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

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

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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Getting details about your portfolio

The IB API offers a comprehensive snapshot of portfolio data, returning 157 different portfolio values through a single API call. This data provides a detailed view of our portfolios, encompassing a wide range of metrics and data points. Account values delivered via updateAccountValue can be classified in the following way:

Commodities: Suffixed by -C
Securities: Suffixed by -S
Totals: No suffix

In this recipe, we’ll build the code to get those data points.

Getting ready

We assume you’ve created the client.py, wrapper.py, and app.py files in the trading-app directory. If not, do it now.

How to do it…

The first step is to incorporate the account number into our IBApp class. While an account number is optional for requesting account-level data in a single account structure, it’s best practice to specify it in the case of multiple accounts. Then, we’ll add the callback to the IBWrapper...