Python Algorithmic Trading Cookbook by Dagade, Pushpak -- Read -- Imperial Library of Trantor

Index

Title Page Copyright and Credits

About Packt

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Contributors

About the author About the reviewers Packt is searching for authors like you

Preface

Who this book is for What this book covers To get the most out of this book Download the example code files Download the color images Conventions used Sections Getting ready How to do it… How it works… There's more… See also Get in touch Reviews

Handling and Manipulating Date, Time, and Time Series Data

Technical requirements Creating datetime objects How to do it… How it works... There's more Creating timedelta objects How to do it… How it works... There's more Operations on datetime objects How to do it… How it works… There's more Modifying datetime objects How to do it… How it works... Converting a datetime object to a string How to do it… How it works... Creating a datetime object from a string How to do it… How it works... There's more The datetime object and time zones How to do it… How it works... There's more Creating a pandas.DataFrame object How to do it... How it works... There's more DataFrame manipulation—renaming, rearranging, reversing, and slicing Getting ready How to do it… How it works... There's more DataFrame manipulation—applying, sorting, iterating, and concatenating Getting ready How to do it… How it works... There's more Converting a DataFrame into other formats Getting ready How to do it… How it works... Creating a DataFrame from other formats Getting ready How to do it… How it works...

Stock Markets - Primer on Trading

Technical requirements Setting up Python connectivity with the broker How to do it… How it works... Querying a list of instruments Getting ready How to do it… How it works… Fetching an instrument Getting ready How to do it… How it works… Querying a list of exchanges Getting ready How to do it… How it works… Querying a list of segments Getting ready How to do it… How it works… Knowing other attributes supported by the broker How to do it… How it works… Placing a simple REGULAR order Getting ready How to do it… How it works… Placing a simple BRACKET order Getting ready How to do it… How it works… Placing a simple DELIVERY order Getting ready How to do it… How it works… Placing a simple INTRADAY order Getting ready How to do it… How it works… Querying margins and funds Getting ready How to do it… How it works… Calculating the brokerage charged How to do it… How it works… Calculating the government taxes charged How to do it… How it works…

Fetching Financial Data

Technical requirements Fetching the list of financial instruments Getting ready How to do it… How it works… Attributes of a financial instrument Getting ready How to do it… How it works… Expiry of financial instruments Getting ready How to do it… How it works… Circuit limits of a financial instrument Getting ready How to do it… How it works… The market depth of a financial instrument Getting ready How to do it… How it works… The total pending buy quantity of a financial instrument Getting ready How to do it… How it works… The total pending sell quantity of a financial instrument Getting ready How to do it… How it works… The total volume traded for the day of a financial instrument Getting ready How to do it… How it works… The last traded price of a financial instrument Getting ready How to do it… How it works… The last traded time of a financial instrument Getting ready How to do it… How it works… The last traded quantity of a financial instrument Getting ready How to do it… How it works… The recorded open price of the day of a financial instrument Getting ready How to do it… How it works… The recorded highest price of the day of a financial instrument Getting ready How to do it… How it works… The recorded lowest price of the day of a financial instrument Getting ready How to do it… How it works… The recorded close price of the last traded day of a financial instrument Getting ready How to do it… How it works…

Computing Candlesticks and Historical Data

Technical requirements Fetching historical data using the broker API Getting ready How to do it… How it works… Fetching historical data using the Japanese (OHLC) candlestick pattern Getting ready How to do it… How it works… Fetching the Japanese candlestick pattern with variations in candle intervals Getting ready How to do it… How it works… Fetching historical data using the Line Break candlestick pattern Getting ready How to do it… How it works… Fetching historical data using the Renko candlestick pattern Getting ready How to do it… How it works… Fetching historical data using the Heikin-Ashi candlestick pattern Getting ready How to do it… How it works… Fetching historical data using Quandl Getting ready How to do it… How it works…

Computing and Plotting Technical Indicators

Technical requirements Trend indicators – simple moving average Getting started How to do it… How it works... Trend indicators – exponential moving average Getting started How to do it… How it works… Trend indicators – moving average convergence divergence Getting started How to do it… How it works… Trend indicators – parabolic stop and reverse Getting started How to do it… How it works… Momentum indicators – relative strength index Getting started How to do it… How it works… Momentum indicators – stochastic oscillator Getting started How to do it… How it works… Volatility indicators – Bollinger Bands Getting started How to do it… How it works… Volatility indicators – average true range Getting started How to do it… How it works… Volume indicators – on balance volume Getting started How to do it… How it works… Volume indicators – volume-weighted average price Getting started How to do it… How it works…

Placing Regular Orders on the Exchange

Technical requirements Placing a regular market order Getting ready How to do it… How it works… Placing a regular limit order Getting ready How to do it... How it works... Placing a regular stoploss-limit order Getting ready... How to do it… How it works… Placing a regular stoploss-market order Getting ready How to do it… How it works…

Placing Bracket and Cover Orders on the Exchange

Technical requirements Placing a bracket limit order Getting ready How to do it… How it works… There's more… Placing a bracket stoploss-limit order Getting ready How to do it… How it works… Placing a bracket limit order with trailing stoploss Getting ready How to do it… How it works... Placing a bracket stoploss-limit order with trailing stoploss Getting ready How to do it… How it works... Placing a cover market order Getting ready How to do it… How it works... Placing a cover limit order Getting ready How to do it… How it works...

Algorithmic Trading Strategies - Coding Step by Step

Technical requirements EMA-Regular-Order strategy – coding the __init__, initialize, name, and versions_supported methods Getting ready How to do it… How it works… EMA-Regular-Order strategy – coding the strategy_select_instruments_for_entry method Getting ready How to do it… How it works… EMA-Regular-Order strategy – coding the strategy_enter_position method Getting ready How to do it… How it works… EMA-Regular-Order strategy – coding the strategy_select_instruments_for_exit method Getting ready How to do it… How it works… EMA-Regular-Order strategy – coding the strategy_exit_position method Getting ready How to do it… How it works… EMA-Regular-Order strategy – uploading the strategy on the AlgoBulls trading platform Getting ready How to do it… How it works… There's more… MACD-Bracket-Order strategy – coding the __init__, initialize, name, and versions_supported methods Getting ready How to do it… How it works… MACD-Bracket-Order strategy – coding the strategy_select_instruments_for_entry method Getting ready How to do it… How it works… MACD-Bracket-Order strategy – coding the strategy_enter_position method Getting ready How to do it… How it works… MACD-Bracket-Order strategy – coding the strategy_select_instruments_for_exit method Getting ready How to do it… How it works… MACD-Bracket-Order strategy – coding the strategy_exit_position method Getting ready How to do it… How it works… MACD-Bracket-Order strategy — uploading the strategy on the AlgoBulls trading platform Getting ready How to do it… How it works… There's more…

Algorithmic Trading - Backtesting

Technical requirements EMA-Regular-Order strategy – fetching the strategy How to do it… How it works… EMA-Regular-Order strategy – backtesting the strategy Getting ready How to do it… How it works… There's more… EMA-Regular-Order strategy – fetching backtesting logs in real time Getting ready How to do it… How it works… There's more... EMA-Regular-Order strategy – fetching a backtesting report – profit and loss table Getting ready How to do it… How it works… There's more... EMA-Regular-Order strategy — fetching a backtesting report – statistics table Getting ready How to do it… How it works… There's more... EMA-Regular-Order strategy – fetching a backtesting report – order history Getting ready How to do it… How it works… There's more... MACD-Bracket-Order strategy – fetching the strategy How to do it… How it works… MACD-Bracket-Order strategy – backtesting the strategy Getting ready How to do it… How it works… There's more… MACD-Bracket-Order strategy – fetching backtesting logs in real time Getting ready How to do it… How it works… There's more... MACD-Bracket-Order strategy – fetching a backtesting report – profit and loss table Getting ready How to do it… How it works… There's more... MACD-Bracket-Order strategy – fetching a backtesting report – statistics table Getting ready How to do it… How it works… There's more... MACD-Bracket-Order strategy – fetching a backtesting report – order history Getting ready How to do it… How it works… There's more...

Algorithmic Trading - Paper Trading

Technical requirements EMA-Regular-Order strategy – fetching the strategy How to do it… How it works… EMA-Regular-Order strategy – paper trading the strategy Getting ready How to do it… How it works… There's more… EMA-Regular-Order strategy – fetching paper trading logs in real time Getting ready How to do it… How it works… There's more... EMA-Regular-Order strategy – fetching a paper trading report – profit and loss table Getting ready How to do it… How it works… There's more... EMA-Regular-Order strategy – fetching a paper trading report – statistics table Getting ready How to do it… How it works… There's more... EMA-Regular-Order strategy – fetching a paper trading report – order history Getting ready How to do it… How it works… There's more... MACD-Bracket-Order strategy – fetching the strategy How to do it… How it works… MACD-Bracket-Order strategy – paper trading the strategy Getting ready How to do it… How it works… There's more… MACD-Bracket-Order strategy – fetching paper trading logs in real time Getting ready How to do it… How it works… There's more... MACD-Bracket-Order strategy – fetching a paper trading report – profit and loss table Getting ready How to do it… How it works… There's more... MACD-Bracket-Order strategy – fetching a paper trading report – statistics table Getting ready How to do it… How it works… There's more... MACD-Bracket-Order strategy – fetching a paper trading report – order history Getting ready How to do it… How it works… There's more...

Algorithmic Trading - Real Trading

Technical requirements EMA–Regular–Order strategy – fetching the strategy How to do it… How it works… EMA–Regular–Order strategy – real trading the strategy Getting ready How to do it… How it works… There's more… EMA–Regular–Order strategy – fetching real trading logs in real time Getting ready How to do it… How it works… There's more... EMA–Regular–Order strategy – fetching a real trading report – profit and loss table Getting ready How to do it… How it works… There's more... EMA–Regular–Order strategy – fetching a real trading report – statistics table Getting ready How to do it… How it works… There's more... MACD–Bracket–Order strategy – fetching the strategy How to do it… How it works… MACD–Bracket–Order strategy – real trading the strategy Getting ready How to do it… How it works… There's more… MACD–Bracket–Order strategy – fetching real trading logs in real time Getting ready How to do it… How it works… There's more... MACD–Bracket–Order strategy – fetching a real trading report – profit and loss table Getting ready How to do it… How it works… There's more... MACD–Bracket–Order strategy – fetching a real trading report – statistics table Getting ready How to do it… How it works… There's more...

Appendix I

Setting up your Zerodha account Opening a Zerodha account online Logging in to the Zerodha trading platform website Setting up your Zerodha Developer Options account Logging in to the Zerodha Developer Options website Purchasing and enabling the Zerodha Developer Options API Testing API keys and authorizing the app by firing your first API call

Appendix II

Setting up your AlgoBulls account Registering on the AlgoBulls platform Logging in to the AlgoBulls website Fetching your AlgoBulls Developer Options token Setting up your AlgoBulls account

Appendix III

Developing and improving strategies Strategy profitability is subject to seasons Strategy profitability is subject to its parameter values Backtesting alone does not ensure strategy profitability Broker limitations Staying connected with the community Be prepared for technology failures during actual trading

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