00_algo_bootcamp.md

Python & AI for Algorithmic Trading Bootcamp

3-Day Online Bootcamp about Python & AI for Algorithmic Trading

Dr. Yves J. Hilpisch

Director CPF Program | CEO The Python Quants

Online, November 13-15, 2024

Short Link

http://bit.ly/algo_bc_2024

Slides

https://certificate.tpq.io/algo_bc_2024.pdf

Quant Platform

https://bootcamp.pqp.io (registration)
https://base.pqp.io (login)

GotoWebinar

https://attendee.gotowebinar.com/register/1865757326257212505

Discord Server

https://discord.gg/eanaY3vfKp

Importance of Large Returns (Tails)

https://certificate.tpq.io/large_returns_importance.html

Oanda Demo Account

Go to https://www.oanda.com/uk-en/

Open a demo account, indicating that you are located in/from the UK.

We use this wrapper for the v20 API:

https://github.com/yhilpisch/tpqoa

Miniconda Installer

https://conda.io/en/main/miniconda.html

Docker

To install Docker see https://docs.docker.com/install/.

To run a Ubuntu-based Docker container, execute on the shell (Linux/Mac) the following:

docker run -ti -p 9999:9999 -h algobc -v $(pwd):/root/live ubuntu:latest /bin/bash

Make sure to adjust the folder to be mounted accordingly.

Once, JupyterLab is installed, run it with the following command:

jupyter-lab --allow-root --port 9999 --ip 0.0.0.0

Cloud

Use this link to get a 200 USD bonus on DigitalOcean when signing up for a new account.

Further Resources

• CPF Program
• YouTube Account
• X Account
• LinkedIn Profile
• GitHub Account
• Quant Community

01_algo_bootcamp.ipynb

02_algo_bootcamp.ipynb

03_algo_bootcamp.ipynb

dltrader.py

#
# Deployment of TF/Keras Model
#
import tpqoa
import numpy as np
import pandas as pd
import tensorflow as tf
from tensorflow import keras

mu = -0.000002
std = 0.000124
lags = 5

class DLTrader(tpqoa.tpqoa):
    def __init__(self, config_file):
        super().__init__(config_file)
        self.position = 0
        self.tick_data = pd.DataFrame()
        self.model = tf.keras.models.load_model('dltrader.keras')
    def on_success(self, time, bid, ask):
        df = pd.DataFrame({'bid': bid, 'ask': ask,
                           'mid': (bid + ask) / 2},
                          index=[pd.Timestamp(time)])
        self.tick_data = pd.concat((self.tick_data, df))
        self.data = self.tick_data.resample('3s', label='right').last().ffill()
        self.data['r'] = np.log(self.data['mid'] / self.data['mid'].shift(1))
        self.data_ = (self.data - mu) / std
        if len(self.data) > lags + 2:
            print('*** PREDICTION ***')
            f = self.data_['r'].iloc[-lags:].values.reshape(1, -1)
            p = self.model.predict(f)[0, 0]
            signal = np.where(p > 0.5, 1, -1)
            print(p, signal)
            if signal == 1 and self.position in [0, -1]:
                # go long
                print('GOING LONG')
                self.create_order('BCO_USD',
                                  units=(1 - self.position) * 10)
                self.position = 1
            elif signal == -1 and self.position in [0, 1]:
                # go short
                print('GOING SHORT')
                self.create_order('BCO_USD',
                                  units=-(1 + self.position) * 10)
                self.position = -1
            else:
                print('POSITION UNCHANGED')

if __name__ == '__main__':
	dlt = DLTrader('oanda.cfg')
	dlt.stream_data('BCO_USD', stop=50)
	dlt.create_order('BCO_USD', units=-dlt.position * 10)
	print('*** CLOSED OUT FINAL POSITION ***')

install.sh

#
# install.sh
#
apt update
apt upgrade -y

apt install vim -y
apt install git -y
apt install screen -y
apt install htop -y
apt install python3 -y
apt install pipx -y

export PATH=$PATH:/root/.local/bin

pipx install jupyterlab
pipx inject jupyterlab numpy
pipx inject jupyterlab pandas
pipx inject jupyterlab matplotlib
pipx inject jupyterlab scikit-learn
pipx inject jupyterlab tensorflow
pipx inject jupyterlab tf_keras
pipx inject jupyterlab quantstats
pipx inject jupyterlab "git+https://github.com/yhilpisch/tpqoa.git"

ln -s /root/.local/share/pipx/venvs/jupyterlab/bin/ipython /root/.local/bin
ln -s /root/.local/share/pipx/venvs/jupyterlab/bin/python /root/.local/bin

screen

install_cloud.sh

#
# install.sh
#
apt update
apt upgrade -y

apt install vim -y
apt install git -y
apt install screen -y
apt install htop -y
apt install python3 -y
apt install pipx -y

# On a small Droplet, ececute:
# mkdir -p ~/tmp
# export TMPDIR=~/tmp

export PATH=$PATH:/root/.local/bin

pipx install jupyterlab
pipx inject jupyterlab numpy
pipx inject jupyterlab pandas
pipx inject jupyterlab matplotlib
pipx inject jupyterlab scikit-learn
pipx inject jupyterlab tensorflow
pipx inject jupyterlab tf_keras
pipx inject jupyterlab quantstats
pipx inject jupyterlab "git+https://github.com/yhilpisch/tpqoa.git"

ln -s /root/.local/share/pipx/venvs/jupyterlab/bin/ipython /root/.local/bin
ln -s /root/.local/share/pipx/venvs/jupyterlab/bin/python /root/.local/bin

screen

jupyter.json

{
    "shortcuts": [
        {"command": "kernelmenu:restart-and-clear",
            "keys": [
                "Ctrl Shift 0"
            ],
            "selector": "body"},
        
        {"command": "runmenu:run-all",
            "keys": [
                "Ctrl Shift A"
            ],
            "selector": "body"},
        
        {"command": "runmenu:restart-and-run-all",
            "keys": [
                "Ctrl Shift N"
            ],
            "selector": "body"},
        
        {"command": "notebook:run-all-above",
            "keys": [
                "Ctrl Shift Y"
            ],
            "selector": "body"},
        {"command": "notebook:run-all-below",
            "keys": [
                "Ctrl Shift X"
            ],
            "selector": "body"},
                 
                {
         "command": "application:activate-next-tab",
         "keys": [
             "Ctrl Shift ]"
         ],
         "selector": "body",
         "disabled": true
     },
     {
            "command": "application:activate-previous-tab",
            "keys": [
                "Ctrl Shift ["
            ],
            "selector": "body",
            "disabled": true
        },
        {
            "command": "application:activate-next-tab",
            "keys": [
                "Ctrl Shift L"
            ],
            "selector": "body"
        },
        {
            "command": "application:activate-previous-tab",
            "keys": [
                "Ctrl Shift K"
            ],
            "selector": "body"
        }, 

                 
                {
         "command": "application:activate-next-tab",
         "keys": [
             "Ctrl Shift ]"
         ],
         "selector": "body",
         "disabled": true
     },
     {
            "command": "application:activate-previous-tab",
            "keys": [
                "Ctrl Shift ["
            ],
            "selector": "body",
            "disabled": true
        },
        {
            "command": "application:activate-next-tab",
            "keys": [
                "Ctrl Shift L"
            ],
            "selector": "body"
        },
        {
            "command": "application:activate-previous-tab",
            "keys": [
                "Ctrl Shift K"
            ],
            "selector": "body"
        }, ]
}

update.sh

gist -u cc7a12ddefe42109f08db577919ab30e *.md *.ipynb *.sh *.json *.py