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| Original file line number | Diff line number | Diff line change |
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| @@ -1,11 +1,11 @@ | ||
| Purpose | ||
| ==================================== | ||
| These files are intended for recruiters, headhunters and hiring managers in evaluating my proficiency in Python and looking to fill entry-level roles in automated trading strategy development, quantitative trading or developer or analyst or researcher, high-frequency trading systems, data analyst or visualization, and model validation. | ||
| These files are intended for recruiters, headhunters and hiring managers in evaluating my proficiency in Python and looking to fill entry-level roles in automated trading strategy development, quantitative trading/developer/analyst/researcher, portfolio management/analyst, high-frequency trading, data analyst/visualization, and model validation. | ||
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| Requirements | ||
| ==================================== | ||
| - An Interactive Brokers account with TWS or API gateway (tested with demo account) | ||
| - IbPy at https://github.com/blampe/IbPy | ||
| - An Interactive Brokers account with TWS/API gateway | ||
| - IbPy @ https://github.com/blampe/IbPy | ||
| - Pandas | ||
| - NumPy | ||
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@@ -40,6 +40,7 @@ I would love to extend this model in the unforeseeable future: | |
| - Account for structureal breaks | ||
| - Using EMA kernels instead of a rectangular one | ||
| - Use and store rolling betas and standard deviations | ||
| - Add in alphas and Kalman filter predictions | ||
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| What It Can Do | ||
| ========================= | ||
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@@ -52,11 +53,13 @@ What It Cannot Do | |
| ========================= | ||
| - Make money | ||
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| Final Notes | ||
| ======================== | ||
| - This model has never been tested with a real account. All testing in demo account only. | ||
| - I haven't come across any real or full high-frequency trading model except those I've created, so here's one to get started off the ground and running | ||
| - This model has never been tested with a real account. All testing done in demo account only. | ||
| - The included strategy parameters is likely to lose money than to make money | ||
| - If you know of anybody who might be interested to offer a job (i.e paid salary), pass these links around | ||
| - If you know of anybody who might be interested to offer a job (i.e paid salary), pass these links around with thanks | ||
| - I do have the right to work in the United States on OPT work visa, hopefully from June 01 2014 onwards (or when I receive my EAD card). | ||
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| Email stuff here: [email protected] | ||