experienced prop trader details his custom Python algo trading setup

Discussion in 'Automated Trading' started by Jack_Larkin, Mar 31, 2019.

  1. From: https://fxgears.com/index.php?threads/python-development-environment-jacks-technology-stack.1090/


    Everything is tied together with Python, ZeroMQ, and open source libraries. Even uses free data feeds like IEX.

    Thoughts? Anyone else take the same approach?
    Very, Quang Nguyen, suki5978 and 3 others like this.
  2. fan27


  3. sle


    How do you integrate back-testing with the live trading (e.g. for perfomance attribution)?
  4. qlai


    Very nice and quite an accomplishment!
  5. Platform agnostic; nothing is dependent on a given broker or platform's proprietary software. When porting to a new broker, I just need to write an interface to said broker and all strategies previously coded up work as expected. Sometimes a desired order type might be different between brokers/platforms, but that's just a settings thing, not code dependent.
  6. Three approaches:

    1) 3rd party tools vet the idea first (I've used BuildAlpha for example.)

    2) Anything based on the order book, or relates to things that would be difficult to test -- mid-point / dark orders, or sweeping a level where your trade would materially change the book -- I might take straight to live walk-forward testing and only scale up after spending some time here. In the last two+ years I'm finding that most single name equity strategies have to fall into this category because their average trade size is so little and the book reacts to even a few shares going off so even small size can start skewing strategy results.

    3) Since the agents connecting my platform to NT8 and MT5 are chart indicators and strategy files (in contrast to plug-ins,) then running either platform's back tester (or market replay modes) will effectively let my platform do trade logic testing and back testing.. for simple time series analysis this is fine, but it's a little slow compared to what some engines can do just traversing massive tables of data.

    95%+ of what I do falls into the 2nd category. Theory > Implementation > Measure > Adjust > measure > adjust > repeat...
  7. qlai


    You run co-located? Do you build book or get from provider?
  8. SteveH


    ZeroMQ is great. I use it to send out the buy signals from a commercial trading software package and then my own trade manager takes care of the rest. Reason for this is that I may want to take the same futures trade in multiple accounts with possibly different sizes, one usually being an IRA account.
    nooby_mcnoob likes this.
  9. Not co-located as that hasn't proven to be required, yet.

    Book feeds depend on the source. I have one source that is a composite book of a fractured market by one provider, and another method that takes books from different sources and creates my own composite book. So it depends on the intended use.
  10. How about you?
    #10     Apr 1, 2019