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Python Trader code and skills sharing

  • #1
  • First Post: Dec 7, 2014 8:13pm Dec 7, 2014 8:13pm
This room is for Python Forex traders.

I use Python and Talib for trading and Pandas for Backtesting.

talib
pandas
oandapy


Want to share technical skill and improve my knowloedge.


I can share code too if you want.

My goal is to create easy EA in python.
  • #2
  • Dec 14, 2014 5:53am Dec 14, 2014 5:53am
learning python very hard at the moment. its my first language. i will follow this thread here.
  • #3
  • Dec 14, 2014 6:48am Dec 14, 2014 6:48am
Quoting ForexSamsam
This room is for Python Forex traders. I use Python and Talib for trading and Pandas for Backtesting. talib pandas oandapy Want to share technical skill and improve my knowloedge. I can share code too if you want. My goal is to create easy EA in python.
That shouldn't be too difficult.
One question: Seeing your avatar, do you (plan to) use Raspberry Pi to run your EAs (because that would be so cool :nerd:blush:?

Cheers,
k
  • #4
  • Dec 14, 2014 7:33am Dec 14, 2014 7:33am
Yes i use 2 raspberrypi !

Low power high stability (ups on its).

Raspy + Python + Oandapy ==> This setup is very versatile This setup is very versatile and works very well
  • #5
  • Dec 14, 2014 7:35am Dec 14, 2014 7:35am
Quoting tickoedo
learning python very hard at the moment. its my first language. i will follow this thread here.
You dont need to learn python, just try it.. it so intuitive
  • #6
  • Dec 14, 2014 4:40pm Dec 14, 2014 4:40pm
Subscribed ...
I'm new to python too ... currently still learning to create simple indi like donchian channell ...
will follow your post with great interest ...

Thanks.
I see it all in between ...
  • #7
  • Dec 14, 2014 6:40pm Dec 14, 2014 6:40pm
Quoting Thx
Subscribed ... I'm new to python too ... currently still learning to create simple indi like donchian channell ... will follow your post with great interest ... Thanks.
For donchian juste use Max, Min in python with numpy array.
For moving average, i use Talib.SMA(20)
http://ta-lib.org/function.html
  • #8
  • Dec 15, 2014 3:44pm Dec 15, 2014 3:44pm
Quoting Thx
Subscribed ... I'm new to python too ... currently still learning to create simple indi like donchian channell ... will follow your post with great interest ... Thanks.

on which platform are you creating this indis?
  • #9
  • Edited 11:17pm Dec 16, 2014 9:20pm | Edited 11:17pm
Quoting tickoedo
{quote} on which platform are you creating this indis?
I'm sorry, i'm afraid i didnt understand your question very well ...

do you mean python IDE ??? if so, currently i was using Spyder from Anaconda distribution package ...
but i found IDE from Enthought Canopy is quite nice too ...

Regards.
I see it all in between ...
  • #10
  • Dec 21, 2014 11:20am Dec 21, 2014 11:20am
Quoting ForexSamsam
Yes i use 2 raspberrypi ! Low power high stability (ups on its). Raspy + Python + Oandapy ==> This setup is very versatile This setup is very versatile and works very well
Following this thread, I think to start with python programmed trading. Oanda has quite some benefits there, and I see you are using it as well. I think it would be difficult to run many eas on mt4 in the same time, which is most likely the path I will go to next. I guess a Pi or a Mac mini (for its price I can buy a dozen Pi-s... ) would be ideal to run such setups 24/7. I just don't trust windows or Mt4 for serious stuff.

How many instances of trading programs can you run on the Pi at the same time? Pi corresponds in speed to computers i used in early 2000's, so it should not be too slow.

Cheers and thanks for the idea,
k
  • #11
  • Dec 21, 2014 12:15pm Dec 21, 2014 12:15pm
actuallly i use a raspy with 4 trading program in same time without any problem.
2 program with H4 and the others with M5.

I use Screen to switch between EA.

If you interest i can share a debian image with ererythink you need to try.
  • #12
  • Dec 21, 2014 4:13pm Dec 21, 2014 4:13pm
Well, I don't have a Pi yet ( ), so my tests were done on Windows.
I managed to obtain the last 500 candles on M5 timeframe from Oanda without a problem using oandapy module and its documentation.
I guess it is easy from there to make anything else.

If you have the possibility to share the full OS image for Pi with the preinstalled things it would be fantastic, but I guess it is several GB so it could take some bandwidth. I am sure I could manage the installation etc.

Cheers,
k
  • #13
  • Dec 21, 2014 7:23pm Dec 21, 2014 7:23pm
Have you tried the MQL4 language? Is it more difficult to use than Python?
  • #14
  • Dec 21, 2014 10:17pm Dec 21, 2014 10:17pm
Quoting karamaramun
Have you tried the MQL4 language? Is it more difficult to use than Python?
Hi, sure, I did. The mql language is very easy to use and it is quite focused on producing indicators and automated trading systems (EAs) . However, it is also quite slow and I would not trust the Windows operating system for running many instances of EAs at the same time and 24/7 so I am looking at alternatives. So I would probably end up using MT4 for quick tests of ideas and python/c/fortran for running the real thing on a separate Linux/Mac computer. Finally, I was looking for an excuse to buy myself a Raspberry pi computer for a while.

Cheers,
k
  • #15
  • Dec 22, 2014 5:40am Dec 22, 2014 5:40am
The programming framework I use allows to develop/test/trade trading strategies on Linux and it is also possible to compile it for use in ARM devices. I have tested doing this on a Raspberry Pi, where it works perfectly well. It also uses a python program for trading through the Oanda Java and REST API implementations so it is very easy to live trade using it as well. I have done some demo trading using simple systems but I wouldn't use a Raspberry Pi for trading any strategy that is computationally intensive (like the machine learning strategies I usually trade). If you want to use a Raspberry Pi for live trading I would advice you to use only strategies that can be executed easily. Anything heavy and you will start having issues with execution times.
  • #16
  • Jan 1, 2015 7:34pm Jan 1, 2015 7:34pm
Did you try it with Pandas ?

http://pandas.pydata.org/

Very fast execution and cool list transaction.

You can easily change the sampling from ticks.

lastA = i_dfA['last'].resample('5Min', how='ohlc')

or any sampling you want.

i think the biggest delay in a complex system came from you broker or netwok not from the limitation of raspberrypi
  • #17
  • Jan 1, 2015 8:40pm Jan 1, 2015 8:40pm
also cython speeds things up.
really, i have used a computer half the computing capacity of pi during university.
i could run some quite complicated simulations there, certainly much more serious than anything i do in metatrader.
i have never used machine learning, for sure, but there are loads of much simpler strategies to try out first.
btw, pi is bought and i have tried out some simple things.
Samsam, do you use just pandas or some additions to it, like pybacktest? You use the tick data for backest?

k
  • #18
  • Jan 2, 2015 7:20am Jan 2, 2015 7:20am
yes i use ticks on vmbox not on pi, too much data for a pi..

Learning machine , im skeptical..
learning what ? and how ?
  • #19
  • Jan 2, 2015 8:13am Jan 2, 2015 8:13am
I believe algoTraderJo, was referring to a commercial environment for machine learning (neural networks etc). while this sounds like a tempting idea, i would reserve the pi for simpler strategies.
k
  • #20
  • Jan 7, 2015 4:18pm Jan 7, 2015 4:18pm
ForexSamsam,

Here's a trading method that is very interesting. I would like to back-test it by coding in Python, but I am very early in my learning curve.
I've attached the details for FirstStrike_Plus created by Joel Rensink. All credit for his work is included in the pdf.

He included 6 years of GBPUSD results which are outstanding. If I knew Python, I would test all (at least major) currencies for Win%, Reward to Risk Ratio, and Draw-down.

Perhaps this is something you could code in Python. This would determine if the program was profitable over time and over a number of currencies.

Thanks,

John
Attached File(s)
File Type: pdf FirstStrike_Plus.pdf   171 KB | 2,176 downloads
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