Quantitative Bond Trading on Interactive Brokers' Platform

Explore how compounding frequency affects bond pricing and present value by adjusting coupon payments, period counts, and discount rates across annual, semiannual, quarterly, and continuous compounding.

Price a bond in Python by discounting coupon and par cash flows to their present value using coupon rate, discount rate, periods, and par value, with notes on continuous compounding.

Calculate a bond's yield to maturity by optimizing the price equation with the Brand Q optimizer in SciPy, iterating yields from 0 to 20% with up to 1000 iterations.

Explore how to price real-world bonds using market observable parameters, handling fractional periods, next coupon dates, and yield-to-maturity to compute clean and dirty prices while accounting for accrued interest.

Explore bond trading on the Interactive Brokers platform using a paper trading account, adding bonds to a watch list, and placing limit orders with bid/ask details.

Learn to create a bond contract object using the IB API, retrieve bond contract details, and implement a reusable us_bond function for accurate contract data.

Explore extracting issuer bonds by name, retrieve contract details such as CUSIP, rating, and description, and tailor output to show only descriptions for targeted quantitative analysis.

Implement a bond historical data extractor by selecting bonds, requesting 60-day 5-minute candles via EClient's historical data, and printing bars with open, high, low, close, and volume.

Map bond data to a key by using bond description from contract details, replacing cusip or isin in a dictionary of data frames; use 100-offset request IDs for contract details.

Learn to extract historical yield data from Interactive Brokers by using yield bid/ask in the request and daily data over a 100-day window.

Explore five basic bond order types on Interactive Brokers: market order, limit order, market if touched, limit if touched, trailing stop limit; and preview the one cancels all advanced order.

Learn to place a bond limit order on IB API: build a bond contract, obtain the next valid order id, and place the order; blank eTradeOnly and formCode.

Explore one cancels all (OCA) groups to place multiple bond orders on the IBKR platform. When any order fills, the others in the group are canceled using OCA type 1.

Explore streaming real-time bond data with multithreading, examine limitations of bond price authenticity, and demonstrate using aggregated 250 ms market data, including bid/ask, last, and yield information.

Stream real-time bond data in a background thread and store it in a dictionary keyed by sip, using a name map for tick types like bid price and ask price.

Implement CAPM to estimate asset returns, compute beta and market return, and assess portfolio return and volatility to build an efficient frontier.

Refresh matrix multiplication and apply it to portfolio volatility using weight and covariance matrices in Python, underscoring how linear algebra enables portfolio optimization.

Build the efficient frontier by aggregating returns for each risk level and transposing it onto the existing scatterplot to reveal the most optimum portfolio for every risk level.

Optimize weights for a predetermined portfolio by minimizing the Sharpe ratio with bounds and a sum-to-one constraint, using covariance and expected returns to assess portfolio volatility.