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bugfixes for notebooks / instructions
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Oliver Steffmann committed Dec 18, 2020
1 parent fa8d666 commit c8cc959
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Showing 10 changed files with 31 additions and 70 deletions.
2 changes: 1 addition & 1 deletion 1_Data/Load_Hist_Data_Daily_Public.ipynb
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Expand Up @@ -38,7 +38,7 @@
"outputs": [],
"source": [
"# get S3 bucket\n",
"s3bucket=!(aws s3 ls | grep algo-data | awk '{print $3}')\n",
"s3bucket=!(aws s3 ls | grep algotrading-data | awk '{print $3}')\n",
"s3bucket=s3bucket[0]\n",
"s3bucket"
]
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2 changes: 1 addition & 1 deletion 1_Data/Load_Hist_Data_Intraday.ipynb
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Expand Up @@ -33,7 +33,7 @@
"outputs": [],
"source": [
"# get S3 bucket\n",
"s3bucket=!(aws s3 ls | grep algo-data | awk '{print $3}')\n",
"s3bucket=!(aws s3 ls | grep algotrading-data | awk '{print $3}')\n",
"s3bucket=s3bucket[0]\n",
"s3bucket"
]
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19 changes: 5 additions & 14 deletions 2_Strategies/Strategy_Breakout.ipynb
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Expand Up @@ -23,7 +23,7 @@
"outputs": [],
"source": [
"# get S3 bucket\n",
"s3bucket=!(aws s3 ls | grep algo-data | awk '{print $3}')\n",
"s3bucket=!(aws s3 ls | grep algotrading-data | awk '{print $3}')\n",
"s3bucket=s3bucket[0]\n",
"s3bucket"
]
Expand Down Expand Up @@ -299,10 +299,10 @@
"image = f'{account}.dkr.ecr.{region}.amazonaws.com/{prefix}:latest'\n",
"\n",
"algo = sage.estimator.Estimator(\n",
" image_name=image,\n",
" image_uri=image,\n",
" role=role,\n",
" train_instance_count=1,\n",
" train_instance_type='ml.m4.xlarge',\n",
" instance_count=1,\n",
" instance_type='ml.m4.xlarge',\n",
" output_path=\"s3://{}/output\".format(sess.default_bucket()),\n",
" sagemaker_session=sess,\n",
" base_job_name=job_name,\n",
Expand Down Expand Up @@ -358,16 +358,7 @@
"cell_type": "markdown",
"metadata": {},
"source": [
"### Congratulations! You've completed this strategy. Verify your submission on the leaderboard."
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"%run leaderboard.py"
"### Congratulations! You've completed this strategy."
]
}
],
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15 changes: 3 additions & 12 deletions 2_Strategies/Strategy_ML_Forecast.ipynb
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Expand Up @@ -391,8 +391,8 @@
"algo = sage.estimator.Estimator(\n",
" image_uri=image,\n",
" role=role,\n",
" train_instance_count=1,\n",
" train_instance_type='ml.m4.xlarge',\n",
" instance_count=1,\n",
" instance_type='ml.m4.xlarge',\n",
" output_path=\"s3://{}/output\".format(sess.default_bucket()),\n",
" sagemaker_session=sess,\n",
" base_job_name=job_name,\n",
Expand Down Expand Up @@ -448,16 +448,7 @@
"cell_type": "markdown",
"metadata": {},
"source": [
"### Congratulations! You've completed this strategy. Verify your submission on the leaderboard."
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"%run leaderboard.py"
"### Congratulations! You've completed this strategy."
]
}
],
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19 changes: 5 additions & 14 deletions 2_Strategies/Strategy_ML_Forecast_Intraday.ipynb
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Original file line number Diff line number Diff line change
Expand Up @@ -23,7 +23,7 @@
"outputs": [],
"source": [
"# get S3 bucket\n",
"s3bucket=!(aws s3 ls | grep algo-data | awk '{print $3}')\n",
"s3bucket=!(aws s3 ls | grep algotrading-data | awk '{print $3}')\n",
"s3bucket=s3bucket[0]\n",
"s3bucket"
]
Expand Down Expand Up @@ -377,10 +377,10 @@
"image = f'{account}.dkr.ecr.{region}.amazonaws.com/{prefix}:latest'\n",
"\n",
"algo = sage.estimator.Estimator(\n",
" image_name=image,\n",
" image_uri=image,\n",
" role=role,\n",
" train_instance_count=1,\n",
" train_instance_type='ml.m4.xlarge',\n",
" instance_count=1,\n",
" instance_type='ml.m4.xlarge',\n",
" output_path=\"s3://{}/output\".format(sess.default_bucket()),\n",
" sagemaker_session=sess,\n",
" base_job_name=job_name,\n",
Expand Down Expand Up @@ -436,16 +436,7 @@
"cell_type": "markdown",
"metadata": {},
"source": [
"### Congratulations! You've completed this strategy. Verify your submission on the leaderboard."
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"%run leaderboard.py"
"### Congratulations! You've completed this strategy."
]
}
],
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26 changes: 5 additions & 21 deletions 2_Strategies/Strategy_SMA.ipynb
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Expand Up @@ -23,7 +23,7 @@
"outputs": [],
"source": [
"# get S3 bucket\n",
"s3bucket=!(aws s3 ls | grep algo-data | awk '{print $3}')\n",
"s3bucket=!(aws s3 ls | grep algotrading-data | awk '{print $3}')\n",
"s3bucket=s3bucket[0]\n",
"s3bucket"
]
Expand Down Expand Up @@ -296,10 +296,10 @@
"image = f'{account}.dkr.ecr.{region}.amazonaws.com/{prefix}:latest'\n",
"\n",
"algo = sage.estimator.Estimator(\n",
" image_name=image,\n",
" image_uri=image,\n",
" role=role,\n",
" train_instance_count=1,\n",
" train_instance_type='ml.m4.xlarge',\n",
" instance_count=1,\n",
" instance_type='ml.m4.xlarge',\n",
" output_path=\"s3://{}/output\".format(sess.default_bucket()),\n",
" sagemaker_session=sess,\n",
" base_job_name=job_name,\n",
Expand Down Expand Up @@ -354,24 +354,8 @@
"cell_type": "markdown",
"metadata": {},
"source": [
"### Congratulations! You've completed this strategy. Verify your submission on the leaderboard."
"### Congratulations! You've completed this strategy."
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": [
"%run leaderboard.py"
]
},
{
"cell_type": "code",
"execution_count": null,
"metadata": {},
"outputs": [],
"source": []
}
],
"metadata": {
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4 changes: 2 additions & 2 deletions 3_Models/Train_Model_Forecast.ipynb
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Expand Up @@ -532,8 +532,8 @@
"classifier = sage.estimator.Estimator(\n",
" image_uri=image,\n",
" role=role,\n",
" train_instance_count=1,\n",
" train_instance_type='ml.m4.xlarge',\n",
" instance_count=1,\n",
" instance_type='ml.m4.xlarge',\n",
" output_path=\"s3://{}/output\".format(sess.default_bucket()),\n",
" sagemaker_session=sess,\n",
" base_job_name=job_name)\n",
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8 changes: 4 additions & 4 deletions 3_Models/Train_Model_Forecast_Intraday.ipynb
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Original file line number Diff line number Diff line change
Expand Up @@ -50,7 +50,7 @@
"outputs": [],
"source": [
"# get S3 bucket\n",
"s3bucket=!(aws s3 ls | grep algo-data | awk '{print $3}')\n",
"s3bucket=!(aws s3 ls | grep algotrading-data | awk '{print $3}')\n",
"s3bucket=s3bucket[0]\n",
"s3bucket"
]
Expand Down Expand Up @@ -516,10 +516,10 @@
"image = f'{account}.dkr.ecr.{region}.amazonaws.com/{prefix}:latest'\n",
"\n",
"classifier = sage.estimator.Estimator(\n",
" image_name=image,\n",
" image_uri=image,\n",
" role=role,\n",
" train_instance_count=1,\n",
" train_instance_type='ml.m4.xlarge',\n",
" instance_count=1,\n",
" instance_type='ml.m4.xlarge',\n",
" output_path=\"s3://{}/output\".format(sess.default_bucket()),\n",
" sagemaker_session=sess,\n",
" base_job_name=job_name)\n",
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6 changes: 5 additions & 1 deletion README.md
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Expand Up @@ -20,6 +20,10 @@ As the team lead on this lean team of one, you'll need to wear multiple hats. B

At minimum, at the end of this workshop, you will have an understanding how to load historical price data from external market data sources like AWS Data Exchange into S3. You get familiar how to store price data in S3 and expose it via Glue Data Catalog and Athena, how to backtested trading strategies using Amazon SageMaker, and how to train machine learning models that are used in trading strategies. You also get a basic understand how trading strategies using trend following and machine learning are developed with Python and can be optimized for better performance.

## Architecture

![chart](assets/chart.png)

## License

This library is licensed under the MIT-0 License. See the LICENSE file.
Expand All @@ -40,7 +44,7 @@ YOUR USE OF THE EXTERNAL DEPENDENCIES IS AT YOUR SOLE RISK. IN NO EVENT WILL AMA
## Step 0: Set up environment

For the base infrastructure components (SageMaker Notebook, Athena, Glue Tables, S3 Bucket), deploy the following [CloudFormation template](https://github.com/aws-samples/algorithmic-trading/raw/master/0_Setup/ReferenceArchitecture-CF.json).
First go to [CloudFormation](https://console.aws.amazon.com/cloudformation/home?#/stacks/new?stackName=algo) and upload the downloaded CF template. Verify that stackName is **algo** before creating the stack and acknowledge that IAM changes will be made.
First go to [CloudFormation](https://console.aws.amazon.com/cloudformation/home?#/stacks/new?stackName=algo) and upload the downloaded CF template. Verify that stackName is **algotrading** before creating the stack and acknowledge that IAM changes will be made.

This step will take ca. 5 minutes.

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