installation

Installation instructions

It is not necessary to try and install all libraries at once because this increases the likeliihood of encountering version conflicts. Instead, we recommend that you install the libraries required for a specific chapter as you go along.

Update March 2022: zipline-reloaded, pyfolio-reloaded, alphalens-reloaded, and empyrical-reloaded are now available on the conda-forge channel. The channel ml4t only contains outdated versions and will soon be removed.

There is still incomplete support for MacOS using M1/Silicone chips. Some packages compatible with new architecture are only available via conda/mamba, others only via pip. As a result, there is no single installation script yet - I hope to be able to simplify this as the support across the PyData ecosystem matures. For now, please create separate conda/pip-based environments to install packages as needed and supported.

Update September 10, 2021: New OS-agnostic environment files ml4t-base.[txt, yml] for pip (Linux, MacOS) and conda (Linux, MacOS, Windows) installs available that include the latest Zipline, Alphalens and Pyfolio versions. These files are OS-agnostic because they include only the main libraries and not OS-specific dependencies, leaving the selection of the latest compatible versions and OS-specific dependencies to your package manager of choice.

Update April 25, 2021: The new Zipline version permits running the backtest notebooks without Docker on all operating systems; the installation instructions now refer to Windows/MacOS/Linux environment files.

Update March 14, 2021: I have just released a new Zipline version that runs on Python 3.7-3.9; see release info and docs. As a result, the Docker solution will no longer be necessary going forward and I will provide new environment files over the course of April.

Update Feb 26, 2021: Release 2.0 reduces the number of environments to 2 and bumps the Python version to 3.8 for the main ml4t and to 3.6 for the backtest environment. Instructions below reflect these changes.

To update the Docker image to the latest version, run: docker pull appliedai/packt:latest

This book uses Python 3.8 and various ML- and trading-related libraries that can be installed:

1. Using mamba in conda environments based on the Miniconda distribution and the provided ml4t.yml environment files,
   • If you run into issues with the OS-specific files, please use the agnostic installation/ml4t-base.yml file instead.
   • Run:

   • conda create -n ml4t python=3.8
     mamba env update -n ml4t -f ml4t-base.yml
     conda activate ml4t

2. For macOS and Linux only: via pip in a Python virtual environment created with, e.g., pyenv or venv using the provided ml4t.txt requirement files.
3. Deprecated: using Docker Desktop to pull an image from Docker Hub and create a local container with the requisite software to run the notebooks.

We'll describe how to obtain the source code and then lay out the first two options in turn. Then, we address how to work with Jupyter notebooks to view and execute the code examples. Finally, we list the legacy Docker installation instructions.

Sourcing the code samples

You can work with the code samples by downloading a compressed version of the GitHub repository, or by cloning its content. The latter will result in a larger download because it includes the commit history.

Alternatively, you can create a fork of the repo and continue to develop from there after cloning its content.

To work with the code locally, do the following:

1. Select a file system location where you would like to store the code and the data.
2. Using the ssh or https links or the download option provided by the green Code button on the GitHub repository, either clone or unzip the code to the target folder.
   • To clone the starter repo, run git clone https://github.com/stefan-jansen/machine-learning-for-trading.git and change into the new directory.
   • If you cloned the repo and did not rename it, the root directory will be called machine-learning-for-trading, the ZIP the version will unzip to machine-learning-for-trading-master.

How to install the required libraries using conda environments

The instructions rely on Anaconda's miniconda distribution, the mamba package manager to facilitate dependency management, and OS-specific environment files at installation/[windows|macos|linux]/ml4t.yml with pinned library versions.

Alternatively, there is also an environment file installation/ml4t-base.yml that only contains a list of the required libraries without dependencies; if you use this file instead you will obtain the latest versions - just be aware that at some point more recent software may become incompatible with the examples.

You could also just install the packages required for the notebooks you are interested in; the most recent versions (as of March 2021) should work.

Install miniconda

The notebooks rely on a single virtual environment based on miniconda3 that you need to install first.

You can find detailed instructions for various operating systems here.

Create a conda environment from an environment file

[conda] is the package manager provided by the Anaconda python distribution. Unfortunately, it is currently not in very good shape. Instead, we'll use the more recent and much faster mamba package manager to install packages. You can install it using:

conda install -n base -c conda-forge mamba

To create a virtual environment with the latest versions of the libraries used in the notebooks (as of April 2021), you just need to run one of the following options (depending on your operating system) from the command line in the root directory of the cloned repo:

conda env create -n ml4t python=3.8
mamba env update -n ml4t -f installation/windows/ml4t.yml 
mamba env update -n ml4t -f installation/macosx/ml4t.yml # deprecated; use ml4t-base.yml
mamba env update -n ml4t -f installation/linux/ml4t.yml 

See also here for a more detailed tutorial on virtual environments.

If you want to create a new environment with the latest library versions as of whenever you read this, run

conda env create -f installation/ml4t-base.yml

Activate conda environment

After you've create it, you can activate the environment using its name, which in our case is ml4t:

conda activate ml4t

To deactivate, simply use

conda deactivate

Installing the libraries using pip

You should install the required libraries in a virtual environment. See the docs for the built-in venv option, or the pyenv alternative that allows you to run multiple Python versions in parallel.

Several of the libraries require previous installation of OS-specific software, which may depend on the state of your machine. We list a few common cases below. Should you encounter other problems, please consult the documentation for the library causing the issue. In case this does not resolve the matter, please raise an issue on our GitHub so we can take a look and update the instructions here accordingly.

Pre-requisites: MacOS

Installation for MacOS requires the following libraries that can be installed via homebrew:

brew install lightgbm swig xz ta-lib

Pre-requisites: Linux

On Ubuntu, pre-requisites can be fulfilled via apt. For TA-Lib, the necessary steps are:

# install the build tool
sudo apt install build-essential wget -y

# Download and extract the source code
wget https://artiya4u.keybase.pub/TA-lib/ta-lib-0.4.0-src.tar.gz
tar -xvf ta-lib-0.4.0-src.tar.gz

# Config and build from source.
cd ta-lib/
./configure --prefix=/usr
make

# Install to system
sudo make install

Installing the requirements

Assuming you have created and activated a virtual environment, you just need to run (depending on your OS):

pip install -U pip setuptools wheel
pip install -r installation/macosx/ml4t.txt # for macOS; deprecated; use ml4t-base.txt
pip install -r installation/linux/ml4t.txt # for Ubuntu

Post-installation instructions

Get a QUANDL API Key

To download US equity data that we'll be using for several examples throughout the book in the next step, register for a personal Quandl account to obtain an API key. It will be displayed on your profile page.

If you are on a UNIX-based system like Mac OSX, you may want to store the API key in an environment variable such as QUANDL_API_KEY, e.g. by adding export QUANDL_API_KEY=<your_key> to your .bash_profile.

Ingesting Zipline data

To run Zipline backtests, we need to ingest data. See the Beginner Tutorial for more information.

Per default, Zipline stores data in your user directory under ~/.zipline directory.

From the command prompt, activate your ml4t virtual environment and run:

zipline ingest -b quandl

You should see numerous messages (including some warnings that you can ignore) as Zipline processes around 3,000 stock price series.

Working with Jupyter notebooks

This section covers how to set up notebook extension that facilitate working in this environment and how to convert notebooks to python script if preferred.

Set up jupyter extensions

jupyter notebooks can use a range of extension provided by the community. There are many useful ones that are described in the documentation.

The notebooks in this repo are formatted to use the Table of Contents (2) extension. For the best experience, activate it using the Configurator in the Nbextensions tab available in your browser after starting the jupyter server. Modify the settings to check the option 'Leave h1 items out of ToC' if not set by default.

Converting jupyter notebooks to python scripts

The book uses jupyter notebooks to present the code with extensive commentary and context information and facilitate the visualization of results in one place. Some of the code examples are longer and make more sense to run as python scripts; you can convert a notebook to a script by running the following on the command line:

$ jupyter nbconvert --to script [YOUR_NOTEBOOK].ipynb

Legacy Instructions: Running the notebooks using a Docker container

Docker Desktop is a very popular application for MacOS and Windows machines because is permits for the easy sharing of containerized applications across different OS. For this book, we have a Docker image that let's you instantiate a container to run Ubuntu 20.04 as a guest OS with the pre-installed conda environments on Windows 10 or Mac OS X without worrying about dependencies on your host.

Installing Docker Desktop

As usual, installation differs for Mac OS X and Window 10, and requires an additional step for Windows 10 Home to enable virtualization.

We'll cover installation for each OS separately and then address some setting adjustments necessary in both cases.

Docker Desktop on Mac OS X

Installing Docker Desktop on Mac OS X is very straightforward:

1. Follow the detailed guide in Docker docs to download and install Docker Desktop from Docker Hub. It also covers how Docker Desktop and Docker Toolbox can coexist.
2. Use homebrew by following the tutorial here.

Open terminal and run the following test to check that Docker works:

docker run hello-world

Review the Getting Started guide for Mac OS to familiarize yourself with key settings and commands.

Docker Desktop on Windows

Docker Desktop works on both Windows 10 Home and Pro editions; the Home edition requires the additional step of enabling the Virtual Machine Platform.

Windows 10 Home: enabling the Virtual Machine Platform

You can now install Docker Desktop on Windows Home machines using the Windows Subsystem for Linux (WSL 2) backend. Docker Desktop on Windows Home is a full version of Docker Desktop for Linux container development.

Windows 10 Home machines must meet certain requirements. These include Windows 10 Home version 2004 (released May 2020) or higher. The Docker Desktop Edge release also supports Windows 10, version 1903 or higher.

Enable WSL 2 as described here, taking the following steps:

1. Enable the optional Windows Subsystem for Linux feature. Open PowerShell as Administrator and run:

   dism.exe /online /enable-feature /featurename:Microsoft-Windows-Subsystem-Linux /all /norestart

2. Check that your system meets the requirements outlined here and update your Windows 10 version if necessary.
3. Enable the Virtual Machine Platform optional feature by opening PowerShell as and Administrator and run:

   dism.exe /online /enable-feature /featurename:VirtualMachinePlatform /all /norestart

4. Restart your machine to complete the WSL install and update to WSL 2.
5. Download and run the Linux kernel update package. You will be prompted for elevated permissions, select ‘yes’ to approve this installation.
6. Set WSL 2 as your default version when installing a new Linux distribution by open PowerShell as Administrator and run the following command:

   wsl --set-default-version 2

Windows 10: Docker Desktop installation

Once we have enabled WSL 2 for Windows Home, the remaining steps to install Docker Desktop are the same for Windows 10 Home and Pro, Enterprise or Education. Refer to the linked guides for each OS version for system requirements.

1. Download and run (double-click) the installer from Docker Hub.
2. When prompted, ensure the Enable Hyper-V Windows Features option is selected on the Configuration page.
3. Follow the instructions on the installation wizard to authorize the installer and proceed with the install.
4. When the installation is successful, click Close to complete the installation process.
5. If your admin account is different to your user account, you must add the user to the docker-users group. Run Computer Management as an administrator and navigate to Local Users and Groups > Groups > docker-users. Right-click to add the user to the group. Log out and log back in for the changes to take effect.

Open Powershell and run the following test to check that Docker works:

docker run hello-world

Review the Getting Started guide for Windows to familiarize yourself with key settings and commands.

Docker Desktop Settings: memory and file sharing

The getting started guides for each OS referenced above describe the Docker Desktop settings.

Increasing memory

• Under Preferences, look for Resources to find out how you can increase the memory allocated to the container; the default setting is too low given the size of the data. Increase to at least 4GB, better 8GB or more.
• Several examples are quite memory-intensive, for example the NASDAQ tick data and the SEC filings example in Chapter 2, and will require significantly higher memory allocation.

Troubleshooting file sharing permissions

We will download the code examples and data to the local drive on your host OS but run it from the Docker container by mounting your local drive as a volume. This should work fine with the current versions but in case you receive permission errors , please refer to the File Sharing sections in the Docker user guides. The Docker GUIs let you assign permissions explicitly. See also (slightly outdated) explanation here.

Sourcing the code samples

You can work with the code samples by downloading a compressed version of the GitHub repository, or by cloning its content. The latter will result in a larger download because it includes the commit history.

Alternatively, you can create a fork of the repo and continue to develop from there after cloning its content.

To work with the code locally, do the following:

1. Select a file system location where you would like to store the code and the data.
2. Using the ssh or https links or the download option provided by the green Code button on the GitHub repository, either clone or unzip the code to the target folder.
   • To clone the starter repo, run git clone https://github.com/stefan-jansen/machine-learning-for-trading.git and change into the new directory.
   • If you cloned the repo and did not rename it, the root directory will be called machine-learning-for-trading, the ZIP the version will unzip to machine-learning-for-trading-master.

Get a QUANDL API Key

To download US equity data that we'll be using for several examples throughout the book in the next step, register for a personal Quandl account to obtain an API key. It will be displayed on your profile page.

If you are on a UNIX-based system like Mac OSX, you may want to store the API key in an environment variable such as QUANDL_API_KEY, e.g. by adding export QUANDL_API_KEY=<your_key> to your .bash_profile.

Downloading the Docker image and running the container

We'll be using a Docker image based on the Ubuntu 20.04 OS with Anaconda's miniconda Python distribution installed. It comes with two conda environments described below.

With a single Docker command, we can accomplish several things at once (see the Getting Started guides linked above for more detail):

• only on the first run: pull the Docker image from the Docker Hub account appliedai and the repository packt with the tag latest
• creates a local container with the name ml4t and runs it in interactive mode, forwarding the port 8888 used by the jupyter server
• mount the current directory containing the starter project files as a volume in the directory /home/packt/ml4t inside the container
• set the environment variable QUANDL_API_KEY with the value of your key (that you need to fill in for <your API key>), and
• start a bash terminal inside the container, resulting in a new command prompt for the user packt.

1. Open a Terminal or a Powershell window.
2. Navigate to the directory containing the ML4T code samples that you sourced above.
3. In the root directory of the local version of the repo, run the following command, taking into account the different path formats required by Mac and Windows:

   • Mac OS: you can use the pwd command as a shell variable that contains the absolute path to the present working directory (and you could use $QUANDL_API_KEY if you created such an environment variable in the previous step):

     docker run -it -v $(pwd):/home/packt/ml4t -p 8888:8888 -e QUANDL_API_KEY=<your API key> --name ml4t appliedai/packt:latest bash
     

   • Windows: enter the absolute path to the current directory with forward slashes, e.g. C:/Users/stefan/Documents/machine-learning-for-trading instead of C:\Users\stefan\Documents\machine-learning-for-trading, so that the command becomes (for this example):

     docker run -it -v C:/Users/stefan/Documents/machine-learning-for-trading:/home/packt/ml4t -p 8888:8888 -e QUANDL_API_KEY=<your API key> --name ml4t appliedai/packt:latest bash
     

4. Run exit from the container shell to exit and stop the container.
5. To resume working, you can run docker start -a -i ml4t from Mac OS terminal or Windows Powershell in the root directory to restart the container and attach it to the host shell in interactive mode (see Docker docs for more detail).

To update the Docker image to the latest version, run: docker pull appliedai/packt:latest

Running the notebooks from the container

Now you are running a shell inside the container and can access both conda environments. Run conda env list to see that there are a base, ml4t (default), and a backtest environments.

The backtest environment is necessary because the latest version of Zipline 1.4.1 only support Python 3.6 and older versions of various other dependencies that partly also require compilation. I hope to update Zipline in the future to run on Python 3.8 as well.

We use the environment ml4t except for a dozen notebooks related to backtesting that use Zipline directly inputs generated by Zipline. The notebooks that require the backtest environment contain a notification.

If you want to use a GPU for the deep learning examples, you can run conda install tensorflow-gpu if you have the proper CUDA version installed. Alternatively, you can leverage TensorFlow's Docker images and install any additional libraries there; the DL examples don't require anything that's overly complicated to install.

• You can switch to another environment using conda activate <env_name> or using the Jupyter Notebook or Jupyter Lab Kernel menu thanks to the nb_conda_kernels extension (see below).
• You may see an error message suggesting you run conda init bash. After doing so, reload the shell with the command source .bashrc.

Ingesting Zipline data

To run Zipline backtests, we need to ingest data. See the Beginner Tutorial for more information.

The image has been configured to store the data in a .zipline directory in the directory where you started the container (which should be the root folder of the starter code you've downloaded above).

From the command prompt of the container shell, run

conda activate backtest
zipline ingest -b quandl

You should see numerous messages as Zipline processes around 3,000 stock price series.

Known Zipline issues

I have patched the following country code issue in the latest Zipline version, so you should not have to manually fiddle with the asset database any longer.

When running a backtest, you will likely encounter an error because the current Zipline version requires a country code entry in the exchanges table of the assets-7.sqlite database where it stores the asset metadata.

The linked GitHub issue describes how to address this by opening the SQLite database and entering US in the country_code field of the exchanges table.

In practice, this looks as follows:

1. Use the SQLite Browser to open the file assets-7.sqlite in the directory containing your latest bundle download. The path will look like this (on Linux/Max OSX) if you ran the command as just described: ~/machine-learning-for-trading/data/.zipline/data/quandl/2020-12-29T02;06;08.894865/
2. Select the table exchanges as outlined in the following screenshot:

3. Insert the country code and save the result (you'll get a prompt when closing the program):

That's all. Unfortunately, you (had to..) repeat this everytime you run zipline ingest -b quandl. This error still occurs when you run zipline ingest for the default quantopian-quandl bundle because this command bypasses the ingest process and downloads instead a compressed version of the result generated by an earlier version of Zipline.

Working with notebooks int the Docker container

You can run jupyter notebooks using either the traditional notebook or the more recent Jupyter Lab interface; both are available in all conda environments. Moreover, you start jupyter from the base environment and switch the environment from the notebook due to the nb_conda_kernels package (see docs.

To get started, run one of the following two commands:

jupyter notebook --ip 0.0.0.0 --no-browser --allow-root
jupyter lab --ip 0.0.0.0 --no-browser --allow-root

There are also alias shortcuts for each so you don't have to type them:

• nb for the jupyter notebook version, and
• lab for the jupyter lab version.

The container terminal will display a few messages while spinning up the jupyter server. When complete, it will display a URL that you should paste into your browser to access the jupyter server from the current working directory.

You can modify any of the environments using the standard conda workflow outlined below; see Docker docs for how to persist containers after making changes.