Trading Application Development in Python

Agenda

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Part I : Python-Related Topics

Development Environment Setup (Basic)

• Distribution selection : python (x,y), EPD, ActivePython
• Implementation selection : CPython, Jython, IronPython
• Version selection
• IDE: PyDev, spyder, IPython
• Testing and Debugging

Numerical Calculation (Basic)

• numpy and scipy
  • http://www.scipy.org/
  • Python Scripting For Computational Science, chapter 4
• matplotlib
  • http://matplotlib.sourceforge.net/
  • http://coreapython.hosting.paran.com/manual/Matplotlib%20-%20pylab%20-%20matlab%20style%20python%20plotting%20(plots,%20graphs,%20charts).htm
  • Beginning Python Visualization
• chaco
  • http://code.enthought.com/chaco/
• Rpy
  • http://rpy.sourceforge.net/

Python on Windows (Basic)

• ctype
  • import c library
  • handling c data types
  • http://docs.python.org/library/ctypes.html
  • http://python.net/crew/theller/ctypes/tutorial.html
• Win32 API
  • Pywin32 package
  • http://docs.activestate.com/activepython/2.6/pywin32/PyWin32.HTML
  • http://docs.activestate.com/activepython/2.6/pywin32/modules.html
  • http://timgolden.me.uk/pywin32-docs/contents.html
• COM
  • win32com in pywin32
  • comtypes
• ActiveX
  • Wx ActiveX container
  • Qt ActiveX container
    • C++ GUI Programming with Qt 4, Second Edition , Chapter 23-2 Using ActiveX on Windows
    • QT4를 이용한 C++ GUI 프로그래밍

Signal/Event Processing (Intermediate)

• PyQt, PySide Signal/Slot
• Enthought Traits

GUI Frontend (Intermediate)

• PyQt, PySide GUI programming
• Enthought Traits GUI

Performance (Advanced)

• extension and embedding
• SWIG and BOOST
• cython

Network (Advanced)

• socket programming
• ZeroMQ

Concurrency (Advanced)

• Multi-Threading and GIL
• Mutl-Processing
• Generator and Coroutine
• Green threading : gevent
• Parallel engine: ipython

Finite State Machines (Advanced)

• FSM in PyQt

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Part II : API-Related Topics

Network Configurations in KRX

• KRX Matching Engine
• FEP
• OMS/EMS
• Middleware
• API

API Characteristics

• Cybos
• TX
• GOM
• Anylink

Middleware issues

• Data Buffering and Latency

Traffic, Latency Issues

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Part III : Trading Framework Development

Tick Data Processing

• Order book processing

Order Management

• Multiple limit order management
• Out-of-order packet problems

Risk Management

• Examples of past accidents
• Ultra-fast turn-over rate
• Robust code development

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