CS349FCloudEx Review Session 2

Friday October 16th

Session Outline● Connecting to VM (reminder from last week)● Python Client Library

○ Overview○ algorithm() Function Description

● Jupyter Notebook○ Section 1: Instantiate your cloud_ex.Trader object○ Trading Algorithm Examples

● Section 2: Mean reversion trading● Section 3: Momentum trading● Section 4: Pairs trading

○ Section 5: Backtesting

● C++ API Code Examples

Connecting to your VM(Reminder from last week)

Connecting to your VM to the VM● Check email for SSH Private Key and your VM’s public IP address. Download ssh

key (e.g., c1_sshkey)

1. Make ssh key read-only by owner.

2. Use an ssh client to connect to your VM using the private key and IP address.

chmod 400 c1_sshkey

ssh -i c1_sshkey trader@

Python Client Library

OverviewAlgorithmicTrader

Base Class

Constructor arguments:

1. cloud_ex.Trader object,

2. list of symbols to subscribe to,

3. bin_interval in ms - defaults to 500ms

API functionality:

- Pull and Bin Trade Market Data

- Place Orders

- Given the trading algorithm function:

- Run Trading Loop

- Backtest using historical data

Client library provided by us

Student Derived Subclass

Required function to define:

- The trading algorithm function algorithm()-(More about this in next slide)

Algorithm developed by you

(inherits AlgorithmicTrader base class functionality)

algorithm() Function Description

Calculate buy/sell points for an equity

The stock price is evaluated at the close of each bin_interval_ms time interval.

Arguments:

df - Dataframes with prices for an equity (pd.DataFrame).**kwargs - Any other needed (named) arguments for the algorithm

Returns:

An (action, price) pair.● action is None when no action is determined, price is also None in this case.● action is ‘Buy’, price is then the buy price.● action is ‘Sell’, price is then the sell price.

algorithm(df, **kwargs)

Jupyter Notebook

Section 1: Instantiate your cloud_ex.Trader object

Trading Algorithm Examples

Section 2: Mean Reversion Trading

Section 3: Momentum Trading

Section 4: Pairs Trading

Section 5: Backtesting

Backtesting Trading Loop

● Use historical data to:○ Fit Algorithm Parameters○ Compare Algorithm Performance○ Evaluate expected Risk/Return profiles for

algorithms

● Deploy Algorithms on live data

C++ API Code Examples

Steps to Build your C++ program with CloudEx to the VM● SSH into your VM, then change directory:

● There is a script that takes in your .cpp filename and the desired executable name, and compiles your cpp program to output an executable. Use that script to build

your C++ program.

○ Example: to build tutorial.cpp in that directory:

cd /root/CloudExchange

./buildcpp.sh tutorial.cpp tutorial

● Run the resulting executable output.

C++ Code Examples● You can check the tutorial.cpp for a basic introduction on the C++ API,

which is almost identical to the Python API.

● We have also implemented the three algorithms we just discussed in C++. For example, for mean reversion trader:

./buildcpp.sh mean_reversion_trader.cpp mean_reversion_trader

./mean_reversion_trader --base_shares 1000 --moving_window 5 --threshold 5 --tick_length 1