You're reading from Python for Algorithmic Trading Cookbook Recipes for designing, building, and deploying algorithmic trading strategies with Python

Product type Paperback

Published in Aug 2024

Publisher Packt

ISBN-13 9781835084700

Length 404 pages

Edition 1st Edition

Languages

Python

Tools

Zipline

Concepts

Data Analysis

Author (1):

Jason Strimpel

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Table of Contents (16) Chapters

Preface

1. Chapter 1: Acquire Free Financial Market Data with Cutting-Edge Python Libraries FREE CHAPTER

2. Chapter 2: Analyze and Transform Financial Market Data with pandas

3. Chapter 3: Visualize Financial Market Data with Matplotlib, Seaborn, and Plotly Dash

4. Chapter 4: Store Financial Market Data on Your Computer

5. Chapter 5: Build Alpha Factors for Stock Portfolios

6. Chapter 6: Vector-Based Backtesting with VectorBT

7. Chapter 7: Event-Based Backtesting Factor Portfolios with Zipline Reloaded

8. Chapter 8: Evaluate Factor Risk and Performance with Alphalens Reloaded

9. Chapter 9: Assess Backtest Risk and Performance Metrics with Pyfolio

10. Chapter 10: Set Up the Interactive Brokers Python API

11. Chapter 11: Manage Orders, Positions, and Portfolios with the IB API

12. Chapter 12: Deploy Strategies to a Live Environment

13. Chapter 13: Advanced Recipes for Market Data and Strategy Management

14. Index

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Building an algorithmic trading app

When using the IB API, there’s a lot of code that can be reused across different trading apps. Connecting to TWS, generating orders, and downloading data are done the same way despite the trading strategy. That’s why it’s a best practice to get the reusable code out of the way first. But before we can start building our algorithmic trading app, we need to install TWS and the IB API.

We’ll begin with three important topics when using the IB API:

The first is the architecture of the IB API, which operates on an asynchronous model. In this model, operations are not executed in a linear, blocking manner. Instead, actions are initiated by requests, and responses to these requests are handled via callbacks.
The second concept is inheritance, which is common across all computer programming languages. Inheritance is where a new child class acquires the properties and methods of another, parent, class. Our trading...