Quantopian's community platform is shutting down. Please read this post for more information and download your code.
Back to Community
Pair Trading
quant 1
edited Dec 8, 2015
Finance Theory Pairs Trading Stat Arb

Hi, I am new to Quantopian
From the following link on Pair Trading
https://www.quantopian.com/algorithms/5667083d2a37e94ced000198
Please help me in understanding these codes and its functioning here, If there is any description of these functions on Quantopian,please let me know.
Q1)
set_slippage(slippage.FixedSlippage(spread=0))
set_commission(commission.PerTrade(cost=1))
set_symbol_lookup_date('2014-01-01')

Q2) context.spread = np.ndarray((context.num_pairs, 0))
# context.hedgeRatioTS = np.ndarray((context.num_pairs, 0))
context.inLong = [False] * context.num_pairs
context.inShort = [False] * context.num_pairs

Q3) prices = history(35, '1d', 'price').iloc[-context.lookback::] 

new_spreads = np.ndarray((context.num_pairs, 1))

4) new_spreads[i, :] = Y[-1] - hedge * X[-1]

Thanks in advance.

1 response
André Pajak
Dec 16, 2015

Q1: set_slippage, set_commission, and set_symbol_lookup_date are Quantopian API functions described at http://www.quantopiancom/help .

Q2: ndarray is a NumPy function, described at http://docs.scipy.org/doc/numpy/reference/ , that creates an "n-dimensional array". * is the Python operator that "multiplies" a list by an int.

Q3: history is a Quantopian function. It returns a pandas.DataFrame. See http://pandas.pydata.org/pandas-docs/stable/api.html and read about DataFrames and indexing.

Q4: Indexing and vector arithmetic in NumPy.

About Quantopian
Careers
Community
Events
Documentation
Academia
Lectures
Status
Facebook
Twitter
LinkedIn
YouTube
Terms of Use
Privacy Policy

The material on this website is provided for informational purposes only and does not constitute an offer to sell, a solicitation to buy, or a recommendation or endorsement for any security or strategy, nor does it constitute an offer to provide investment advisory services by Quantopian.

In addition, the material offers no opinion with respect to the suitability of any security or specific investment. No information contained herein should be regarded as a suggestion to engage in or refrain from any investment-related course of action as none of Quantopian nor any of its affiliates is undertaking to provide investment advice, act as an adviser to any plan or entity subject to the Employee Retirement Income Security Act of 1974, as amended, individual retirement account or individual retirement annuity, or give advice in a fiduciary capacity with respect to the materials presented herein. If you are an individual retirement or other investor, contact your financial advisor or other fiduciary unrelated to Quantopian about whether any given investment idea, strategy, product or service described herein may be appropriate for your circumstances. All investments involve risk, including loss of principal. Quantopian makes no guarantees as to the accuracy or completeness of the views expressed in the website. The views are subject to change, and may have become unreliable for various reasons, including changes in market conditions or economic circumstances.