and deploy algorithmic trading strategies. You should have experience investing in the stock market, knowledge of Python data structures, and a basic understanding of using Python libraries like pandas. This book is also ideal for individuals with Python experience who are already active in the market or are aspiring to be.