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Learn Algorithmic Trading with Python: Build Automated Electronic Trading Systems using Python

Learn Algorithmic Trading with Python: Build Automated Electronic Trading Systems using Python

          
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About the Book

Develop and deploy an automated electronic trading system with Python and the SciPy ecosystem. This book introduces you to the tools required to gather and analyze financial data through the techniques of data munging and data visualization using Python and its popular libraries: NumPy, pandas, scikit-learn, and Matplotlib. You will create a research environment using Jupyter Notebooks while leveraging open source back-testing software to analyze and experiment with several trading strategies. Next, you will measure the level of return and risk of a portfolio using measures such as Alpha, Beta, and the Sharpe Ratio. This will set the stage for the use of open source backtesting and scientific computing libraries such as zipline, NumPy, and scikit-learn to develop models that will help you identify, buy, and sell signals for securities in your portfolio and watch-list.  With Learn Algorithmic Trading with Python you will explore key techniques used to analyze the performance of a portfolio and trading strategies and write unit tests on Python code that will send live orders to the market. What You'll Learn Analyze financial data with Pandas Use Python libraries to perform statistical reviews Review algorithmic trading strategies  Assess risk management with NumPy and StatsModels Perform paper and Live Trading with IB Python API Write unit tests and deploy your trading system to the Cloud Who This Book Is For Software developers, data scientists, or students interested in Python and the SciPy ecosystem

Table of Contents:
Chapter 01:  Finance Flavored Python  Chapter Goal: The aim of this chapter is to provide a high-level overview of Python for newcomers to the language (those coming from MATLAB or R) or those that wish to refresh their knowledge of the language. This chapter also serves as an introduction to the Jupyter Notebook development environment. No of pages: 30 Sub - Topics: The Case for Python for Finance Strings, Lists and Tuples Loops and Conditionals Programming Chapter 02: Exploring NumPy, Pandas and Matplotlib Chapter Goal: This chapter introduces users to NumPy as it will be used extensively throughout the rest of the text and serves as a good segue into Pandas, which is also heavily leveraged throughout the book. No of pages : 30 Sub - Topics:   Introduction to NumPy Exploring Financial Data with Pandas Visualizing Time-series Data with Matplotlib Chapter 03: Financial Markets and Electronic Trading  Chapter Goal: The aim of this chapter is to provide a high-level overview of the financial markets and how electronic trading systems work. Readers will be introduced to popular trading concepts such as order books, market orders, limit orders, stop loss orders, liquidity and other important concepts in this area. No of pages: 30 Sub - Topics:  Financial Market Overview  Electronic Trading Systems  Key Trading Concepts Chapter 04: Modern Portfolio Theory (MPT) Chapter Goal: This chapter will serve as a review on Statistics and import concepts in this field that will come up again in the next chapters. We will use StatsModels, Pandas and NumPy Python libraries to perform this review. It will also introduce readers to modern portfolio theory, where they will learn the concepts of Alpha, Beta, Sharpe Ratio, re-balancing a portfolio and the efficient frontier. No of pages: 30 Sub - Topics:  Introduction to Statistics  Using Python libraries  MPT Concepts (Alpha, Beta, Sharpe Ratio) Chapter 05: Algorithmic Trading Strategies  Chapter Goal: The chapter on algorithmic trading will provide a high-level explanation of how an algorithmic trading platforms work from gathering market data, feeding this data into models and using programming logic to send live orders to the market. We will also cover several popular trading strategies including but not limited to statistical arbitrage, mean version, momentum and volatility trading in addition to the pros and cons of each. No of pages: 30 Sub - Topics:  Algorithmic Trading Platforms  Working with Data  Using Programming Logic  Trading Strategies Chapter 06: Back-testing Trading Strategies with Python Chapter Goal: This chapter will focus on back-testing the trading strategies that we covered in the previous chapter using Python and several back-testing libraries that have been developed specifically for use in Python-based trading systems and research environments. No of pages: 30 Sub - Topics:  Testing Strategies  Choosing Libraries for back-testing Chapter 07: Hedging Positions NumPy and statsmodels Chapter Goal: This chapter on hedging will focus on the role of correlation and diversification to mitigate risk exposures in addition to popular techniques that are used in industry to hedge away these risks. We’ll leverage NumPy and StatsModels to perform this analysis. No of pages: 30 Sub - Topics:  Role of Correlation and Diversification  Risk Mitigation Techniques  Chapter 08: Portfolio Risk Management Chapter Goal: The portfolio analysis chapter will cover how to examine the risks associated with a particular trading strategy and gain deeper insight into a strategy than can be achieved with back-testing alone. Readers will learn which risk metrics are important to portfolio analysis and how to use them to determine portfolio performance. We will focus on the different types of risks that a portfolio can be exposed to and how to mitigate them. Readers will also learn about Beta, bench-marking and how to determine the overall risk of a basket of securities. We will also learn to build Regression and other financial models to improve their algorithms. No of pages: 30 Sub - Topics:  Risk Analysis  Key Risk Metrics  Managing Portfolio Performance  Factor Analysis  Chapter 09: Financial Modeling in Python Chapter Goal: The focus of this chapter will be on financial modeling techniques where readers will learn how to build regression and other financial models to improve their algorithms. No of pages: 30 Sub - Topics:  Regression Models  Improving Algorithm Performance Chapter 10: Paper and Live Trading with IB Python API Chapter Goal: This chapter will focus on setting up a paper trading environment that will allow readers to view their trading strategies’ performance in current market conditions without risking real capital. We will leverage the Interface Brokers Python API to create this paper trading environment. We will also be setting up a live trading system that will implement the trading strategies developed, back-tested and paper traded in the previous chapters. No of pages: 30 Sub - Topics:  Setting up a trading environment  Working with IB Python API  Live Trade Execution Chapter 11: Unit Testing Chapter Goal: In this chapter we will cover the importance of unit testing and will add test coverage to our live execution methods to ensure that we catch bugs before we ever deploy our code to production. Having a test suite is an important component to any software system and algorithmic trading systems are no exception. No of pages: 20 Sub - Topics:  Importance of Unit Testing  Adding Test Coverage Chapter 12: Trading in the Clouds Chapter Goal: The chapter will focus on setting up a web server that will be used to run our trading system in the cloud. We will leverage the Tornado Python web development framework for this purpose. We will also learn to deploy the algorithmic trading system to the cloud using Amazon Web Services. No of pages: 25 Sub - Topics:  Setting up Web Server  Tornado Python Framework  Deploying your Trading System with AWS  Logging and Exception Handling Chapter 13: Where to Go From Here Chapter Goal: This chapter will summarize the book and provide a list of suggestions that will help readers continue along in their algorithmic trading journey.  No of pages: 10 Sub - Topics:  Book Summary  Continuous Learning


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Product Details
  • ISBN-13: 9781484249345
  • Publisher: Apress
  • Publisher Imprint: Apress
  • Height: 235 mm
  • No of Pages: 276
  • Spine Width: 0 mm
  • Width: 155 mm
  • ISBN-10: 1484249348
  • Publisher Date: 14 Jan 2022
  • Binding: Paperback
  • Language: English
  • Returnable: Y
  • Sub Title: Build Automated Electronic Trading Systems using Python


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