Code

Drawing this wiggly line is easy. Making money off it, harder.

There are four python packages hosted on github which you may find useful, plus a collection of gists.

package: pysystemtrade

python 3.4

Git hub repo

More information on the dedicated page, here.

pysystem trade is the open source version of my own backtesting engine that implements systems according to the framework outlined in my book "Systematic Trading".

Eventually pysystemtrade will include the following:

• Backtesting enviroment that will work out of the box for the three examples in "Systematic Trading"
• Implement all the optimisation and system design principles in the book.
• Complete implementation of a fully automated system for futures trading (for interactive brokers only), including regularly updated data
• Code to run the present, and future, examples on my blog (i.e. it will replace systematictradingexamples.

gists: python-IB-API

python 3.5

This code shows how we can use the native python API for interactive brokers using python for a series of simple examples.

Start here: blog post, gist
Historic data: blog post, gist
Market data: blog post, gist
Placing orders: blog post, gist
Getting accounting data: blog post, gist

package: python-uk-trading-tax-calculator

python 2.7

Git hub repo

This is the package I use to calculate the UK tax liability for my interactive brokers trading. More in this blog post:

Using python to calculate your UK tax liability for trading profits

package: systematictradingexamples

python 2.7

Git hub repo

This is a collection of random code used to demonstrate some of the principles in my book. See these blog posts for more:


Python code for the trading rules in the book

Python code for optimisation (one period and bootstrapping), and producing different sample periods

Introducing random data

Random data: Trading the equity curve

Random data: Optimising portfolio weights the right way (TBC)


I intend to deprecate this repo, and replace it with examples built using pysystemtrade.

package: ibswigsystematicexamples

python 2.7

Git hub repo


This is effectively deprecated: I would use the native IB python API instead (see above).

This  code shows how we can use swigibpy (https://github.com/Komnomnomnom/swigibpy) to access the C++ API for interactive brokers using python for a series of simple examples:

Start here

Getting historic, snapshotted prices

Getting real time streaming prices

Placing orders and receiving fills

Getting positions and accounting information

Using sqllite to store data