Python users.. any problems with this approach? - Matlab, R project and Python | futures io social day trading
futures io futures trading


Python users.. any problems with this approach?
Updated: Views / Replies:663 / 3
Created: by Aufidius Attachments:0

Welcome to futures io.

(If you already have an account, login at the top of the page)

futures io is the largest futures trading community on the planet, with over 90,000 members. At futures io, our goal has always been and always will be to create a friendly, positive, forward-thinking community where members can openly share and discuss everything the world of trading has to offer. The community is one of the friendliest you will find on any subject, with members going out of their way to help others. Some of the primary differences between futures io and other trading sites revolve around the standards of our community. Those standards include a code of conduct for our members, as well as extremely high standards that govern which partners we do business with, and which products or services we recommend to our members.

At futures io, our focus is on quality education. No hype, gimmicks, or secret sauce. The truth is: trading is hard. To succeed, you need to surround yourself with the right support system, educational content, and trading mentors Ė all of which you can find on futures io, utilizing our social trading environment.

With futures io, you can find honest trading reviews on brokers, trading rooms, indicator packages, trading strategies, and much more. Our trading review process is highly moderated to ensure that only genuine users are allowed, so you donít need to worry about fake reviews.

We are fundamentally different than most other trading sites:
  • We are here to help. Just let us know what you need.
  • We work extremely hard to keep things positive in our community.
  • We do not tolerate rude behavior, trolling, or vendors advertising in posts.
  • We firmly believe in and encourage sharing. The holy grail is within you, we can help you find it.
  • We expect our members to participate and become a part of the community. Help yourself by helping others.

You'll need to register in order to view the content of the threads and start contributing to our community.  It's free and simple.

-- Big Mike, Site Administrator

Reply
 
Thread Tools Search this Thread
 

Python users.. any problems with this approach?

  #1 (permalink)
Elite Member
Seattle,WA
 
Futures Experience: Advanced
Platform: NinjaTrader , Multicharts and my own system
Favorite Futures: Futures
 
Posts: 294 since Feb 2015
Thanks: 19 given, 458 received

Python users.. any problems with this approach?

I am writing my own trading platform using python. Something similar to event driven model from QuantStarts QSForex but something more speciic to my needs.

My problem is that the Oanda API only streams tick data and not minute/hour data. So I have to convert tick data into the timeframe I require for my system . For example I am only interested in 5 minute bars.

My thought was to simply create a DataHandler that does the following
  1. on each tick Copy the data into a Pandas dataframe with the timestamp as the DateTimeIndex
  2. at the 5 minute mark use the Pandas resample() method to convert the data to 5 minutes
  3. trigger a 'TICK' or data event to add the data to my queue for processing

you guys see any problems with this approach?

Reply With Quote
 
  #2 (permalink)
Quick Summary
Quick Summary Post

Quick Summary is created and edited by users like you... Add FAQ's, Links and other Relevant Information by clicking the edit button in the lower right hand corner of this message.

 
  #3 (permalink)
Elite Member
Seattle,WA
 
Futures Experience: Advanced
Platform: NinjaTrader , Multicharts and my own system
Favorite Futures: Futures
 
Posts: 294 since Feb 2015
Thanks: 19 given, 458 received


figured it out myself. it was actually just easier to pull historical data at the top of the hour in a loop instead of converting bid/ask ticks to OHLC values.

Reply With Quote
The following 2 users say Thank You to Aufidius for this post:
 
  #4 (permalink)
Trading Apprentice
Chicago IL
 
Futures Experience: None
Platform: Custom kNN (CkNN) Algo
Favorite Futures: NUGT, DUST
 
Posts: 8 since Apr 2016
Thanks: 7 given, 1 received

Not really a python guy yet, but I don't think you need to store all the ticks. You can just store the Open, keep track of the highest and lowest tick values. And store the Close. At the end of the 5 min. mark, use those 4 stored values to make the 5min. data record.

Lol...just saw you solved it.

Reply With Quote

Reply



futures io > > > > Python users.. any problems with this approach?

Thread Tools Search this Thread
Search this Thread:

Advanced Search



Upcoming Webinars and Events (4:30PM ET unless noted)

Linda Bradford Raschke: Reading The Tape

Elite only

Adam Grimes: TBA

Elite only

NinjaTrader: TBA

January

Ran Aroussi: TBA

Elite only
     

Similar Threads
Thread Thread Starter Forum Replies Last Post
Python: Strategy backtesting baxline Matlab, R project and Python 4 October 18th, 2017 02:37 AM
Python and QuickFIX Branzol Matlab, R project and Python 39 September 12th, 2017 08:48 AM
IB with Python jamesico Matlab, R project and Python 2 September 9th, 2014 08:19 AM
Tradier with R and or Python Keith Leesus Matlab, R project and Python 2 September 5th, 2014 01:23 AM
Python Help Wanted $ wlblount Hire a Consultant or Programmer 0 December 25th, 2013 10:14 AM


All times are GMT -4. The time now is 02:26 PM.

Copyright © 2017 by futures io, s.a., Av Ricardo J. Alfaro, Century Tower, Panama, +507 833-9432, info@futures.io
All information is for educational use only and is not investment advice.
There is a substantial risk of loss in trading commodity futures, stocks, options and foreign exchange products. Past performance is not indicative of future results.
no new posts
Page generated 2017-12-12 in 0.08 seconds with 19 queries on phoenix via your IP 54.163.209.109