I work at an algorithmic trading shop and have spent a fair amount of time studying equity market structure. It's great to see an open source trading platform, but I think it's important to stress the following: Equity markets are highly competitive. If you choose to use this platform for trading, you will lose money on average. As a retail trader, you face numerous disadvantages that many market participants do not face. By increasing your trading frequency, you will increase your costs and decrease the likelihood that you will make money. Good luck!
Make sure to check out the wonderful web application the Quantopian team has built using this library at <a href="http://www.quantopian.com" rel="nofollow">http://www.quantopian.com</a>
The topic of this post seems a little off. The description of zipline on its github page is "financial backtester for trading algorithms written in Python" which is a bit different.
The "Hello World" sample algorithm on Quantopian gets a 4000% return if it operates on AAPL for a year. It makes trades each minute using a "3 day volume-weighted-average-price." I find it hard to believe this algorithm would perform so well in the real world.<p>How much of an impact would factors like latency in a real world environment have on this algorithm?<p><a href="https://www.quantopian.com/posts/the-hello-world-algorithm-makes-a-4000-percent-return" rel="nofollow">https://www.quantopian.com/posts/the-hello-world-algorithm-m...</a>
Quantopian presented at the New York Software Engineers meetup last week. As somebody who has built proprietary backtesting software before, I applaud their open-source approach to this problem. They have some recorded presentations on their blog for anybody who is interested <a href="http://blog.quantopian.com/" rel="nofollow">http://blog.quantopian.com/</a>
This looks pretty good. You already have competitors out there like Collective2. It'd be nice if you guys can get options data with IV; it's probably harder to get data licenses for historical options data but it'll differentiate you guys from the rest of the competition.
A little off-topic, but I'd love to hear the experiences of someone who has actually done algorithmic trading using their personal finances. I assume that there are enough hurdles in comparison to the major market participants that you'd have lots of trouble making money on average.