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You're reading from Learn Algorithmic Trading Build and deploy algorithmic trading systems and strategies using Python and advanced data analysis

Product type Paperback

Published in Nov 2019

Publisher Packt

ISBN-13 9781789348347

Length 394 pages

Edition 1st Edition

Languages

Python

Concepts

Data Analysis

Authors (2):

Sebastien Donadio

Sourav Ghosh

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Table of Contents (17) Chapters

Preface

1. Section 1: Introduction and Environment Setup

2. Algorithmic Trading Fundamentals FREE CHAPTER

3. Section 2: Trading Signal Generation and Strategies

4. Deciphering the Markets with Technical Analysis

5. Predicting the Markets with Basic Machine Learning

6. Section 3: Algorithmic Trading Strategies

7. Classical Trading Strategies Driven by Human Intuition

8. Sophisticated Algorithmic Strategies

9. Managing the Risk of Algorithmic Strategies

10. Section 4: Building a Trading System

11. Building a Trading System in Python

12. Connecting to Trading Exchanges

13. Creating a Backtester in Python

14. Section 5: Challenges in Algorithmic Trading

15. Adapting to Market Participants and Conditions

16. Other Books You May Enjoy

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Sending orders and receiving a market response

The main goal of a trading system is to send orders and receive market responses regarding these orders. In this section, we will cover how to send an order and how to get an update on these orders.

The role of the initiator is to initiate a connection with the acceptor. When the connection is established, the trading session is enabled. From this very moment, the trading system can send orders to the exchange. The order will have the following type of message:

8=FIX.4.4|9=155|35=D|11=3440|15=USD|21=2|38=20000|40=D|44=55.945|54=1|55=USD/RUB|59=3|60=20190909-19:35:27|64=SP|107=SPOT|117=b3fc02d3-373e-4632-80a0-e50c2119310e|167=FOR|10=150|

The initiator creates the orders by using the message type 35=D (representing a single order). All the fields of these orders will be filled in by the function of the quickfix library....

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Authors (2)

Sebastien Donadio

Sebastien Donadio is the Chief Technology Officer at Tradair, responsible for leading the technology. He has a wide variety of professional experience, including being head of software engineering at HC Technologies, partner and technical director of a high-frequency FX firm, a quantitative trading strategy software developer at Sun Trading, working as project lead for the Department of Defense. He also has research experience with Bull SAS, and an IT Credit Risk Manager with Socit Gnrale while in France. He has taught various computer science courses for the past ten years in the University of Chicago, NYU and Columbia University. His main passion is technology but he is also a scuba diving instructor and an experienced rock-climber.

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Sourav Ghosh

Sourav Ghosh has worked in several proprietary, high-frequency algorithmic trading firms over the last decade. He has built and deployed extremely low latency, high-throughput automated trading systems for trading exchanges around the world, across multiple asset classes. He specializes in statistical arbitrage market-making and pairs trading strategies with the most liquid global futures contracts. He is currently the vice president at an investment bank based in São Paulo, Brazil. He holds a master's in computer science from the University of Southern California. His areas of interest include computer architecture, FinTech, probability theory and stochastic processes, statistical learning and inference methods, and natural language processing.

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