Working with Real-Time Data and Sockets

Programming, Python, Python for Algorithmic TradingLeave a comment

ZeroMQ is a lightweight, fast, and scalable socket programming library. ZeroMQ supports different patterns for socket communication. One of those patterns is the so-called publisher-subscriber (PUB-SUB) pattern where a single socket publishes data and multiple sockets simultaneously retrieve the data. Running a Simple Tick Data Server Euler discretisation of geometric Brownian motion S is the…

Building Classes for Event-Based Backtesting

Programming, Python, Python for Algorithmic Trading, Zhe LiLeave a comment

Potential shortcomings of the approach are the following: Look-ahead bias Vectorised backtesting is based on the complete data set available and does not take into account that new data arrives incrementally. Simplification For example, fixed transaction costs cannot be modelled by vectorisation, which is mainly based on relative returns. Also, fixed amounts per trade or…