Live Data/Live Trading
Starting with release 1.5.0, backtrader supports Live Data Feeds and Live Trading. The first integrated entity is:
- Interactive Brokers
This was long sought goal since the inception of the platform as a small idea. The design ideas have proven to be flexible enough to accommodate the needed changes. All whilst keeping the same interface which means: backtest once, trade many times. The same code/api/primitives/notifications are meant for backtesting and live data feeding/trading.
Naming the platform back + trader was intentional, although it could
have well been that it had remained as a pure backtester. But no longer.
What’s new changed:
-
Store concept to have a integrated concept for entities like Interactive Brokers which provide data and brokering facilities in one go
-
New notifications to the strategy and/or cerebro from the store and/or data feeds
-
Time management support … as one could be trading New York baed products from anywhere else and time has to be kept consistent
-
Work on Resampling/Replaying to deliver bars as soon as possible or not too late if the market is not trading (nobody wants a 5 second resampled bar received 30 seconds later, because there were no intervening ticks)
-
Of course many small internal changes
A great deal of testing has gone into the integration and a large sample called
ibtest is integrated in the sources, but being this the 1st release there
could still be some edges. Should you decide to give this a try, execute 1st
against Paper Trading account provided by Interactive Brokers (usually
running at port 7497 rather than 7496)
Note
Be sure to be comfortable with the inherent risks associated with data disconnection, bugs present in the software (TWS and backtrader), bugs in your own software and monitor your activities.
backtrader cannot take any responsibility or be held responsible for any
losses a trader may incur (it will also not take any of the winnings)
What’s supported from Interactive Brokers:
-
Indices (obviously not for trading), Stocks, Futures, Options, Futures Options and Forex
-
Backfilling at the start of a connection and after a reconnection
-
Notifications on change from live to backfilling and viceversa
-
The order types already existing in backtrader:
Market,Limit,StopLimitandClose(aka Market on Close*)
It is not the intention of the platform to reinvent the wheel, so the following is needed/optional to use the Interactive Brokers facilities:
-
Required:
IbPyto interface with Interative Brokers’ TWSThe documentation for IB indicates how to install it if not already part of your arsenal
-
Optional:
pytzto automatically set the timezone for the products.The end-user may provide other
tzinfo-compatible instances (frompytzor home-cooked) directly as a parameter to the data source rather than relying on automatic determination. See Time Management in the docs and the IB specific part of the documents.
!!! note
If no `pytz` is detected and no `tzinfo` compatible instance is
supplied to the *data feed*, the time delivered by the platform will be
`UTC`
As much as possible has been documented and is available at the usual documentation link:
A couple of runs from the sample ibtest against the TWS Demo
First: TWTR with resampling to 5 seconds:
$ ./ibtest.py --port 7497 --data0 TWTR --resample --timeframe Seconds --compression 5
Output:
Server Version: 76
TWS Time at connection:20160620 22:37:37 CET
--------------------------------------------------
Strategy Created
--------------------------------------------------
Timezone from ContractDetails: EST5EDT
Datetime, Open, High, Low, Close, Volume, OpenInterest, SMA
***** STORE NOTIF: <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:ibdemo>
***** STORE NOTIF: <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:demohmds>
***** DATA NOTIF: CONNECTED
0001, 2016-06-20T14:37:35.000000, 15.96, 15.97, 15.96, 15.96, 0.0, 0, nan
***** DATA NOTIF: DELAYED
0002, 2016-06-20T14:37:40.000000, 15.96, 15.97, 15.96, 15.96, 0.0, 0, nan
0003, 2016-06-20T14:37:45.000000, 15.96, 15.97, 15.96, 15.97, 0.0, 0, nan
0004, 2016-06-20T14:37:50.000000, 15.96, 15.98, 15.94, 15.94, 0.0, 0, nan
0005, 2016-06-20T14:37:55.000000, 15.97, 15.97, 15.96, 15.97, 0.0, 0, 15.96
...
1441, 2016-06-20T16:37:35.000000, 16.03, 16.03, 16.02, 16.03, 0.0, 0, 16.026
1442, 2016-06-20T16:37:40.000000, 16.11, 16.11, 16.11, 16.11, 2.0, 0, 16.044
***** DATA NOTIF: LIVE
1443, 2016-06-20T16:37:45.000000, 16.1, 16.11, 16.1, 16.11, 5.0, 0, 16.06
1444, 2016-06-20T16:37:50.000000, 16.11, 16.11, 16.1, 16.1, 14.0, 0, 16.076
...
Note
The execution environment has pytz installed
The following can be observed:
-
The 1st lines (from
IbPyitself) show the connection to the server has succeeded and the data feed has found out the operating timezone of the asset:EST5EDT(akaESTakaUS/Eastern)Notice how the local time (in timezone
CETakaEurope/Berlin) is reported by TWS at the beginning, but the asset is6hours behind.The asset is reported in the time of the trading venue. Check the docs if you thing you really want to change this and the reasoning for this behavior.
-
Some notifications from the Store, in this case TWS indicates that the connections to the different data farms is ok. This is being printed out by methods overriden in the Strategy
-
DATA NOTIFICATIONS like
-
CONNECTED: to tell the strategy connection to TWS is available -
DELAYED: the data to be received is NOT live data. Backfilling (historical data) is taking place.Because the resampling parameters are Seconds/5 the maximum number of 5 seconds bar fitting in a single request is downloaded, roughly 1440.
-
LIVE: as soon as the platform catches up with backfilling and the queue is reduced to live data, the notification tells the strategy about it.From bar 1443 onwards the data is real-time data.
Note
because resampling is taking place this data is NOT tick-data and is delivered at the end of the 5 second period. Please check the docs for the
qcheckparameter docs inIBDatato understand how quickly a resampled bar will be delayed if no new ticks are being sent by the platform (because with no new ticks, the platform cannot understand if the currently resampled bar is yet over or not)
-
Let’s do the same but forcing a disconnection (the network interface is disabled 20 seconds):
$ ./ibtest.py --port 7497 --data0 TWTR --resample --timeframe Seconds --compression 5
Output (skipping the initial known part):
...
1440, 2016-06-20T18:16:20.000000, 16.05, 16.05, 16.04, 16.04, 0.0, 0, 16.048
1441, 2016-06-20T18:16:25.000000, 16.05, 16.05, 16.05, 16.05, 0.0, 0, 16.05
***** DATA NOTIF: LIVE
1442, 2016-06-20T18:16:30.000000, 15.9, 15.9, 15.89, 15.9, 11.0, 0, 16.02
***** STORE NOTIF: <error id=-1, errorCode=1100, errorMsg=Connectivity between IB and TWS has been lost.>
***** STORE NOTIF: <error id=-1, errorCode=2105, errorMsg=HMDS data farm connection is broken:demohmds>
***** STORE NOTIF: <error id=-1, errorCode=2103, errorMsg=Market data farm connection is broken:ibdemo>
1443, 2016-06-20T18:16:35.000000, 15.9, 15.9, 15.89, 15.9, 28.0, 0, 15.988
***** STORE NOTIF: <error id=-1, errorCode=1102, errorMsg=Connectivity between IB and TWS has been restored - data maintained.>
***** STORE NOTIF: <error id=-1, errorCode=2106, errorMsg=HMDS data farm connection is OK:demohmds>
***** STORE NOTIF: <error id=-1, errorCode=2104, errorMsg=Market data farm connection is OK:ibdemo>
***** DATA NOTIF: DELAYED
1444, 2016-06-20T18:16:40.000000, 16.04, 16.04, 16.03, 16.04, 0.0, 0, 15.986
1445, 2016-06-20T18:16:45.000000, 16.03, 16.04, 16.03, 16.04, 0.0, 0, 15.986
1446, 2016-06-20T18:16:50.000000, 16.04, 16.04, 16.03, 16.03, 0.0, 0, 15.982
1447, 2016-06-20T18:16:55.000000, 16.04, 16.04, 16.03, 16.04, 0.0, 0, 16.01
1448, 2016-06-20T18:17:00.000000, 16.03, 16.04, 16.03, 16.04, 0.0, 0, 16.038
1449, 2016-06-20T18:17:05.000000, 16.03, 16.04, 16.02, 16.03, 0.0, 0, 16.036
1450, 2016-06-20T18:17:10.000000, 15.9, 15.91, 15.9, 15.91, 3.0, 0, 16.01
***** DATA NOTIF: LIVE
1451, 2016-06-20T18:17:15.000000, 15.92, 15.92, 15.9, 15.92, 9.0, 0, 15.988
1452, 2016-06-20T18:17:20.000000, 15.91, 15.91, 15.89, 15.89, 18.0, 0, 15.958
1453, 2016-06-20T18:17:25.000000, 15.89, 15.92, 15.89, 15.89, 24.0, 0, 15.928
...
The narrative:
-
After bar 1442, the WLAN interface has been disabled
-
TWS notifications arrive indicating the situation
-
Bar 1443 is delivered from the resampler, because the platform had some ticks in between
18:16:30.000000and18:16:35.000000 -
Connectivity is restored at around
18:17:15, but this data is not delivered at once -
The situation is identified and backfilling is attempted between
18:16:35and18:17:15.This can be seen with the notification
DELAYED. The data is no longerLIVE -
Bars 1444 to 1450 (both incl.) deliver the missing time
-
The notification
LIVEis received and bar 1451 contains a real-time packet
Note
There are some situations which backtrader cannot overcome, because
TWS does not oblige. If TCP/IP packets are somehow lost and the IB
Server is slow to react, it will take TWS a long time to react and notify
the loss of connectivity.
TWS will even deliver packets clearly received late from the server with current timestamps (identified through a sudden burst of packets)
And finally some trading, buying 20K shares of TWTR with a single
Market order and selling them in 2 orders of 10K each.
Execution:
./ibtest.py --port 7497 --data0 TWTR --resample --timeframe Seconds --compression 5 --broker --trade --stake 20000
The output is rather verbose, showing all parts of the order exeuction. Summarising a bit:
...
***** DATA NOTIF: LIVE
1442, 2016-06-20T18:28:05.000000, 15.92, 15.93, 15.92, 15.93, 1748.0, 0, 16.03
-------------------------------------------------- ORDER BEGIN 2016-06-20 23:28:11.343000
Ref: 1
OrdType: 0
OrdType: Buy
Status: 1
Status: Submitted
Size: 20000
Price: 14.34
Price Limit: None
ExecType: 0
ExecType: Market
CommInfo: <backtrader.brokers.ibbroker.IBCommInfo object at 0x00000000040B9278>
End of Session: 736136.166655
Info: AutoOrderedDict()
Broker: <backtrader.brokers.ibbroker.IBBroker object at 0x0000000003E23470>
Alive: True
Ref: 1
orderId: 1
Action: BUY
Size (ib): 20000
Lmt Price: 0.0
Aux Price: 0.0
OrderType: MKT
Tif (Time in Force): GTC
GoodTillDate:
-------------------------------------------------- ORDER END
...
1443, 2016-06-20T18:28:10.000000, 15.93, 15.93, 15.92, 15.92, 10.0, 0, 16.004
-------------------------------------------------- ORDER BEGIN 2016-06-20 23:28:15.924000
Ref: 1
OrdType: 0
OrdType: Buy
Status: 3
Status: Partial
Size: 20000
Price: 14.34
Price Limit: None
ExecType: 0
ExecType: Market
CommInfo: <backtrader.brokers.ibbroker.IBCommInfo object at 0x00000000040B9278>
End of Session: 736136.166655
Info: AutoOrderedDict()
Broker: <backtrader.brokers.ibbroker.IBBroker object at 0x0000000003E23470>
Alive: True
Ref: 1
orderId: 1
Action: BUY
Size (ib): 20000
Lmt Price: 0.0
Aux Price: 0.0
OrderType: MKT
Tif (Time in Force): GTC
GoodTillDate:
-------------------------------------------------- ORDER END
...
-------------------------------------------------- ORDER BEGIN 2016-06-20 23:28:20.972000
Ref: 1
OrdType: 0
OrdType: Buy
Status: 4
Status: Completed
Size: 20000
Price: 14.34
Price Limit: None
ExecType: 0
ExecType: Market
CommInfo: <backtrader.brokers.ibbroker.IBCommInfo object at 0x00000000040B9278>
End of Session: 736136.166655
Info: AutoOrderedDict()
Broker: <backtrader.brokers.ibbroker.IBBroker object at 0x0000000003E23470>
Alive: False
Ref: 1
orderId: 1
Action: BUY
Size (ib): 20000
Lmt Price: 0.0
Aux Price: 0.0
OrderType: MKT
Tif (Time in Force): GTC
GoodTillDate:
-------------------------------------------------- ORDER END
1445, 2016-06-20T18:28:20.000000, 15.92, 15.93, 15.92, 15.93, 21.0, 0, 15.954
...
The following happens:
-
Data is received as normal
-
A
BUYfor20Kwith execution typeMarketis issued-
SubmittedandAcceptednotifications are received (onlySubmittedis shown above) -
A streak of
Partialexecutions (only 1 shown) untilCompletedis received.
The actual execution is not shown, but is available in the
orderinstance received underorder.executed -
-
Although not shown, 2 x
MarketSELLorders are issued to undo the operationThe screenshot shows the logs in TWS after two different runs across an evening
The sample can do much more and is intended as a thorough test of the facilities and if possible to uncover any rough edges.
The usage:
$ ./ibtest.py --help
usage: ibtest.py [-h] [--exactbars EXACTBARS] [--plot] [--stopafter STOPAFTER]
[--usestore] [--notifyall] [--debug] [--host HOST]
[--qcheck QCHECK] [--port PORT] [--clientId CLIENTID]
[--no-timeoffset] [--reconnect RECONNECT] [--timeout TIMEOUT]
--data0 DATA0 [--data1 DATA1] [--timezone TIMEZONE]
[--what WHAT] [--no-backfill_start] [--latethrough]
[--no-backfill] [--rtbar] [--historical]
[--fromdate FROMDATE] [--smaperiod SMAPERIOD]
[--replay | --resample]
[--timeframe {Ticks,MicroSeconds,Seconds,Minutes,Days,Weeks,Months,Years}]
[--compression COMPRESSION] [--no-takelate] [--no-bar2edge]
[--no-adjbartime] [--no-rightedge] [--broker] [--trade]
[--donotsell]
[--exectype {Market,Close,Limit,Stop,StopLimit}]
[--stake STAKE] [--valid VALID] [--cancel CANCEL]
Test Interactive Brokers integration
optional arguments:
-h, --help show this help message and exit
--exactbars EXACTBARS
exactbars level, use 0/-1/-2 to enable plotting
(default: 1)
--plot Plot if possible (default: False)
--stopafter STOPAFTER
Stop after x lines of LIVE data (default: 0)
--usestore Use the store pattern (default: False)
--notifyall Notify all messages to strategy as store notifs
(default: False)
--debug Display all info received form IB (default: False)
--host HOST Host for the Interactive Brokers TWS Connection
(default: 127.0.0.1)
--qcheck QCHECK Timeout for periodic notification/resampling/replaying
check (default: 0.5)
--port PORT Port for the Interactive Brokers TWS Connection
(default: 7496)
--clientId CLIENTID Client Id to connect to TWS (default: random)
(default: None)
--no-timeoffset Do not Use TWS/System time offset for non timestamped
prices and to align resampling (default: False)
--reconnect RECONNECT
Number of recconnection attempts to TWS (default: 3)
--timeout TIMEOUT Timeout between reconnection attempts to TWS (default:
3.0)
--data0 DATA0 data 0 into the system (default: None)
--data1 DATA1 data 1 into the system (default: None)
--timezone TIMEZONE timezone to get time output into (pytz names)
(default: None)
--what WHAT specific price type for historical requests (default:
None)
--no-backfill_start Disable backfilling at the start (default: False)
--latethrough if resampling replaying, adjusting time and disabling
time offset, let late samples through (default: False)
--no-backfill Disable backfilling after a disconnection (default:
False)
--rtbar Use 5 seconds real time bar updates if possible
(default: False)
--historical do only historical download (default: False)
--fromdate FROMDATE Starting date for historical download with format:
YYYY-MM-DD[THH:MM:SS] (default: None)
--smaperiod SMAPERIOD
Period to apply to the Simple Moving Average (default:
5)
--replay replay to chosen timeframe (default: False)
--resample resample to chosen timeframe (default: False)
--timeframe {Ticks,MicroSeconds,Seconds,Minutes,Days,Weeks,Months,Years}
TimeFrame for Resample/Replay (default: Ticks)
--compression COMPRESSION
Compression for Resample/Replay (default: 1)
--no-takelate resample/replay, do not accept late samples in new bar
if the data source let them through (latethrough)
(default: False)
--no-bar2edge no bar2edge for resample/replay (default: False)
--no-adjbartime no adjbartime for resample/replay (default: False)
--no-rightedge no rightedge for resample/replay (default: False)
--broker Use IB as broker (default: False)
--trade Do Sample Buy/Sell operations (default: False)
--donotsell Do not sell after a buy (default: False)
--exectype {Market,Close,Limit,Stop,StopLimit}
Execution to Use when opening position (default:
Market)
--stake STAKE Stake to use in buy operations (default: 10)
--valid VALID Seconds to keep the order alive (0 means DAY)
(default: None)
--cancel CANCEL Cancel a buy order after n bars in operation, to be
combined with orders like Limit (default: 0)
The code:
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import argparse
import datetime
# The above could be sent to an independent module
import backtrader as bt
from backtrader.utils import flushfile # win32 quick stdout flushing
class TestStrategy(bt.Strategy):
params = dict(
smaperiod=5,
trade=False,
stake=10,
exectype=bt.Order.Market,
stopafter=0,
valid=None,
cancel=0,
donotsell=False,
)
def __init__(self):
# To control operation entries
self.orderid = list()
self.order = None
self.counttostop = 0
self.datastatus = 0
# Create SMA on 2nd data
self.sma = bt.indicators.MovAv.SMA(self.data, period=self.p.smaperiod)
print('--------------------------------------------------')
print('Strategy Created')
print('--------------------------------------------------')
def notify_data(self, data, status, *args, **kwargs):
print('*' * 5, 'DATA NOTIF:', data._getstatusname(status), *args)
if status == data.LIVE:
self.counttostop = self.p.stopafter
self.datastatus = 1
def notify_store(self, msg, *args, **kwargs):
print('*' * 5, 'STORE NOTIF:', msg)
def notify_order(self, order):
if order.status in [order.Completed, order.Cancelled, order.Rejected]:
self.order = None
print('-' * 50, 'ORDER BEGIN', datetime.datetime.now())
print(order)
print('-' * 50, 'ORDER END')
def notify_trade(self, trade):
print('-' * 50, 'TRADE BEGIN', datetime.datetime.now())
print(trade)
print('-' * 50, 'TRADE END')
def prenext(self):
self.next(frompre=True)
def next(self, frompre=False):
txt = list()
txt.append('%04d' % len(self))
dtfmt = '%Y-%m-%dT%H:%M:%S.%f'
txt.append('%s' % self.data.datetime.datetime(0).strftime(dtfmt))
txt.append('{}'.format(self.data.open[0]))
txt.append('{}'.format(self.data.high[0]))
txt.append('{}'.format(self.data.low[0]))
txt.append('{}'.format(self.data.close[0]))
txt.append('{}'.format(self.data.volume[0]))
txt.append('{}'.format(self.data.openinterest[0]))
txt.append('{}'.format(self.sma[0]))
print(', '.join(txt))
if len(self.datas) > 1:
txt = list()
txt.append('%04d' % len(self))
dtfmt = '%Y-%m-%dT%H:%M:%S.%f'
txt.append('%s' % self.data1.datetime.datetime(0).strftime(dtfmt))
txt.append('{}'.format(self.data1.open[0]))
txt.append('{}'.format(self.data1.high[0]))
txt.append('{}'.format(self.data1.low[0]))
txt.append('{}'.format(self.data1.close[0]))
txt.append('{}'.format(self.data1.volume[0]))
txt.append('{}'.format(self.data1.openinterest[0]))
txt.append('{}'.format(float('NaN')))
print(', '.join(txt))
if self.counttostop: # stop after x live lines
self.counttostop -= 1
if not self.counttostop:
self.env.runstop()
return
if not self.p.trade:
return
if self.datastatus and not self.position and len(self.orderid) < 1:
self.order = self.buy(size=self.p.stake,
exectype=self.p.exectype,
price=round(self.data0.close[0] * 0.90, 2),
valid=self.p.valid)
self.orderid.append(self.order)
elif self.position.size > 0 and not self.p.donotsell:
if self.order is None:
self.order = self.sell(size=self.p.stake // 2,
exectype=bt.Order.Market,
price=self.data0.close[0])
elif self.order is not None and self.p.cancel:
if self.datastatus > self.p.cancel:
self.cancel(self.order)
if self.datastatus:
self.datastatus += 1
def start(self):
if self.data0.contractdetails is not None:
print('Timezone from ContractDetails: {}'.format(
self.data0.contractdetails.m_timeZoneId))
header = ['Datetime', 'Open', 'High', 'Low', 'Close', 'Volume',
'OpenInterest', 'SMA']
print(', '.join(header))
self.done = False
def runstrategy():
args = parse_args()
# Create a cerebro
cerebro = bt.Cerebro()
storekwargs = dict(
host=args.host, port=args.port,
clientId=args.clientId, timeoffset=not args.no_timeoffset,
reconnect=args.reconnect, timeout=args.timeout,
notifyall=args.notifyall, _debug=args.debug
)
if args.usestore:
ibstore = bt.stores.IBStore(**storekwargs)
if args.broker:
if args.usestore:
broker = ibstore.getbroker()
else:
broker = bt.brokers.IBBroker(**storekwargs)
cerebro.setbroker(broker)
timeframe = bt.TimeFrame.TFrame(args.timeframe)
if args.resample or args.replay:
datatf = bt.TimeFrame.Ticks
datacomp = 1
else:
datatf = timeframe
datacomp = args.compression
fromdate = None
if args.fromdate:
dtformat = '%Y-%m-%d' + ('T%H:%M:%S' * ('T' in args.fromdate))
fromdate = datetime.datetime.strptime(args.fromdate, dtformat)
IBDataFactory = ibstore.getdata if args.usestore else bt.feeds.IBData
datakwargs = dict(
timeframe=datatf, compression=datacomp,
historical=args.historical, fromdate=fromdate,
rtbar=args.rtbar,
qcheck=args.qcheck,
what=args.what,
backfill_start=not args.no_backfill_start,
backfill=not args.no_backfill,
latethrough=args.latethrough,
tz=args.timezone
)
if not args.usestore and not args.broker: # neither store nor broker
datakwargs.update(storekwargs) # pass the store args over the data
data0 = IBDataFactory(dataname=args.data0, **datakwargs)
data1 = None
if args.data1 is not None:
data1 = IBDataFactory(dataname=args.data1, **datakwargs)
rekwargs = dict(
timeframe=timeframe, compression=args.compression,
bar2edge=not args.no_bar2edge,
adjbartime=not args.no_adjbartime,
rightedge=not args.no_rightedge,
takelate=not args.no_takelate,
)
if args.replay:
cerebro.replaydata(dataname=data0, **rekwargs)
if data1 is not None:
cerebro.replaydata(dataname=data1, **rekwargs)
elif args.resample:
cerebro.resampledata(dataname=data0, **rekwargs)
if data1 is not None:
cerebro.resampledata(dataname=data1, **rekwargs)
else:
cerebro.adddata(data0)
if data1 is not None:
cerebro.adddata(data1)
if args.valid is None:
valid = None
else:
datetime.timedelta(seconds=args.valid)
# Add the strategy
cerebro.addstrategy(TestStrategy,
smaperiod=args.smaperiod,
trade=args.trade,
exectype=bt.Order.ExecType(args.exectype),
stake=args.stake,
stopafter=args.stopafter,
valid=valid,
cancel=args.cancel,
donotsell=args.donotsell)
# Live data ... avoid long data accumulation by switching to "exactbars"
cerebro.run(exactbars=args.exactbars)
if args.plot and args.exactbars < 1: # plot if possible
cerebro.plot()
def parse_args():
parser = argparse.ArgumentParser(
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
description='Test Interactive Brokers integration')
parser.add_argument('--exactbars', default=1, type=int,
required=False, action='store',
help='exactbars level, use 0/-1/-2 to enable plotting')
parser.add_argument('--plot',
required=False, action='store_true',
help='Plot if possible')
parser.add_argument('--stopafter', default=0, type=int,
required=False, action='store',
help='Stop after x lines of LIVE data')
parser.add_argument('--usestore',
required=False, action='store_true',
help='Use the store pattern')
parser.add_argument('--notifyall',
required=False, action='store_true',
help='Notify all messages to strategy as store notifs')
parser.add_argument('--debug',
required=False, action='store_true',
help='Display all info received form IB')
parser.add_argument('--host', default='127.0.0.1',
required=False, action='store',
help='Host for the Interactive Brokers TWS Connection')
parser.add_argument('--qcheck', default=0.5, type=float,
required=False, action='store',
help=('Timeout for periodic '
'notification/resampling/replaying check'))
parser.add_argument('--port', default=7496, type=int,
required=False, action='store',
help='Port for the Interactive Brokers TWS Connection')
parser.add_argument('--clientId', default=None, type=int,
required=False, action='store',
help='Client Id to connect to TWS (default: random)')
parser.add_argument('--no-timeoffset',
required=False, action='store_true',
help=('Do not Use TWS/System time offset for non '
'timestamped prices and to align resampling'))
parser.add_argument('--reconnect', default=3, type=int,
required=False, action='store',
help='Number of recconnection attempts to TWS')
parser.add_argument('--timeout', default=3.0, type=float,
required=False, action='store',
help='Timeout between reconnection attempts to TWS')
parser.add_argument('--data0', default=None,
required=True, action='store',
help='data 0 into the system')
parser.add_argument('--data1', default=None,
required=False, action='store',
help='data 1 into the system')
parser.add_argument('--timezone', default=None,
required=False, action='store',
help='timezone to get time output into (pytz names)')
parser.add_argument('--what', default=None,
required=False, action='store',
help='specific price type for historical requests')
parser.add_argument('--no-backfill_start',
required=False, action='store_true',
help='Disable backfilling at the start')
parser.add_argument('--latethrough',
required=False, action='store_true',
help=('if resampling replaying, adjusting time '
'and disabling time offset, let late samples '
'through'))
parser.add_argument('--no-backfill',
required=False, action='store_true',
help='Disable backfilling after a disconnection')
parser.add_argument('--rtbar', default=False,
required=False, action='store_true',
help='Use 5 seconds real time bar updates if possible')
parser.add_argument('--historical',
required=False, action='store_true',
help='do only historical download')
parser.add_argument('--fromdate',
required=False, action='store',
help=('Starting date for historical download '
'with format: YYYY-MM-DD[THH:MM:SS]'))
parser.add_argument('--smaperiod', default=5, type=int,
required=False, action='store',
help='Period to apply to the Simple Moving Average')
pgroup = parser.add_mutually_exclusive_group(required=False)
pgroup.add_argument('--replay',
required=False, action='store_true',
help='replay to chosen timeframe')
pgroup.add_argument('--resample',
required=False, action='store_true',
help='resample to chosen timeframe')
parser.add_argument('--timeframe', default=bt.TimeFrame.Names[0],
choices=bt.TimeFrame.Names,
required=False, action='store',
help='TimeFrame for Resample/Replay')
parser.add_argument('--compression', default=1, type=int,
required=False, action='store',
help='Compression for Resample/Replay')
parser.add_argument('--no-takelate',
required=False, action='store_true',
help=('resample/replay, do not accept late samples '
'in new bar if the data source let them through '
'(latethrough)'))
parser.add_argument('--no-bar2edge',
required=False, action='store_true',
help='no bar2edge for resample/replay')
parser.add_argument('--no-adjbartime',
required=False, action='store_true',
help='no adjbartime for resample/replay')
parser.add_argument('--no-rightedge',
required=False, action='store_true',
help='no rightedge for resample/replay')
parser.add_argument('--broker',
required=False, action='store_true',
help='Use IB as broker')
parser.add_argument('--trade',
required=False, action='store_true',
help='Do Sample Buy/Sell operations')
parser.add_argument('--donotsell',
required=False, action='store_true',
help='Do not sell after a buy')
parser.add_argument('--exectype', default=bt.Order.ExecTypes[0],
choices=bt.Order.ExecTypes,
required=False, action='store',
help='Execution to Use when opening position')
parser.add_argument('--stake', default=10, type=int,
required=False, action='store',
help='Stake to use in buy operations')
parser.add_argument('--valid', default=None, type=int,
required=False, action='store',
help='Seconds to keep the order alive (0 means DAY)')
parser.add_argument('--cancel', default=0, type=int,
required=False, action='store',
help=('Cancel a buy order after n bars in operation,'
' to be combined with orders like Limit'))
return parser.parse_args()
if __name__ == '__main__':
runstrategy()