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BA's Algo Trading Journey


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BA's Algo Trading Journey

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  #1 (permalink)
 BA 21 
Southern MD
 
Experience: Beginner
Platform: TWS
Broker: Interactive Brokers
Trading: U.S. Treasury Futures
 
Posts: 41 since Feb 2017
Thanks: 14 given, 73 received

I am going to start the transition to algo trading, because systematic, rules-based trading is better for me than discretionary trading.

Since I'm most comfortable with Python (I just finished my second Python course through University of Washington's Professional and Continuing Ed), than C++ (last course was in 2009, when I wanted to learn MQL).

I have been learning Interactive Broker's Python API, and I must say it's a bit convoluted.

Nevertheless, I know more now than I did four weeks ago. The only reason I am sticking with it is because, 1. It's the only broker that supports Python for futures algo trading, and 2. I've already gone that rathole, so I may as well stick with it.

Once I create an application, perhaps I'll stream it in action to journalize its results.

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  #2 (permalink)
 havo9999 
Sydney, Australia
 
Experience: Advanced
Platform: Old school
Trading: Futures trends
 
Posts: 5 since Jul 2021
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BA 21 View Post
I am going to start the transition to algo trading, because systematic, rules-based trading is better for me than discretionary trading.



Since I'm most comfortable with Python (I just finished my second Python course through University of Washington's Professional and Continuing Ed), than C++ (last course was in 2009, when I wanted to learn MQL).



I have been learning Interactive Broker's Python API. I must say it's a bit convoluted. Nevertheless, I know more now than I did four weeks ago. The only reason I am sticking with it, 1. It's the only broker that supports Python for futures algo trading, and 2. I've already gone that rathole, so I may as well stick with it.



Once I create an application, perhaps I'll stream it in action to journalize its results.

Check out this python library called IbPy https://pypi.org/project/ib/.

Sent using the futures.io mobile app

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  #3 (permalink)
 BA 21 
Southern MD
 
Experience: Beginner
Platform: TWS
Broker: Interactive Brokers
Trading: U.S. Treasury Futures
 
Posts: 41 since Feb 2017
Thanks: 14 given, 73 received



havo9999 View Post
Check out this python library called IbPy https://pypi.org/project/ib/.

Sent using the futures.io mobile app

Thanks for the suggestion.

I came across the library when I started, but decided against using it, because it's not an official library of TWS API.

I have made significant progress since my last post. I better understand the TWS Python API thanks to the following resources:

1. IB's documentation (not as detailed as I like, but it helps in gaining macro view of things).

2. The book Algorithmic Trading with Interactive Brokers, Python and C++ by Matthew Scarpino (a dense read. I use as a reference book).

3. Groups IO (groups.io) TWSAPI group.

4. Udemy courses -
  • Algorithmic Trading using Interactive Broker's Python API
  • Interactive Brokers Python API - Advanced Concepts

The Udemy courses were super helpful in gaining deeper understanding. The best $26 I spent on Udemy courses.

I'm nearly done coding my application. I just need to code the main function that determines whether the conditions exist to place orders.

I plan is to use the application to scalp.

I would have been done by now, but I got side tracked, because I decided to join the "Great Resignation." I plan to submit my resignation this coming Friday, 8/6, take a month off to travel, and return to start a three month data science immersive course in hopes of getting a remote job (I'm sick of going to an office). And if I'm not successful in landing a remote job, then I'll get my CDL and drive trucks (anything to avoid returning to an office).

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  #4 (permalink)
 BA 21 
Southern MD
 
Experience: Beginner
Platform: TWS
Broker: Interactive Brokers
Trading: U.S. Treasury Futures
 
Posts: 41 since Feb 2017
Thanks: 14 given, 73 received

Update:

I modified my journey's path.

In Sept 2021, enrolled in a three month data science (DS) boot camp. I am in the last week of that course, wrapping up a capstone project. The boot camp is akin to drinking water from a fire hydrant. I think we had a washout rate of about 40%. At times, I felt like joining the ranks of that 40%. Presently, I probably remember only 20% of the material covered. Nevertheless, I can see the utility of ML tools applied to algorithmic trading.

After completion of the DS boot camp, I will start a six month algo trading course offered by Quantinsti. The course covers several of the topics covered in the DS boot camp. So, that will be a good opportunity for reinforcement learning.

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