How Do You Build Systems Using Python?

birzos said:
"They don't give you statistically significant results" - R systems made more profit on an equal basis, some would argue that is statistically significant.

"Secondly languages aren't profitable" - fundamentally incorrect, if the language does not allow you to deploy business rules in a seamless manner for your model then that impacts your profitability.

You are looking at it from a technical perspective, explains the dislike of R and remember you are running automated systems at 2%/mth. Some people use the languages on a fundamental level, others combine technical and fundamental models. The more code you write the more 'robust' a language you need, Buffet doesn't use technicals but is one of the wealthiest on the planet.

Last I heard one of the big international banks was still running my code five years later for their group consolidated trade analysis, because I minimized the code base to the absolute minimum. Less code means more stability, but very few know how to do that, you actually have to use some intelligence and combine fundamentals, a lost art these days. Which is why you now have two sets of people, the quants using 4GLs like R and python and the programmers using 3GLs like Java and C, then everyone wonders why we have flash crashes and never the twain shall meet.

The technicals will 'always' leave a hole that the fundamentalists can exploit, it might be microscopic but it's there, but then I only made 20%/mth in Q3 exploiting those holes. Java and C do not allow time to market for new business rules, you are discounting that the OP doesn't have an army of programmers, which means 4GL is preferable to 3GL on a business level until they have a stable methodology. If they're a technologist it's the other way around, but as they said Python it's smart to assume it's the former.

One more trying to generate a different conclusion to fit their subset view of the summary, what a waste of time. It would be fine if people reading actually learnt, but given the last Random 50/50 thread where provided a complete matching summary-detail-conclusion, everyone's still blank because it doesn't match their incomplete (lack of Theory of Mind) view on the world. Doesn't mean they don't make money, but it's hard work and unstable when volatility increases as the fundamentalists exploit the holes in their believed to be perfect tech solutions.
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What are you talking about. A programming language is just a framework, they don't make money. Show me where there was research on profitability of R vs Python.
 
d08 said:
What are you talking about. A programming language is just a framework, they don't make money. Show me where there was research on profitability of R vs Python.
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In the ET world, programming language matters.
 
If you're trading with Interactive Brokers, I suggest you check out QTPyLib - a Pythonic algorithmic trading library that handles everything for you, including market data retrieval, trading logic, order management and reporting.

Now granted, I'm a bit biased (as I'm the one who wrote it), but I still think you'd want to check it out :D

GitHub page:
https://github.com/ranaroussi/qtpylib

Documentation website:
http://qtpylib.io/docs/latest

Hope you'd like it...
 
From my experience; it is best to start somewhere; Java, Python, R, or whatever.

Keep the program simple: receive data, do some math, spit an order to the market, and execute it, and then follow up on the position till you decide to close it.

I highly recommend you use an existing platform first; such as Metatrader for Forex, or Tradestation for stocks.

I personally used Metatrader for a while; then wrote my own java app. but believe me; it's not easy to write a full system; I am a software engineer full time; and it took me nearly 3 years to perfect the platform.
 
alfa8 said:
I personally used Metatrader for a while; then wrote my own java app. but believe me; it's not easy to write a full system; I am a software engineer full time; and it took me nearly 3 years to perfect the platform.
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Interesting. I am a programmer with Metatrader experience. Just wondering why you had to go to java? Any specific reason to move away from Mt4?
 
kent said:
Interesting. I am a programmer with Metatrader experience. Just wondering why you had to go to java? Any specific reason to move away from Mt4?
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metatrader is fine for running a strategy or two. Once you start running few; the system will start to slow down, and execution latency adds up a lot. Metatrader is single threaded and can only process one order per 200ms. market data also has latency; especially during peak times.

The other major reason why I moved to java; is debugging a trading system.
 
Good question.
It's a good idea to understand programming if you want to trade systematically - even if you have no intention of actually building your trading system from scratch.
So learning a language for which there are extensive finance libraries to aid building a system and to learn the ropes is invaluable.
And you are right, Python is one of those languages - but it is not the only one.

Starting at Quantopian is a great idea, even if you have no intention of trading stocks. It will show you what the foundation of a trading system looks like. And with that knowledge you can incrementally augment your design and development skills to build what you like yourself.
And in any case, I understand you can now use your own data to integrate other products.

Try to keep your systems simple (whilst avoiding rookie mistakes). With luck you have a chance of succeeding. Above all, reign in your expectations. Consider your efforts a resounding success if you manage to retain your capital intact ove your first 5 year period.
Targetting 20% returns per month will only guarantee a blowout. Pretty quickly - if that's any consolation.
 
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