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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Creating a Contract object with the IB API

When requesting market data or generating orders, we do it using the IB Contract object. An IB Contract contains all the information required for IB to correctly identify the instrument in question. Using one class, we can represent a broad spectrum of financial instruments, including stocks, options, futures, and more. In this recipe, we’ll create an IB Contract.

The Contract class is used to define the specifications of a financial instrument that we might want to trade or query. The class has all the necessary details that uniquely identify a financial instrument across various asset classes, such as stocks, options, futures, forex, bonds, and more.

A key attribute of the Contract class is conId (contract ID), which is a unique identifier assigned by IB to each financial instrument. However, in many cases, we do not need to specify this ID directly. Instead, we typically provide other descriptive attributes that the IB system...