Algorithmic Python Trading with Alpaca
This ongoing project attempts to build a functional algorithmic trading platform in Python using the Alpaca Stock Trading API to fulfill orders and the Polygon.io market data API to receive pricing data. To start, we are implementing the Robust Mean Reversion Strategy for Online Portfolio Selection as described by Huang, Zhao, Li, Hoi, and Zhao in https://www.ijcai.org/Proceedings/13/Papers/296.pdf with technical inspiration from Hudson and Thames' Machine Learning Financial Laboratory (mlfinlab) Python package. Going forward, we will continue to tune the algorithm's implementation details and hope to deploy this strategy to a cloud server to trade full time.
- NumPy
- pandas
- Alpaca API
- Polygon.io API