Python for Algorithmic Trading Cookbook: Recipes for designing, building, and deploying algorithmic trading strategies with Python

Cover....1 Title Page....2 Copyright and Credits....3 Contributors....4 Table of Contents....6 Preface....16 Acquire Free Financial Market Data with Cutting-Edge Python Libraries....24 Technical requirements....25 Diving into continuous futures data with Nasdaq Data Link....26 Getting ready…....27 How to do it…....27 How it works…....28 There’s more…....28 See also....30 Exploring S&P 500 ratios data with Nasdaq Data Link....31 How to do it…....31 How it works…....32 There’s more…....32 See also....33 Working with stock market data with the OpenBB Platform....33 Getting ready…....33 How to do it…....33 How it works…....34 There’s more…....34 See also....37 Fetching historic futures data with the OpenBB Platform....37 Getting ready…....38 How to do it…....38 There’s more…....39 See also....42 Navigating options market data with the OpenBB Platform....42 Getting ready…....42 How to do it…....42 How it works…....43 There’s more…....44 See also....45 Harnessing factor data using pandas_datareader....45 Getting ready…....46 How to do it…....46 How it works…....47 There’s more…....48 See also....48 Analyze and Transform Financial Market Data with pandas....50 Diving into pandas index types....51 How to do it…....51 How it works…....52 There’s more…....52 See also....54 Building pandas Series and DataFrames....54 Getting ready....54 How to do it…....55 How it works…....56 There’s more…....57 See also....60 Manipulating and transforming DataFrames....60 Getting ready…....61 How to do it…....61 How it works…....67 There’s more…....67 See also....71 Examining and selecting data from DataFrames....71 How to do it…....71 How it works…....74 There’s more…....75 See also....76 Calculating asset returns using pandas....76 How to do it…....77 How it works…....78 There’s more…....79 See also....80 Measuring the volatility of a return series....80 How to do it…....80 How it works…....81 There’s more…....81 See also....83 Generating a cumulative return series....83 Getting ready…....84 How to do it…....84 How it works…....86 See also....87 Resampling data for different time frames....87 How to do it…....87 How it works…....90 There’s more…....90 See also....92 Addressing missing data issues....92 Getting ready…....93 How to do it…....94 How it works…....95 There’s more…....95 See also....96 Applying custom functions to analyze time series data....96 Getting ready…....96 How to do it…....97 How it works…....98 There’s more…....98 See also....99 Visualize Financial Market Data with Matplotlib, Seaborn, and Plotly Dash....100 Quickly visualizing data using pandas....101 How to do it…....101 How it works…....104 There’s more…....104 See also....106 Animating the evolution of the yield curve with Matplotlib....107 How to do it…....107 How it works…....110 There’s more…....110 See also....110 Plotting options implied volatility surfaces with Matplotlib....111 Getting ready…....111 How to do it…....111 How it works…....113 There’s more…....114 See also....114 Visualizing statistical relationships with Seaborn....115 How to do it…....115 How it works…....117 There’s more…....117 See also....120 Creating an interactive PCA analytics dashboard with Plotly Dash....120 Getting ready…....120 How to do it…....121 How it works…....126 There’s more…....127 See also....127 Store Financial Market Data on Your Computer....128 Storing data on disk in CSV format....129 How to do it…....129 How it works…....130 There’s more…....131 See also…....131 Storing data on disk with SQLite....132 Getting ready…....132 How to do it…....132 How it works…....134 There’s more…....135 See also…....137 Storing data in a PostgreSQL database server....137 Getting ready…....138 How to do it…....139 How it works…....141 There’s more…....141 See also…....142 Storing data in ultra-fast HDF5 format....143 Getting ready…....143 How to do it…....143 How it works…....145 There’s more…....146 See also…....146 Build Alpha Factors for Stock Portfolios....148 Identifying latent return drivers using principal component analysis....149 Getting ready....149 How to do it…....149 How it works…....151 There’s more…....151 See also....154 Finding and hedging portfolio beta using linear regression....155 Getting ready....155 How to do it…....155 How it works…....158 There’s more…....159 See also....160 Analyzing portfolio sensitivities to the Fama-French factors....160 Getting ready....160 How to do it…....161 How it works…....163 There’s more…....164 See also....166 Assessing market inefficiency based on volatility....166 How to do it…....167 How it works…....171 There’s more…....172 See also....172 Preparing a factor ranking model using Zipline Pipelines....173 Getting ready....173 How to do it…....174 How it works…....176 There’s more…....177 See also....177 Vector-Based Backtesting with VectorBT....178 Building technical strategies with VectorBT....178 Getting ready....179 How to do it…....179 How it works…....182 There’s more…....183 See also....186 Conducting walk-forward optimization with VectorBT....186 Getting ready....186 How to do it…....186 How it works…....189 There’s more…....190 See also....191 Optimizing the SuperTrend strategy with VectorBT Pro....192 Getting ready....192 How to do it…....193 How it works…....198 There’s more…....199 See also....201 Event-Based Backtesting Factor Portfolios with Zipline Reloaded....202 Technical Requirements....202 For Windows, Unix/Linux, and Mac Intel users....202 For Mac M1/M2 users....203 Backtesting a momentum factor strategy with Zipline Reloaded....203 Getting ready....204 How to do it…....204 How it works…....208 There’s more…....210 See also....212 Exploring a mean reversion strategy with Zipline Reloaded....212 Getting ready....212 How to do it…....213 How it works…....218 There’s more…....219 See also....221 Evaluate Factor Risk and Performance with Alphalens Reloaded....222 Preparing backtest results....223 Getting ready…....223 How to do it…....223 How it works…....226 There’s more…....227 See also....228 Evaluating the information coefficient....228 Getting ready…....229 How to do it…....229 How it works…....231 There’s more…....232 See also....233 Examining factor return performance....233 How to do it…....234 How it works…....238 There’s more…....238 See also....239 Evaluating factor turnover....239 How to do it…....240 How it works…....241 There’s more…....242 See also....244 Assess Backtest Risk and Performance Metrics with Pyfolio....246 Preparing Zipline backtest results for Pyfolio Reloaded....247 Getting ready…....247 How to do it…....247 How it works…....251 There’s more…....252 See also....252 Generating strategy performance and return analytics....253 Getting ready…....253 How to do it…....253 How it works…....256 There’s more…....257 See also....259 Building a drawdown and rolling risk analysis....259 Getting ready…....260 How to do it…....260 How it works…....263 There’s more…....263 See also....264 Analyzing strategy holdings, leverage, exposure, and sector allocations....264 Getting ready…....265 How to do it…....265 How it works…....269 There’s more…....270 See also....270 Breaking Down Strategy Performance to Trade Level....271 Getting ready…....271 How to do it…....271 How it works…....273 There’s more…....274 See also....275 Set Up the Interactive Brokers Python API....276 Building an algorithmic trading app....277 Getting ready…....277 How to do it…....280 How it works…....281 There’s more…....282 See also....283 Creating a Contract object with the IB API....284 Getting ready…....284 How to do it…....285 How it works…....285 There’s more…....286 See also....287 Creating an Order object with the IB API....287 Getting ready…....287 How to do it…....287 How it works…....288 There’s more…....289 See also....289 Fetching historical market data....290 Getting ready…....290 How to do it…....290 How it works…....294 There’s more…....297 See also....298 Getting a market data snapshot....299 Getting ready…....299 How to do it…....299 How it works…....300 There’s more…....300 See also....301 Streaming live market data....301 Getting ready…....301 How to do it…....301 How it works…....305 There’s more…....307 See also....308 Storing live tick data in a local SQL database....308 Getting ready…....308 How to do it…....309 How it works…....312 There’s more…....312 See also....314 Manage Orders, Positions, and Portfolios with the IB API....316 Executing orders with the IB API....317 Getting ready....317 How to do it…....317 How it works…....320 There’s more…....320 See also....322 Managing orders once they’re placed....322 Getting ready....322 How to do it…....323 How it works…....323 There’s more…....324 See also....325 Getting details about your portfolio....325 Getting ready....326 How to do it…....326 How it works…....327 There’s more…....328 See also....329 Inspecting positions and position details....329 Getting ready....329 How to do it…....329 How it works…....331 There’s more…....331 See also....332 Computing portfolio profit and loss....332 Getting ready....332 How to do it…....333 How it works…....334 There’s more…....334 See also....335 Deploy Strategies to a Live Environment....336 Calculating real-time key performance and risk indicators....337 Getting ready....337 How to do it…....339 How it works…....340 There’s more…....343 See also....344 Sending orders based on portfolio targets....344 Getting ready....344 How to do it…....344 How it works…....347 There’s more…....348 See also....349 Deploying a monthly factor portfolio strategy....349 Getting ready....350 How to do it…....350 How it works…....354 There’s more…....355 See also....355 Deploying an options combo strategy....355 Getting ready....356 How to do it…....357 How it works…....358 There’s more…....359 See also....361 Deploying an intraday multi-asset mean reversion strategy....361 Getting ready....362 How to do it…....362 How it works…....365 There’s more…....368 See also....369 Advanced Recipes for Market Data and Strategy Management....370 Streaming real-time options data with ThetaData....371 Getting ready....371 How to do it…....371 How it works…....374 There’s more…....375 See also....379 Using the ArcticDB DataFrame database for tick storage....379 Getting ready....380 How to do it…....380 How it works…....384 There’s more…....386 See also....386 Triggering real-time risk limit alerts....387 Getting ready....387 How to do it…....387 How it works…....388 There’s more…....389 See also....391 Storing trade execution details in a SQL database....391 Getting ready....392 How to do it…....393 How it works…....395 There’s more…....395 See also....398 Index....400 Other Books You May Enjoy....409