Live Trading

[sirinath]

Is it possible to add live trading ability?

[Emsu]

Which platform are you looking to live trade with?

Yeah we could add it. I'm not going to have much time over the holidays to build it, would you be interested in helping me build live trading out?

[sirinath]

I would like to but Python is not my strength

[Emsu]

@sirinath Ok no worries. What platform are you looking to trade with? Do they have a paper trading API or something I could use to build against?

This is generally something I want to add and will be available in the future but probably will take a couple months before I spend enough time to get a nice integration out. In the meantime, you may want to manually trade based on the output of your algorithm (prophet.generate_orders(today)) or look at a different package in the interim if you execute multiple trades a day.

My personal use case currently is a much slower strategy which is why I don't think I'll get to it for a little while. That and I'll be busy during the holidays.

[asiviero]

I could help on this too, provided the platforms provide us an API to do it. Some sandbox mode would also be useful

[sirinath]

Have a look at http://www.fix8.org/ or http://libtrading.org/

I am not an expert in using native in Python but this might be the answer.

[Emsu]

@sirinath Ok, we can just write a FIX trading client then. Do you happen to have an account open that can paper trade using FIX? None of the APIs I could find online were free.

@asiviero Maybe we can talk about how to collaborate to build this out? I think some lower level groundwork needs to be done too on prophet before it can live trade. We can probably use the quickfix library's python bindings. I can't find a free API to build against yet. Maybe we can build it out as per the FIX protocol and then see if any users with accounts can help with testing on a paper trading account.

We could also use IBpy to create a non-FIX live trading. We'd still need an account with them which has account minimums but the cost to use their non-FIX API is a lot cheaper and there's probably more people willing to test it.

[asiviero]

@Emsu I have no experience with FIX clients. I guess it shouldn't be hard to write a client for it, however we would need a testing API. Perhaps if you anounce it on the roadmap inviting people who wish to collaborate by providing us that we could get it faster.

About that groundwork, do you have that sketched?

[Emsu]

@asiviero The quickfix library I mentioned has sample servers that accept fix orders. Accepting data feeds is a little harder. FIXimulator also looks interesting. I'll add it to the roadmap and shoot an email to the mailing list. Hopefully some lurkers will step forward :)

I've thought about what would need to happen. Haven't sketched it out yet. I'll open an issue with a proposal when I have time? I think I'll be focusing on making a long running daemon and tooling to accept live data. Do you want to take a look at those FIX simulators and open an issue for how you'd want to integrate? The simulators should be enough for a basic integration.

[asiviero]

I believe accepting live data would indeed be the hardest part. I'll try to do some raw stuff some time soon and then discuss a bit more about the details needed.

[asiviero]

btw what is the mail list?

[Emsu]

@asiviero Here's the mailing list https://groups.google.com/forum/#!forum/prophet-financial-framework

There's not too many people on it right now.

[Emsu]

@asiviero Are you still available to help with this? I have some thoughts on how to piece together prophet and live trading and will draft a new issue with a proposal.

[asiviero]

Alright @Emsu, I've been a bit busy lately. I'll wait for the draft

[Emsu]

Closing this thread. I opened a proposal at #13