IB量化博客


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Byte Academy - Python vs R


Join Lesley Cordero from Byte Academy for a comparison of the most widely used programming languages in Data Science:

 

View Webinar Recording

 

Python-vs-R


Python and R are the mostly widely used programming languages in Data Science. From data preparation to analysis and machine learning, Python and R, especially when used together, serve the needs of Data Scientists. In this tutorial, we will review both languages across several examples, making sure to highlight the different strengths and weaknesses of each.

Sponsored by Byte Academy

 

Information posted on IBKR Quant that is provided by third-parties and not by Interactive Brokers does NOT constitute a recommendation by Interactive Brokers that you should contract for the services of that third party. Third-party participants who contribute to IBKR Quant are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.


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AQUMON - Investment for the Super Rich vs the Masses, A.I. Bridges the Gap


Learn more about Artificial Intelligence applied in Trading with this webinar recording. Visit IBKR’s YouTube Channel:

 

 https://youtu.be/oLBeS0RkzJw

 

Quant

 

 

Description: Previously, global asset allocation was typically available only to the super rich due to both the high entry capital threshold and higher fees that many cannot afford. Nonetheless, the need for proper investment advisory services has never stopped growing. In this new era where technology continues to improve our lives, each of us should be able to benefit - and there borns Robo-advisory. During the session, we would explain why robo-advisory services could provide masses an automated, transparent and all-weather asset allocation service with such low cost. We will also explain in details how the investment engine works from the stage of gathering structured and unstructured data to what technologies used to measure the risk exposures of the portfolio better with barely human effort.

Speaker: Kenneth Shih, Head of Sales and Marketing, Magnum Research, Ltd.

Sponsored by Magnum Research

 

Information posted on IBKR Quant that is provided by third-parties and not by Interactive Brokers does NOT constitute a recommendation by Interactive Brokers that you should contract for the services of that third party. Third-party participants who contribute to IBKR Quant are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.


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Algorithmic Trading Regulations - European Union


By Mario Pisa Peña, QuantInsti Blog

In Part I, the author discussed the reasoning behind Regulations for Algorithmic Trading.

European Securities Markets Agency (ESMA)

European Securities Markets Agency (ESMA) is an independent EU Authority that contributes to safeguarding the stability of the European Union’s financial system by enhancing the protection of investors and promoting stable and orderly financial markets.1

In order to achieve its objectives, the agency publishes mandatory standards and good practices and supervises their compliance. The regulatory agencies of each member country are responsible for implementing and supervising these regulations in their home country. Europe, therefore, sets the rules of the game for the 27 countries that make up the EU (after Brexit). Here is the list of countries that must be in compliance with European regulations:

  1. Austria
  2. Italy
  3. Belgium
  4. Latvia
  5. Bulgaria
  6. Lithuania
  7. Croatia
  8. Luxembourg
  9. Cyprus
  10. Malta
  11. Czechia
  12. Netherlands
  13. Denmark
  14. Poland
  15. Estonia
  16. Portugal
  17. Finland
  18. Romania
  19. France
  20. Slovakia
  21. Germany
  22. Slovenia
  23. Greece
  24. Spain
  25. Hungary
  26. Sweden
  27. Ireland

 

In this next section, we are going to put the focus on the new European legal framework MiFID2 (Markets in Financial Instruments Directive), MiFIR (Markets in Financial Instruments Regulation) and MAR (Market Abuse Regime). They are an attempt to update the regulation to new technological advances and although the scope is Europe it has common aspects to other countries or serves as a reference to others as well. Read a summary here.

In short, Europe, through ESMA publishes binding directives and regulations for EU member states, each country, through its regulatory agency (FDA of Germany, CNMV of Spain, etc.), implements, supervises and reports back to ESMA.

This means that all market participants (banks, investment firms, funds, agents, brokers, systems, etc.) operating in a given country must adapt to them, and the country’s regulatory agency is responsible for enforcing and supervising the participants’ compliance.

 MiFID2 (Markets in Financial Instruments Directive)

MiFID2 is the Directive 2014/65/EU on Markets in Financial Instruments for better regulated and transparent financial markets. You can read the official summary here. In short:

  • It aims at making financial markets in the European Union (EU) more robust and transparent.
  • It creates a new legal framework that better regulates trading activities in financial markets and enhances investor protection. The new rules, called ‘MiFID 2’, revise the legislation currently in place and were applicable from January 2018.

How?

  1. Ensuring financial products are traded on regulated venues
  2. Increased transparency
  3. Limiting speculation on commodities
  4. Adapting rules to new technologies
  5. Reinforcing investor protection


These objectives are achieved through a set of specific guidelines:


Who should adopt these guidelines?

All market participants required by law (Article 1) and other participants who are service or system providers. Thus, each participant, depending on her involvement in the market, will have to adopt one or more of these guidelines.

 MiFIR (Markets in Financial Instruments Regulation)

 

Regulation Nº 600/2014 establishes a common regulatory framework on financial instruments and market participants to provide transparency and security to investors. The key points are:

 

  • Transparency for trading venues
  • Transparency for equity instruments
  • Transparency for non-equity instruments
  • The obligation to offer trade data on a separate and reasonable commercial basis
  • Transparency for systematic internalisers and investment firms trading o-t-c
  • Transaction reporting
  • Derivatives Regulation Nº 648/2012 on OTC derivatives, central counterparties and trade repositories
  • Non-discriminatory clearing access for financial instruments
  • Supervisory measures on product intervention and positions
  • Product monitoring and intervention 
  • Positions
  • Provision of services and performance of activities by third-country firms following an equivalence decision with or without a branch


MAR (Market Abuse Regime)

Regulation Nº 596/2014 establishes a common regulatory framework on insider dealing, the unlawful disclosure of inside information and market manipulation (market abuse) as well as measures to prevent market abuse to ensure the integrity of financial markets in the Union and to enhance investor protection and confidence in those markets.

In short, this regulation tries to establish the rules of behaviour of insiders and the capacity of regulatory agencies to supervise and sanction bad practices.

In the next part, the author will discuss regulations from three different points of view.

 

This article is from QuantInsti and is being posted with QuantInsti’s permission. The views expressed in this article are solely those of the author and/or QuantInsti and IB is not endorsing or recommending any investment or trading discussed in the article. This material is for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IB to buy, sell or hold such security. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual customers. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


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Coding Market and Limit Orders in Python with IBKR API


Python

The Market order type is an order to buy or sell at the market bid or offer price.

 

    @staticmethod

    def MarketOrder(action:str, quantity:float):

        #! [market]
        order = Order()
        order.action = action
        order.orderType = "MKT"
        order.totalQuantity = quantity
        #! [market]
        return order

--------------------------------

A Limit order is an order to buy or sell at a specified price or better. 

   

    @staticmethod

    def LimitOrder(action:str, quantity:float, limitPrice:float):

        # ! [limitorder]

        order = Order()
        order.action = action
        order.orderType = "LMT"
        order.totalQuantity = quantity
        order.lmtPrice = limitPrice
        # ! [limitorder]
        return order

--------------------------------

 

Visit our GitHub guide to download the API sample Testbed, and review the Python code for other order types, such as Stop or Stop Loss order: http://interactivebrokers.github.io/

The sample syntax is in the OrderSamples.py file.

 

Information posted on IBKR Quant that is provided by third-parties and not by Interactive Brokers does NOT constitute a recommendation by Interactive Brokers that you should contract for the services of that third party. Third-party participants who contribute to IBKR Quant are independent of Interactive Brokers and Interactive Brokers does not make any representations or warranties concerning the services offered, their past or future performance, or the accuracy of the information provided by the third party. Past performance is no guarantee of future results.


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IBKR API RTD Server for Excel - Resources for Fintech Students


C# programming language is fast and efficient, so it is no surprise that Fintech students use it for time series analysis and backtesting.

We invite students to explore IBKR API RTD Server for Excel, which is a dynamic link library that enables clients to request real-time market data from TWS via our API and Microsoft Excel. RTD is open source and thus very popular. It is a newer technology compared to Excel DDE and easier to use compared to VB-built ActiveX.

The RTD Server is built in C# so the source file will be installed in the TWS API/source/CSharpClient/TwsRtdServer directory. Follow the below installation instructions:

  1. Install the IBKR API from here http://interactivebrokers.github.io/ 
     
  2. Trader Workstation software from here: https://www.interactivebrokers.com/en/index.php?f=16040

The RTD Server supports streaming live (or 15-minute delayed) market data. You just need to enter formulas into an Excel cell adhering to the RTD API specific syntax, which falls into 3 categories:

  • Simple - components consist of ProgIDServerTicker and Topic
  • Complex - formula strings are defined separately, so each string represents one single parameter at a time
  • Mixed – blended syntax of Simple and Complex but with one restriction - the Ticker string must be the first string that appears in the formula.

For specific syntax samples, visit our GitHub:
http://interactivebrokers.github.io/tws-api/tws_rtd_server.html#gsc.tab=0
 


Note: Students are invited to work with their professors and join the IBKR Student Trading Lab to practice with a university simulated trading account.

 

The analysis in this article is provided for information only and is not and should not be construed as an offer to sell or the solicitation of an offer to buy any security. To the extent that this material discusses general market activity, industry or sector trends or other broad-based economic or political conditions, it should not be construed as research or investment advice. To the extent that it includes references to specific securities, commodities, currencies, or other instruments, those references do not constitute a recommendation by IB to buy, sell or hold such investments. This material does not and is not intended to take into account the particular financial conditions, investment objectives or requirements of individual clients. Before acting on this material, you should consider whether it is suitable for your particular circumstances and, as necessary, seek professional advice.


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