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Hello,
Ia m not able to obtain Live data from IB for US options. I am subscribed to OPRA Top of Book (L1) (US Option Exchanges). I have not problems to connect to other products like stocks, futures where I have also subscription to data. When I connect directly through IbPy (with this script) it works and I obtain market data:
from time import sleep
from ib.ext.Contract import Contract
from ib.opt import ibConnection
def price_tick_handler(msg):
""" function to handle price ticks """
print (msg)
#--------------main script------------------
import ib
print ('ibpy version:' , ib.__version__)
tws = ibConnection('127.0.0.1', 7497) # create connection object
tws.enableLogging() # show debugging output from ibpy
tws.register(price_tick_handler, 'tickPrice') # register handler
tws.connect() # connect to API
#-------create contract and subscribe to data
c = Contract()
c.m_symbol = "NOK"
c.m_secType= "OPT"
c.m_exchange = "BOX"
c.m_currency = "USD"
c.m_right = "C"
c.m_expiry = "20200717"
c.m_strike = 4.0
tws.reqMktData(1,c,"",False) # request market data
#-------print data for a couple of seconds, then close
sleep(10)
print ('All done')
tws.disconnect()
... but direcly through backtrader it freezes on DATA NOTIF: DELAYED. I use this code:
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import backtrader as bt
class St(bt.Strategy):
def logdata(self):
txt = []
txt.append('{}'.format(len(self)))
txt.append('{}'.format(
self.data.datetime.datetime(0).isoformat())
)
txt.append('{:.2f}'.format(self.data.open[0]))
txt.append('{:.2f}'.format(self.data.high[0]))
txt.append('{:.2f}'.format(self.data.low[0]))
txt.append('{:.2f}'.format(self.data.close[0]))
txt.append('{:.2f}'.format(self.data.volume[0]))
print(','.join(txt))
data_live = False
def notify_data(self, data, status, *args, **kwargs):
print('*' * 5, 'DATA NOTIF:', data._getstatusname(status),
*args)
if status == data.LIVE:
self.data_live = True
def notify_order(self, order):
if order.status == order.Completed:
buysell = 'BUY ' if order.isbuy() else 'SELL'
txt = '{} {}@{}'.format(buysell, order.executed.size,
order.executed.price)
print(txt)
bought = 0
sold = 0
def next(self):
self.logdata()
if not self.data_live:
return
if not self.bought:
self.bought = len(self) # keep entry bar
self.buy()
elif not self.sold:
if len(self) == (self.bought + 3):
self.sell()
def run(args=None):
cerebro = bt.Cerebro(stdstats=False)
store = bt.stores.IBStore(port=7497)
data = store.getdata(dataname='NOK-OPT-BOX-USD-20200717-5.0-C-100',
timeframe=bt.TimeFrame.Ticks, historical=False)
cerebro.resampledata(data, timeframe=bt.TimeFrame.Seconds,
compression=10)
cerebro.addstrategy(St)
cerebro.broker = store.getbroker() #changing the backtesting broker (which defaults to a broker simulation) engine to use the Interactive Brokers facilities
cerebro.run()
if __name__ == '__main__':
run()
Is something I am doing wrong? Is my dataname definition right? I try both definitions from Documentation wiki but without success:
TICKER-YYYYMMDD-EXCHANGE-CURRENCY-STRIKE-RIGHT # OPT
TICKER-YYYYMMDD-EXCHANGE-CURRENCY-STRIKE-RIGHT-MULT # OPT
TICKER-OPT-EXCHANGE-CURRENCY-YYYYMMDD-STRIKE-RIGHT # OPT
TICKER-OPT-EXCHANGE-CURRENCY-YYYYMMDD-STRIKE-RIGHT-MULT # OPT
When I change Historical= True it give me historical data, but I need Live data of course. I am not out of trading hours and have subscription to data so I do not know what is wrong. Please help me with this problem. Thank you for your help.
