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Python Trader code and skills sharing

  • #41
  • Oct 6, 2015 11:21am Oct 6, 2015 11:21am
Quoting ForexSamsam
I dont try those package. Do your own is not more effort than learn new package but its more adaptative in the long term
true in a way. quantopian looks good with visual backtesting but I wouldn't trust keeping some cool models on somebody elses server.
decided not to spend time on it for now and move on with clean python development.


I see you are using mysql but for me, I'm not 100% convinced just for the sake of saving resources on my development machine (windows).

1. what db would you recommend using on windows (development) machine?

2. also from your experience, is it better to save m1,m5,m15.. in to db or just generate it with pandas if strategy different tf?
  • #42
  • Oct 6, 2015 1:16pm Oct 6, 2015 1:16pm
I dont use anymore mysql , too heavy for my needs..

I use read_csv function in pandas and then i pickle it on hard drive.
After it take few seconds to load with readpickle.

I always work with tick and after depend of my need i create with resampling some m1 m5 m15 h1

On windows use virtualbox with any ubuntu distro (i use lubuntu is very light)

All python package are native on linux machine. Dont try it on windows directly..
  • #43
  • Oct 7, 2015 6:02am Oct 7, 2015 6:02am
thanks,

probably will do the same but might keep it in hdf5.

also tried ubuntu on vm with 2g dedicated ram and it was so slow so stay under windows.
Didn't have any problems with any packages so far.

Can you share any script of any strategy to take a look at?
  • #44
  • Oct 8, 2015 10:00am Oct 8, 2015 10:00am
discovered that it takes very very very loong time to read csv IF parse_dates is on which converts string datetime to Timestamp format.

so solution for me is to save it to hdf5 file and load from there.

# save to hdf5
data.to_hdf('filename.h5', 'eurusd')


# load from hdf5
data = pd.read_hdf('filename.h5','eurusd')

took me few minutes to load csv and recognise datetime of 30251966 lines to memory but took 1-2 seconds from hdf5 format.
  • #45
  • Oct 16, 2015 3:25am Oct 16, 2015 3:25am
Quoting ForexSamsam
I dont use anymore mysql , too heavy for my needs.. I use read_csv function in pandas and then i pickle it on hard drive. After it take few seconds to load with readpickle. I always work with tick and after depend of my need i create with resampling some m1 m5 m15 h1 On windows use virtualbox with any ubuntu distro (i use lubuntu is very light) All python package are native on linux machine. Dont try it on windows directly..
have you done any research with scikit-learn?
I've finish 2 tests last night.
1. predicting if current candle will be green or red and taking price movement depending on other candles. this come back with 54% score.
2. same prediction green / red candle but looking at several ema movements and macd. Got best prediction accuracy of 57%.

Just wonder what is the acceptable score and looking for new ideas to test
  • #46
  • Jan 5, 2016 6:55am Jan 5, 2016 6:55am
ForexSamsam,

Just found this thread. Have you tried python framework such as PyAlgoTrade or pybacktest
How is your project going, maybe better put on github so more people can collaborate.
  • #47
  • May 9, 2016 11:15am May 9, 2016 11:15am
Hi All,
me too i'm trading with a raspberry pi. And I's like to share few things

  1. Use it headless if you can and modify the image (now you can download the minimal from their website)
  2. Get rid of Talib as it consume a lot of RAM. I ended up writing down my own libraries.

with this two simple steps I was able to run a strategy on 122 instruments plus other 49 strategies on several instruments. Even using multiprocessor I'm still plenty of resources like RAM and CPU.

To run several strategies on different instruments I'm using a dictionary. I'd love to ask if anyone of you has a better idea as write it down such a thing is really a pain.

Ciao

  • #48
  • Jun 25, 2016 1:14am Jun 25, 2016 1:14am
Hi guys,

I am interested to this topic.
Is someone still interested?
My question is: what components do I need to write FX robots, backtest and run in my linux box?
I have quite good skills in Python, C/C++, Perl and Linux.

Thanks.
Cheers
  • #49
  • Apr 7, 2017 9:18am Apr 7, 2017 9:18am
Hi everyone
no one interested in this topic anymore? This thread is spot on but not many python users here maybe
  • #50
  • Dec 16, 2017 3:02pm Dec 16, 2017 3:02pm
Microsoft is considering adding Python as one of the official Excel scripting languages https://www.bleepingcomputer.com/new...uage-to-excel/
  • #51
  • Jun 5, 2018 3:38pm Jun 5, 2018 3:38pm
It seems that there are very few programmers on this forum.
  • #52
  • Oct 4, 2018 9:25am Oct 4, 2018 9:25am
im learning mql4 and python
- If you plant corn, you get corn
  • #53
  • May 20, 2019 11:15am May 20, 2019 11:15am
Quoting mg64ve
Hi guys, I am interested to this topic. Is someone still interested? My question is: what components do I need to write FX robots, backtest and run in my linux box? I have quite good skills in Python, C/C++, Perl and Linux. Thanks. Cheers
Hi.
You would need few components. but first you need to see if are you looking to perform this on an ongoing basis or and when you require.

for example. one of the main components here is the rate storage engine. Depending on your backtest time frame, you could collect data via api in real time. However, this potentially requires big resources to store. especially if you are looking to perform backtest down to a few milliseconds back.

After, it will be the backtesting logics which is much easier in PY language.
I'm available on CChat
  • #54
  • Feb 27, 2020 2:13pm Feb 27, 2020 2:13pm
Hi, traders !

I would like to share a Python client for Spotware Connect Open Api 2 which I just launched.

It is open source (GNU GPL-3) and very simple to use.

With it you can code in Python to interact with brokers operating in cTrader platform.

More information: https://github.com/marcus-santos/spotware_connect

If you enjoy, give it a star!
  • #55
  • Dec 7, 2020 7:10am Dec 7, 2020 7:10am
I am interested in custom trading framework too. How do you test your framework? I mean things like building candles, calculating equities/balances, triggering take profie/stop loss etc. Do you reconcile your backtesting output with some other system like MT4? How can you rule out bugs in your framework?
  • #56
  • Apr 13, 2021 3:36am Apr 13, 2021 3:36am
I am interested as well. Machine learning and data science background. Have been trading for a while as well.
Have a small python cluster (4 raspberry pis) as my testbed and connected to a LattePanda that runs MT5.
  • #57
  • Apr 14, 2021 11:18pm Apr 14, 2021 11:18pm
Quoting vzografos
I am interested as well. Machine learning and data science background. Have been trading for a while as well. Have a small python cluster (4 raspberry pis) as my testbed and connected to a LattePanda that runs MT5.
Interesting. So you are running python scripts on PI's that execute trades via MT5?

I'm just starting to get into algorithmic trading with Python. There's some much potential here especially with crypto trading through some of the crypto exchange APIs.

Seems like this topic would be more popular here...hope the discussion gains more traction.
  • #58
  • May 2, 2021 5:45am May 2, 2021 5:45am
Hello,

Do you have a web page where it is possible to retrieve indicators? Is there a converter to program your own indicators in python? Tks a lot
  • #59
  • May 2, 2021 6:20am May 2, 2021 6:20am
Quoting Arno310586
Hello, Do you have a web page where it is possible to retrieve indicators? Is there a converter to program your own indicators in python? Tks a lot
I am not exactly sure that I understand this question, but I use this library in python
https://github.com/mrjbq7/ta-lib
  • #60
  • May 2, 2021 8:02am May 2, 2021 8:02am
Yup, more than one python library for TA...here's another:

https://github.com/bukosabino/ta
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