Python is a dynamically and strongly typed programming language whose design philosophy emphasizes code readability. Two significantly different versions of Python (2 and 3) are in use. Please mention the version that you are using when asking a question about Python.

learn more… | top users | synonyms

0
votes
1answer
193 views

Can I use PyAlgoTrade for Forex?

Is it possible to use PyAlgoTrade for Forex related algorithms? If it is, please point me in the right direction on how to get PyAlgoTrade to work on Forex data.
1
vote
1answer
104 views

quantlib python : missing methods?

I'm reading Introduction to Selected Classes of the QuantLib Library I by Dimitri Reiswich and tries to "convert" it to Python. It seems to me that some C++ possibilities aren't available in python. ...
21
votes
11answers
12k views

What is the reference python library for portfolio optimization?

Does anyone know of a python library/source that is able to calculate the traditional mean-variance portfolio? To press my luck, any resources where the library/source also contains functions such as ...
7
votes
2answers
98 views

Are there any integrated framework that I can back-test and paper/live trading in one place?

I'm trying to start working on a fully automated algorithmic trading system, and I'm a little struggling with the framework to use. The requirements I have in my mind are: Needs to support ...
2
votes
1answer
98 views

Quantlib FuturesRateHelper triggers not a valid IMM date error

I'm beginning to use QuantLib with Python SWIG, and trying to build a EUR yield curve. I face this error which frankly I don't understand; I looked at the code of bool IMM::isIMMdate in imm.cpp and ...
4
votes
1answer
189 views

Wrong discount factors when finding Nelson Siegel Svensson model parameters

I am trying to determine the parameters for the Nelson Siegel Svensson model and am solving a Non- Linear Optimization problem to do this. Some of the code I have written is below and this is where my ...
1
vote
1answer
103 views

How to calculate bond yield in QuantLib - Python

I want to calculate yield of bond having market price and coupons. I try to replicate C++ from (https://mhittesdorf.wordpress.com/2013/03/03/introducing-quantlib-internal-rate-of-return/) in Python ...
1
vote
0answers
228 views

How to implement the herding measure proposed by Lakonishok et. al (1992) in python

I would like to test for herding behaviour using the herding measure developed by Lakonishok et. al (1992) on a dataset containing trader transactions during 2013, however, i am having some trouble ...
4
votes
1answer
158 views

Which Algorithmic trading library would you recommend for trading Bitcoin?

I am starting to do Algorithmic trading in cryptocurrencies using Python libraries. Most exchanges have RESTful API that make it easy to write you own code and get started. However, I would like to ...
2
votes
0answers
87 views

Finance Projects in Python [closed]

I am new to this forum. I work in the Market Risk Domain at a leading Investment Bank. I am currently learning Python. And the best way to learn is to experiment with some Real Live ...
0
votes
1answer
68 views

Calculating half life of mean reverting series with python

I am currently attempting to calculate the halflife of a mean reverting series using python programming language and the theory of the Ornstein–Uhlenbeck process. I have a series which when plotted ...
1
vote
1answer
62 views

Strategies to merge bid, offer and trade price time series into a single price time series?

I'm doing intraday analysis on low volume stocks. There are just a few trades every day, but a whole host of bids and offers. In order to reduce the sparsity of the time series data I'd like to ...
0
votes
0answers
41 views

First step of Black-Litterman portfolio

I tried to implement Black-Litterman model. I have a covariance matrix, market capitalization for each asset. I assume a risk aversion factor to be 10. First I use the following code to get ...
0
votes
0answers
28 views

Calculating returns when number of securities in a timeseries varies over time?

I have a timeseries of security returns in which the number of securities in the timeseries varies over time. More specifically, I have a universe of events where securities(their returns) are added ...
17
votes
9answers
12k views

Except Zipline, are there any other Pythonic algorithmic trading library I can choose?

Except Zipline, are there any other Pythonic algorithmic trading library I can choose? Especially, for backtesting?
0
votes
0answers
73 views

QuantLib importing in Python

Since I am working with a thesis, QuantLib is a very new thing for me. I have installed and compiled QuantLib, including the QuantLib-SWIG. Everything was compiled and installed using the guidlines at ...
0
votes
3answers
190 views

Quantlib with python on mac?

Is there anyone who knows a good guide to get quantlib working for python om mac? I have tried to search online and have not found any good guidance. I need to use quantlib for a project on python. ...
3
votes
0answers
94 views

What is the best open source automated trading platform or options?

I would like a custom C++ Automated Trading Platform for Futures like Multicharts, or similar automated trading platform that I can put on my servers so its secure and fast. I have found this ...
0
votes
1answer
64 views

What is the formula that determines when VIX futures expire?

Or a source that will allow me to just get the list of dates into a program, I'm trying to do this in python but I want it to be able to figure out the next expiration automatically, or something like ...
0
votes
1answer
86 views

Metastock end of day data to Python

I'm thinking of getting End of Day stock prices from Metastock, but was wondering if it would be possible to have Python to automatically extract the stock prices and store it in a SQL. Would that be ...
0
votes
0answers
101 views

Ideas for speeding up greek calculations

My current calculations using the vollib library averages 0.5 seconds. Is there any way to get it faster? Any tips/best practice notes will be helpful. This is for a scripting language such as ...
1
vote
2answers
62 views

How can I find stocks that have had a X% price swing within Y days, sorted by recency of said swing? [closed]

Let's say that I want to find stocks that have moved +-20% within a 10 day period. ABC would match if at t, ...
1
vote
0answers
53 views

How to fit exogenous + GARCH Model In Python?

I am studying a textbook of statistics / econometrics, using Python for my computational needs. I have encountered GARCH models and my understanding is that this is a commonly used model. In an ...
33
votes
7answers
6k views

Is R being replaced by Python at quant desks?

I know the title sounds a little extreme but I wonder whether R is phased out by a lot of quant desks at sell side banks as well as hedge funds in favor of Python. I get the impression that with ...
7
votes
2answers
361 views

What time series database can be used with Python and Pandas?

I'm looking for a time series database that can be easily used with Python and Pandas objects such as DataFrame, Panel... But these objects will always contains time series. Ideally I'm looking for ...
2
votes
1answer
105 views

How to get the IMM dates in Python for a given symbol?

How can I get an IMM date from its 2 character symbol (eg. "U6", "Z8") in python? I have not been able to install the quantlib addin (it's hard if you aren't tech savy), so please don't point me in ...
-1
votes
2answers
75 views

Is there a python code for estimating the parameters of geometric brownian motion?

I was trying to find the parameters of GBM but could not find a python code for the same.
2
votes
1answer
97 views

Bloomberg Python Question - How do you access PRTU via python?

I am having some trouble using python to access Bloomberg as I cant find much documentation. All I really need to do is a simple lookup of dates in the PRTU function of Bloomberg, PRTU via a python ...
1
vote
0answers
161 views

Formula behind pandas.Options() implied volatility

I noted that implied volatility (IV field) from pandas.Options class is very different (especially, for out of money options) than what I compute with Black-Scholes model. (risk free rate is pulled ...
0
votes
0answers
20 views

Selling two uncorrelated OTM options lowers the over all probability of profit?

I am trying to simulate shorting two uncorrelated put options, I wrote a python program and used monte carlo method to simulate the PnL on expiration: gist It seems the probability of profit is ...
2
votes
2answers
267 views

Multivariate GARCH in Python

Is there a package to run simplified multivariate GARCH models in Python? I found the Arch package but that seems to work on only univariate models. I'd like to test out some of the more simple ...
3
votes
1answer
222 views

Shannon's entropy for financial times-series (return)

I'm looking at Shannon entropy, and generaly at ways to tell noise from signal when observing intraday returns (at the minute level for now). In python, e.g. I've implemented the fomula (sum of ...
-2
votes
2answers
218 views

Modified or Macauley Duration in python

are there any existing python modules that can calculate Modified and/or Macauley Duration of a bond.
1
vote
1answer
142 views

Broker or source of intraday futures data for a python API?

I am looking for a broker that offers a python API for downloading historical intraday data on futures. So far I have only seen Interactive Brokers and Tradestation. Are there some other brokers ...
4
votes
1answer
1k views

Are there Python algorithmic trading libraries supporting forex?

I know about zipline and ultrafinance, but as far as I know, they don't support fx trading. Which libraries do?
2
votes
0answers
48 views

Black-Scholes explicit Euler implementation python

I've written some code for the explicit finite difference method to solve the BS equation. For certain sets of parameters (time-steps and asset-steps) I get a stable but wrong solution. For others, ...
19
votes
8answers
6k views

What tools exist for order book analysis and visualization?

What tools exist for order book analysis and visualization? In particular, if one wanted to examine a limit order book and understand how it changes throughout the day where would you turn for ...
1
vote
2answers
176 views

Calculating log-returns across multiple securities and time

I've been getting very confused on the topic of calculating returns. To get cumulative returns in time, log-returns are used, but apparently log-returns aren't used across different securities at a ...
5
votes
1answer
2k views

Historical volatility from close prices (Haug pg 166)

I have implemented a function for calculating historical volatility using close the close method as described by Haug on page 166. When I implemented the formula given by Haug, it resulted in some ...
1
vote
0answers
93 views

bandwith portfolio rebalancing in python

I want to calculate a bandwith rebalancing machanism for a portfolio of two assets. As soon as the performance of one ov the assets gets bigger or smaller than the other one + a defined tolerance ...
0
votes
1answer
67 views

Binary Option valuation problem in R using RQuantLib; also result validation aspect

When I am trying to value Binary Option using RQuantLib I am not getting all the greeks for exctype "american" wheras "european" exctype is fine. What is the problem here ? ...
1
vote
1answer
429 views

Calculate and plot historical volatility with Python

I have downloaded historical data for FTSE from 1984 to now. What I would like to do is to graph volatility as a function of time. What I have written is: ...
4
votes
1answer
462 views

Moving window forecasting in Python

I am looking to create some code that will out-of-sample forecast the HAR-RV model. The model itself is formulated as the following, and the betas are estimated through HAC-OLS or Newey-West. ...
0
votes
1answer
58 views

need help with Donchian-channels function!

I want to be able to plot Donchian-channels. It's probably easier to use numpy but, am not that fluent with numpy yet so i thought i could make a function that takes two arrays as input(Highs and ...
1
vote
0answers
54 views

Issue with Naive Bootstrapping (US Government Bonds)

I am using the formula here to determine the discount factor function. I get the data for Coupons, Face Values and Closing Prices from Thomson Reuters, which I insert into the Dataframe ...
2
votes
0answers
91 views

Problem with Naive Bootstrapping (US Government Bonds)

I am using the formula here to determine the discount factor function and eventually the zero-coupon yields. I get the data for Coupons, Face Values and Closing Prices from Thomson Reuters, which I ...
2
votes
1answer
72 views

importing columns of returns data into python from excel/csv [closed]

I'm fairly new to the quant finance space, and I was hoping to get some guidance. Say I have a csv/excel file with columns of daily returns data for various asset classes or securities (one column per ...
1
vote
1answer
416 views

How can I calculate the Maximum Drawdown MDD in python

I need to calculate the a time dynamic Maximum Drawdown in Python. The problem is that e.g.: ( df.CLOSE_SPX.max() - df.CLOSE_SPX.min() ) / df.CLOSE_SPX.max() ...
1
vote
1answer
310 views

calculate YTD return / find first available datapoint of a year in python

I need to calculate the year-to-date relative return of a given dataset. I usually caculate the cumulative relative return with this simple function: ...