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

Python for Algorithmic Trading Cookbook
Contributors
About the author
About the reviewers
Preface
   Who this book is for
   What this book covers
   To get the most out of this book
   Download the example code files
   Conventions used
   Get in touch
   Share Your Thoughts
   Download a free PDF copy of this book
1
Acquire Free Financial Market Data with Cutting-Edge Python Libraries
   Technical requirements
   Diving into continuous futures data with Nasdaq Data Link
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Exploring S&P 500 ratios data with Nasdaq Data Link
      How to do it…
      How it works…
      There’s more…
      See also
   Working with stock market data with the OpenBB Platform
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Fetching historic futures data with the OpenBB Platform
      Getting ready…
      How to do it…
      There’s more…
      See also
   Navigating options market data with the OpenBB Platform
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Harnessing factor data using pandas_datareader
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
2
Analyze and Transform Financial Market Data with pandas
   Diving into pandas index types
      How to do it…
      How it works…
      There’s more…
      See also
   Building pandas Series and DataFrames
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Manipulating and transforming DataFrames
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Examining and selecting data from DataFrames
      How to do it…
      How it works…
      There’s more…
      See also
   Calculating asset returns using pandas
      How to do it…
      How it works…
      There’s more…
      See also
   Measuring the volatility of a return series
      How to do it…
      How it works…
      There’s more…
      See also
   Generating a cumulative return series
      Getting ready…
      How to do it…
      How it works…
      See also
   Resampling data for different time frames
      How to do it…
      How it works…
      There’s more…
      See also
   Addressing missing data issues
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Applying custom functions to analyze time series data
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
3
Visualize Financial Market Data with Matplotlib, Seaborn, and Plotly Dash
   Quickly visualizing data using pandas
      How to do it…
      How it works…
      There’s more…
      See also
   Animating the evolution of the yield curve with Matplotlib
      How to do it…
      How it works…
      There’s more…
      See also
   Plotting options implied volatility surfaces with Matplotlib
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Visualizing statistical relationships with Seaborn
      How to do it…
      How it works…
      There’s more…
      See also
   Creating an interactive PCA analytics dashboard with Plotly Dash
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
4
Store Financial Market Data on Your Computer
   Storing data on disk in CSV format
      How to do it…
      How it works…
      There’s more…
      See also…
   Storing data on disk with SQLite
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also…
   Storing data in a PostgreSQL database server
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also…
   Storing data in ultra-fast HDF5 format
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also…
5
Build Alpha Factors for Stock Portfolios
   Identifying latent return drivers using principal component analysis
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Finding and hedging portfolio beta using linear regression
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Analyzing portfolio sensitivities to the Fama-French factors
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Assessing market inefficiency based on volatility
      How to do it…
      How it works…
      There’s more…
      See also
   Preparing a factor ranking model using Zipline Pipelines
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
6
Vector-Based Backtesting with VectorBT
   Building technical strategies with VectorBT
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Conducting walk-forward optimization with VectorBT
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Optimizing the SuperTrend strategy with VectorBT Pro
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
7
Event-Based Backtesting Factor Portfolios with Zipline Reloaded
   Technical Requirements
      For Windows, Unix/Linux, and Mac Intel users
      For Mac M1/M2 users
   Backtesting a momentum factor strategy with Zipline Reloaded
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Exploring a mean reversion strategy with Zipline Reloaded
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
8
Evaluate Factor Risk and Performance with Alphalens Reloaded
   Preparing backtest results
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Evaluating the information coefficient
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Examining factor return performance
      How to do it…
      How it works…
      There’s more…
      See also
   Evaluating factor turnover
      How to do it…
      How it works…
      There’s more…
      See also
9
Assess Backtest Risk and Performance Metrics with Pyfolio
   Preparing Zipline backtest results for Pyfolio Reloaded
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Generating strategy performance and return analytics
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Building a drawdown and rolling risk analysis
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Analyzing strategy holdings, leverage, exposure, and sector allocations
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Breaking Down Strategy Performance to Trade Level
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
10
Set Up the Interactive Brokers Python API
   Building an algorithmic trading app
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Creating a Contract object with the IB API
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Creating an Order object with the IB API
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Fetching historical market data
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Getting a market data snapshot
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Streaming live market data
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
   Storing live tick data in a local SQL database
      Getting ready…
      How to do it…
      How it works…
      There’s more…
      See also
11
Manage Orders, Positions, and Portfolios with the IB API
   Executing orders with the IB API
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Managing orders once they’re placed
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Getting details about your portfolio
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Inspecting positions and position details
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Computing portfolio profit and loss
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
12
Deploy Strategies to a Live Environment
   Calculating real-time key performance and risk indicators
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Sending orders based on portfolio targets
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Deploying a monthly factor portfolio strategy
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Deploying an options combo strategy
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Deploying an intraday multi-asset mean reversion strategy
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
13
Advanced Recipes for Market Data and Strategy Management
   Streaming real-time options data with ThetaData
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Using the ArcticDB DataFrame database for tick storage
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Triggering real-time risk limit alerts
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
   Storing trade execution details in a SQL database
      Getting ready
      How to do it…
      How it works…
      There’s more…
      See also
Index
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