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algorithmic trading

Seeking Alpha in Alternative Data

This is a webinar that I did with Quantopian on 14 Dec 2017.   The challenge for a quant is how to make sense and ultimately extract useful trading signals out of alternative data. In this webinar, Anthony Ng will use Quantopian’s alternative datasets and demonstrate one way to extract …

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Macro Trading with XGBoost

I read with interest an application of XGBoost for macro trading in a JP Morgan so I decided to try my hands on it. XGBoost has been the craze for a lot of the Kaggle data science competition. Ben Gorman blogged about it here. Please see the attached notebook for …

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algorithmic trading

Multi-Assets Trading with Interactive Brokers

Background I have been using Interactive Brokers platform to teach my students how to trade for over 5 years. We covered topics ranging from commodities and futures trading, equity arbitrage trading, risk management, portfolio management, and more. The platform is features rich and provides a realistic introduction to the world of …

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algorithmic trading

Classification Based Machine Learning for Price Prediction

It is quite common to observe that a lot of the initial application of machine learning techniques are on directly the market price (Open, High, Low, Close, Volume). As understanding of machine learning increase, the sophistication level starts to increase. Quants are starting to look for alpha by adding factors …

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algorithmic trading

Download Historical FX Data Using Oanda V20 API

A couple of weeks ago, a student of mine on Python Algo Trading: FX Trading with Oanda asked me how to download historical fx data from the Oanda V20 API. I developed the following simple Jupyter notebook to assist him his query. The basic idea of this notebook is to …

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algorithmic trading

Obtaining FX Market Rates via Oanda v20 API

In my previous post, I demonstrated how you can make use of the Oanda v20 REST API to extract market price for EURUSD and EURJPY currency pairs. This is the accompanying video using the Oanda V20 REST API. In my Udemy course, I walk through the full features of the Oanda V20 REST …

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algorithmic trading

Exploring Asset Relationships

This post and notebook were originally posted on Quantopian forum. You can access it via this link. Introduction Developing profitable and robust algorithms required a deep and thorough understanding of product structure and economic driver(s) for asset movement. In this post, we are going to investigate the relationship between E-mini S&P …

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algorithmic trading

Obtaining FX Market Rates via Oanda v1 REST API

In my previous post, I demonstrated how you can make use of the Oanda v20 REST API to extract market price for EURUSD and EURJPY currency pairs. To further illustrate this, I have included a video from my Udemy course on how to extract market rates. This video make use …

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algorithmic trading

Algo Trading Oanda v20 API Accounts with Python

Introduction Oanda is switching most of the new accounts to make use of their new v20 REST API. Unfortunately, the v20 REST API is not compatible with the v1 REST API. This article demonstrates how to extract market rates using the v20 REST API. I assumed that you already have …

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