00_epat_june_2017.md

Executive Program in Algorithmic Trading (QuantInsti)

Python Sessions by Dr. Yves J. Hilpisch | The Python Quants GmbH

Online, 03. & 04. June 2017

Resources

• http://tpq.io
• http://hilpisch.com
• http://twitter.com/dyjh

Slides

You find the introduction slides under http://hilpisch.com/epat.pdf

Python

Download and install Miniconda 2.7 from https://conda.io/miniconda.html

If you have either Miniconda or Anaconda already installed, there is not need to install anything new.

conda create -n epat python=2.7
(source) activate epat
conda install numpy pandas=0.19 scikit-learn matplotlib
conda install pandas-datareader pytables
conda install ipython jupyter
jupyter notebook

Management of environments: https://conda.io/docs/using/envs.html

Books

Good book covering object-oriented programming in Python: Fluent Python, O'Reilly

01_oo_programming.ipynb

02_event_based_backtesting.ipynb

tick_client.py

#
# Tick Data Client
# with ZeroMQ
#
import zmq
import datetime

context = zmq.Context()
socket = context.socket(zmq.SUB)
socket.connect('tcp://127.0.0.1:5555')

socket.setsockopt(zmq.SUBSCRIBE, '')

while True:
    msg = socket.recv_string()
    t = datetime.datetime.now()
    print(str(t) + ' | ' + msg)

tick_collector.py

#
# Tick Data Collector
# with ZeroMQ
#
import zmq
import datetime
import pandas as pd

context = zmq.Context()
socket = context.socket(zmq.SUB)
socket.connect('tcp://127.0.0.1:5555')

socket.setsockopt(zmq.SUBSCRIBE, '')

df = pd.DataFrame()

i = 0
while True:
    i += 1
    msg = socket.recv_string()
    sym, value = msg.split()
    t = datetime.datetime.now()
    print(('%2d' % i) + ' | ' + str(t) + ' | ' + msg)
    df = df.append(pd.DataFrame({sym: float(value)}, index=[t]))
    
    if i % 5 == 0:
        df['SMA1'] = df[sym].rolling(5).mean()
        df['SMA2'] = df[sym].rolling(10).mean()
        print(df.tail())

tick_server.py

#
# Tick Data Server
# with ZeroMQ
#
import zmq
import random
import time

context = zmq.Context()
socket = context.socket(zmq.PUB)
socket.bind('tcp://127.0.0.1:5555')

AAPL = 100.

while True:
    AAPL += random.gauss(0, 1) * 0.5
    msg = 'AAPL %.3f' % AAPL
    print(msg)
    socket.send_string(msg)
    time.sleep(random.random() * 2)

tick_trader.py

#
# Tick Data Collector
# with ZeroMQ
#
import zmq
import datetime
import pandas as pd

context = zmq.Context()
socket = context.socket(zmq.SUB)
socket.connect('tcp://127.0.0.1:5555')

socket.setsockopt(zmq.SUBSCRIBE, '')

df = pd.DataFrame()

i = 0
position = 0
while True:
    i += 1
    msg = socket.recv_string()
    sym, value = msg.split()
    t = datetime.datetime.now()
    print(('%2d' % i) + ' | ' + str(t) + ' | ' + msg)
    df = df.append(pd.DataFrame({sym: float(value)}, index=[t]))

    if i >= 10 :
        df['SMA1'] = df[sym].rolling(5).mean()
        df['SMA2'] = df[sym].rolling(10).mean()
        if position == 0:
            if df['SMA1'].ix[-1] > df['SMA2'].ix[-1]:
                print(50 * '=')
                print('WE GO LONG THE MARKET.')
                #
                # code to connect to your broker
                # to place a buy order
                #
                position = 1
                print(df.ix[-1])
                print('')
        elif position == 1:
            if df['SMA1'].ix[-1] < df['SMA2'].ix[-1]:
                print(50 * '=')
                print('WE EXIT THE MARKET.')
                #
                # code to connect to your broker
                # to place a sell order
                #
                position = 0
                print(df.ix[-1])
                print('')