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Learn Algorithmic Trading

Learn Algorithmic Trading

By : Sebastien Donadio, Sourav Ghosh
3.8 (10)
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Learn Algorithmic Trading

Learn Algorithmic Trading

3.8 (10)
By: Sebastien Donadio, Sourav Ghosh

Overview of this book

It’s now harder than ever to get a significant edge over competitors in terms of speed and efficiency when it comes to algorithmic trading. Relying on sophisticated trading signals, predictive models and strategies can make all the difference. This book will guide you through these aspects, giving you insights into how modern electronic trading markets and participants operate. You’ll start with an introduction to algorithmic trading, along with setting up the environment required to perform the tasks in the book. You’ll explore the key components of an algorithmic trading business and aspects you’ll need to take into account before starting an automated trading project. Next, you’ll focus on designing, building and operating the components required for developing a practical and profitable algorithmic trading business. Later, you’ll learn how quantitative trading signals and strategies are developed, and also implement and analyze sophisticated trading strategies such as volatility strategies, economic release strategies, and statistical arbitrage. Finally, you’ll create a trading bot from scratch using the algorithms built in the previous sections. By the end of this book, you’ll be well-versed with electronic trading markets and have learned to implement, evaluate and safely operate algorithmic trading strategies in live markets.
Table of Contents (17 chapters)
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1
Section 1: Introduction and Environment Setup
3
Section 2: Trading Signal Generation and Strategies
6
Section 3: Algorithmic Trading Strategies
10
Section 4: Building a Trading System
14
Section 5: Challenges in Algorithmic Trading

Reviewing the Communication API

Network protocols define the rules of communication between machines. They define how these machines will be recognized on the network and how they will interact. In trading finance, we use the UDP and TCP over the IP protocol. Additionally, we use a software protocol that will define how to communicate with an order and get a price update. The Communication API will set the rules of communication at the software level. The Communication API is given by the entity that you would like to trade with. This document contains all the messages that you will use to receive prices and send orders.

You can find examples of trading API documents at https://en.wikipedia.org/wiki/List_of_electronic_trading_protocols.

Before diving into the trading API, we will need to explain the basics of networking.

...

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