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Very cool! My question is, how do you use something like Zipline to actually execute trades.

by ngoel36 14y ago

fawce 14y ago
We are building just that at https://www.quantopian.com https://www.quantopian.com. It runs on zipline, and we're hooking it up to brokers.
twiecki 14y ago
That's currently not implemented, but definitely something we would like include. What I'd really like to see is a client for a bitcoin exchange. See our contribution request page for more details: https://github.com/quantopian/zipline/wiki/Contribution-Requests https://github.com/quantopian/zipline/wiki/Contribution-Requ... Finally, live trading is something which we are working on to enable on Quantopian (which uses zipline for backtesting your algorithms). The syntax is very similar so you could just convert your zipline strategy to Quantopian (which is free to use).
vshastry 14y ago
For those with an account, E*TRADE offers a REST based API @ https://developer.etrade.com https://developer.etrade.com . Onboarding is manual but once you get your key you can execute trades for your account via the API. Equities / ETFs only right now, they were working on support for other asset types but not sure when they are going to launch it. Full disclosure - I used to run their developer platform.
- fawce 14y ago
  How do commissions work? per trade? Does the api provide any data, or just execution?
  - vshastry 14y ago
    Commissions are the same as your E*TRADE account; list price is $9.99 for equities although if you are doing higher volumes you can negotiate discounts ($7.99 if you do 150 trades / quarter, and call them up if you are doing a lot of trades for lower pricing). Data: https://developer.etrade.com/ctnt/dev-portal/getDetail?contentUri=V0_Documentation-MarketAPI-GetQuotes https://developer.etrade.com/ctnt/dev-portal/getDetail?conte... There's also a call for data on option chains.
  - OldSchool 14y ago
    If you're looking to do API trading as a retail customer, Interactive Brokers is the best I've found. 1/2 cent per share per trade with a $1 minimum commission per trade. A downside is that they are between you and the exchanges at least when you use their SMART routing, so I get the impression your fills will be optimized for their benefit (via their Timber Hill subsidiary), not yours. Years ago, you could get filled substantially better than your limit order especially at the open for example, but no more.

Very cool! My question is, how do you use something like Zipline to actually execute trades.

by ngoel36 14y ago

Very cool! My question is, how do you use something like Zipline to actually execute trades.

fawce 14y ago

We are building just that at https://www.quantopian.com https://www.quantopian.com. It runs on zipline, and we're hooking it up to brokers.

twiecki 14y ago

That's currently not implemented, but definitely something we would like include. What I'd really like to see is a client for a bitcoin exchange. See our contribution request page for more details: https://github.com/quantopian/zipline/wiki/Contribution-Requests https://github.com/quantopian/zipline/wiki/Contribution-Requ... Finally, live trading is something which we are working on to enable on Quantopian (which uses zipline for backtesting your algorithms). The syntax is very similar so you could just convert your zipline strategy to Quantopian (which is free to use).

vshastry 14y ago

For those with an account, E*TRADE offers a REST based API @ https://developer.etrade.com https://developer.etrade.com . Onboarding is manual but once you get your key you can execute trades for your account via the API. Equities / ETFs only right now, they were working on support for other asset types but not sure when they are going to launch it. Full disclosure - I used to run their developer platform.

fawce 14y ago
How do commissions work? per trade? Does the api provide any data, or just execution?
- vshastry 14y ago
  Commissions are the same as your E*TRADE account; list price is $9.99 for equities although if you are doing higher volumes you can negotiate discounts ($7.99 if you do 150 trades / quarter, and call them up if you are doing a lot of trades for lower pricing). Data: https://developer.etrade.com/ctnt/dev-portal/getDetail?contentUri=V0_Documentation-MarketAPI-GetQuotes https://developer.etrade.com/ctnt/dev-portal/getDetail?conte... There's also a call for data on option chains.
- OldSchool 14y ago
  If you're looking to do API trading as a retail customer, Interactive Brokers is the best I've found. 1/2 cent per share per trade with a $1 minimum commission per trade. A downside is that they are between you and the exchanges at least when you use their SMART routing, so I get the impression your fills will be optimized for their benefit (via their Timber Hill subsidiary), not yours. Years ago, you could get filled substantially better than your limit order especially at the open for example, but no more.