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My custom trading platform in Python
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Created: by donedge Attachments:5

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My custom trading platform in Python

  #11 (permalink)
Elite Member
Milan, Italy
 
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:-)

Thank you !
Too kind.

Andrew (Milan, Italy)

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  #12 (permalink)
Elite Member
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updated databases structure and python scripts

Now I have added function to download minute data from Interactive Brokers. Still not ready, but it works with a few tickers.

Soon I'm ready with the data collection part of my platform. Next is to do some calculation and store the values.

@Big Mike,
I would like to store some indicator values based on both of daily data and minute data. How do you recommend I store it?

Two separate tables or everything in one?

I will have RSI, VWAP, plus other values calculated based on daily chart and also on minute data. Should I have two tables for this? For example: "meta_daily", "meta_minute" ?

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  #13 (permalink)
Site Administrator
Manta, Ecuador
 
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I have three databases: daily, minute, tick. Then one table per instrument within each database. I also have meta databases for storing all kinds of other info like routinely calculated variables that are stored.

But I'm storing about 6000 tickers with many years of data online, not sure about your plans.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
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4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
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  #14 (permalink)
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Big Mike View Post
I have three databases: daily, minute, tick. Then one table per instrument within each database. I also have meta databases for storing all kinds of other info like routinely calculated variables that are stored.

But I'm storing about 6000 tickers with many years of data online, not sure about your plans.

Mike

Hi @Big Mike,
Lets say I would like to store 1min data for approx 5000 tickers


one day of minute data for one ticker takes approx 100kb, approx 20mb for a year for each ticker of minute data with present compression, InnoDb.

1 year of 1min data for all 5000 tickers it will take a bit more then 100Gb.

Lets say I would like to have 10 years of 1 minute data for all tickers, that will be then 1Tb.

1Tb in storage space is not an issue, more worried about performance issues when reading in the data to Python Pandas for example to do calculations,backtesting,plotting of charts etc.

You are using 1 table per ticker, do you think this is the best solution for me as well? What would you recommend?

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  #15 (permalink)
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sam028 View Post
No, I don't use it, I only took a quick look to it.
The only data feed connector I'm using in Python is for IQFeed.

@sam028,
I'm thinking setting up an account with IQFeed. IB has too many limitation for historical data download...

Do I need to pay the annual API fee or do they have the IQLink Launcher for Linux as well so I can communicate with it through Python?

I read this article, but he is on Windows with Python.
https://www.quantstart.com/articles/Downloading-Historical-Intraday-US-Equities-From-DTN-IQFeed-with-Python

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  #16 (permalink)
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donedge View Post
@sam028,
I'm thinking setting up an account with IQFeed. IB has too many limitation for historical data download...

Do I need to pay the annual API fee or do they have the IQLink Launcher for Linux as well so I can communicate with it through Python?

I read this article, but he is on Windows with Python.
https://www.quantstart.com/articles/Downloading-Historical-Intraday-US-Equities-From-DTN-IQFeed-with-Python

I don't know, I'm using Windows client.

Success requires no deodorant! (Sun Tzu)
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  #17 (permalink)
Site Administrator
Manta, Ecuador
 
Futures Experience: Advanced
Platform: My own custom solution
Favorite Futures: E-mini ES S&P 500
 
Big Mike's Avatar
 
Posts: 46,240 since Jun 2009
Thanks: 29,352 given, 83,232 received


donedge View Post
@sam028,
I'm thinking setting up an account with IQFeed. IB has too many limitation for historical data download...

Do I need to pay the annual API fee or do they have the IQLink Launcher for Linux as well so I can communicate with it through Python?

I read this article, but he is on Windows with Python.
https://www.quantstart.com/articles/Downloading-Historical-Intraday-US-Equities-From-DTN-IQFeed-with-Python

Ask in the AMA thread:

https://futures.io/brokers-data-feeds/25853-dtn-iqfeeds-james-global-account-manager-ask-me-anything-ask-me-anything.html

Personally, my setup uses a Windows 7 VM under Debian, I just prefer things this way but a pure Linux (Wine) solution is possible, I've seen others document it before.

Mike

Due to time constraints, please do not PM me if your question can be resolved or answered on the forum.

Need help?
1) Stop changing things. No new indicators, charts, or methods. Be consistent with what is in front of you first.
2) Start a journal and post to it daily with the trades you made to show your strengths and weaknesses.
3) Set goals for yourself to reach daily. Make them about how you trade, not how much money you make.
4) Accept responsibility for your actions. Stop looking elsewhere to explain away poor performance.
5) Where to start as a trader? Watch this webinar and read this thread for hundreds of questions and answers.
6)
Help using the forum? Watch this video to learn general tips on using the site.

If you want
to support our community, become an Elite Member.

Reply With Quote
 
  #18 (permalink)
Elite Member
Stockholm
 
Futures Experience: Advanced
Platform: NinjaTrader,Sierra Chart, Python
Broker/Data: IB
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Posts: 86 since Apr 2013
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Big Mike View Post
Ask in the AMA thread:

https://futures.io/brokers-data-feeds/25853-dtn-iqfeeds-james-global-account-manager-ask-me-anything-ask-me-anything.html

Personally, my setup uses a Windows 7 VM under Debian, I just prefer things this way but a pure Linux (Wine) solution is possible, I've seen others document it before.

Mike

@Big Mike,

Thanks. I think I will go for the wine solution. Just got it confirmed by the iqfeed support. Thanks a bunch!

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  #19 (permalink)
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donedge View Post
@Big Mike,

Thanks. I think I will go for the wine solution. Just got it confirmed by the iqfeed support. Thanks a bunch!

Did you come right with getting iqfeed going in Linux?

Im signing up with iqfeed today and will predominantly be using their API along with python in Linux. They have confirmed that they do have clients running Linux, so im hoping I can get things working with Wine. It's a real pitty there is no native linux option (im sure a lot of developers would prefer that option since native apps run faster than anything running under Wine).

Diversification is the only free lunch

Last edited by DarkPoolTrading; July 14th, 2015 at 04:02 AM.
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  #20 (permalink)
Elite Member
Stockholm
 
Futures Experience: Advanced
Platform: NinjaTrader,Sierra Chart, Python
Broker/Data: IB
Favorite Futures: ES & Stocks
 
Posts: 86 since Apr 2013
Thanks: 80 given, 71 received



DarkPoolTrading View Post
Did you come right with getting iqfeed going in Linux?

Im signing up with iqfeed today and will predominantly be using their API along with python in Linux. They have confirmed that they do have clients running Linux, so im hoping I can get things working with Wine. It's a real pitty there is no native linux option (im sure a lot of developers would prefer that option since native apps run faster than anything running under Wine).

Hi @DarkPoolTrading,
I have not entered that part of my project. Will let you know when I do.

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