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/developer/analyst/researcher, portfolio management/analyst, high-frequency trading, data analyst/visualization, and model validation.

Requirements

• An Interactive Brokers account with TWS/API gateway
• IbPy @ https://github.com/blampe/IbPy
• Pandas
• NumPy

Key Concepts

At the present moment, this model trades on statistical arbitrage based on these methodologies:

• Transforming inhomogenous to homogeneous time series of 1 second intervals
• Mean-reversion of highly-correlated stock pairs
• Using Volatility ratio to detect trending or Brownian motion
• Fair valuation by using beta of average 5 minutes look-back price window
• Fair valuation against more than 1 security is possible

Other functionalities:

• Generate trade signals and place buy/sell orders on every incoming tick
• Re-evaluating beta every 30 seconds to account for small regime shifts

And greatly inspired by these papers:

• MIT - Developing high-frequency equities trading model @ http://dspace.mit.edu/handle/1721.1/59122
• SMU - Profiting from mean-reverting yield-curve trading strategies @ http://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=3488&context=lkcsb_research

Future Enhancements

I would love to extend this model in the unforeseeable future:

• Extending to more than 2 securities and trade on optimum prices
• Generate more trade signals based on corrleation and co-integration
• Using PCA for next-period evaluation
• Back-testing with zipline
• Maybe include vector auto-regressions
• Account for regime shifts (trending or mean-reverting states)
• 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

What It Can Do

• Establish connection to broker and request for tick data
• Generate trade signals on each incoming tick
• Place buy/sell orders to a demo account
• Lose money

What It Cannot Do

• Make money

Final Notes

• 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 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).

Email stuff here: [email protected]