For reference, here is my runstrategy() module that I want to integrate with 'real-time' plotting. It's a modified/integrated version of ibtest.py and iboandav20.py to suit my needs. Works fine with live and historical.
How could I place real-time plotting into this module, based on the sample code above, or by other means?
Thank in advance!!
#!/usr/local/bin/python
# -*- coding: utf-8 -*-
from __future__ import (absolute_import, division, print_function,
unicode_literals)
#----- IMPORT PACKAGES -----#
import argparse
import datetime
import backtrader as bt
import backtrader.indicators as btind
import pytz
from backtrader import Observer
from backtrader.utils import flushfile # win32 quick stdout flushing
from twilio.rest import Client
import logging
from tabulate import tabulate
import time
#import numpy as np
#import matplotlib.pyplot as pyplot
#----- END -----#
#----- FOLDER DIRECTORY FOR MODULES -----#
from __modules__.coremodules import __directory__ as directory
import sys
sys.path.append(directory.parentfolder)
#----- END -----#
#----- IMPORT CUSTOM INDICATORS -----#
from coremodules.start import startcode
#from indicators.klingerosc import KlingerOSC
#from indicators.swing import SwingInd
from args.args import parse_args
from coremodules.tradeanalysis import TradeAnalysis
from coremodules.sqn import SQN
from coremodules.printstrategy import printstrategy
from observers.buysellplot import BuySellPlot
from coremodules.plotscheme import PlotScheme
import actions.sendsms
#----- END -----#
#----- OANDA STORE -----#
args = parse_args()
if args.oanda:
import btoandav20
from information.broker_oanda import oandakeys
StoreCls = btoandav20.stores.OandaV20Store
DataCls = btoandav20.feeds.OandaV20Data
# BrokerCls = btoandav20.brokers.OandaV20Broker
# available timeframes for oanda
TIMEFRAMES = [bt.TimeFrame.Names[bt.TimeFrame.Seconds],
bt.TimeFrame.Names[bt.TimeFrame.Minutes],
bt.TimeFrame.Names[bt.TimeFrame.Days],
bt.TimeFrame.Names[bt.TimeFrame.Weeks],
bt.TimeFrame.Names[bt.TimeFrame.Months]]
elif args.ib is not None:
from information.broker_ib import IBhost
#----- END -----#
def runstrategy():
args = parse_args()
if args.ib and args.oanda is None:
print('ERROR: Please select broker: args.oanda or args.ib')
#----- CEREBRO START -----#
if args.optimise:
cerebro = bt.Cerebro(optreturn=False)
else:
cerebro = bt.Cerebro()
#----- PLOT INFO -----#
plotinfo = dict(plot=True,
subplot=True,
plotname='',
plotskip=False,
plotabove=False,
plotlinelabels=True,
plotlinevalues=True,
plotvaluetags=True,
plotymargin=0.0,
plotyhlines=[],
plotyticks=[],
plothlines=[],
plotforce=False,
plotmaster=None,
plotylimited=True,
)
#----- SELECT STRATEGY -----#
if args.strategy == 'reversal':
from strategies.strategy_reversal import TheStrategy as TheStrategy
elif args.strategy == '3_bar_stack':
from strategies.strategy_3_bar_stack import TheStrategy as TheStrategy
elif args.strategy == 'pivotpoint':
from strategies.strategy_pivotpoint import TheStrategy as TheStrategy
elif args.strategy == 'bom':
from strategies.strategy_bom import TheStrategy as TheStrategy
elif args.strategy == 'bband':
from strategies.strategy_bband import TheStrategy as TheStrategy
elif args.strategy == '2wave':
from strategies.strategy_secondwave import TheStrategy as TheStrategy
#----- LOAD MODULES -----#
def printTradeAnalysis(analyzer):
return TradeAnalysis(analyzer)
def printSQN(analyzer):
return SQN(analyzer)
#----- STORE & BROKER -----#
if args.ib is not None:
if args.usestore:
ibstore = bt.stores.IBStore(**IBhost.storekwargs)
if args.broker:
if args.usestore:
broker = ibstore.getbroker()
else:
broker = bt.brokers.IBBroker(**IBhost.storekwargs)
cerebro.setbroker(broker)
else:
startcash = 1000000
cerebro.broker.setcash(startcash)
elif args.oanda:
storekwargs = dict(
token=args.token,
account=args.account,
practice=not args.live
)
if not args.no_store:
store = StoreCls(**storekwargs)
if args.broker:
if args.no_store:
broker = BrokerCls(**storekwargs)
else:
broker = store.getbroker()
cerebro.setbroker(broker)
else:
startcash = 1000000
cerebro.broker.setcash(startcash)
#----- TIMEFRAME AND COMPRESSION -----#
if args.ib is not None:
timeframe = args.timeframe
# Manage data1 parameters
tf1 = args.timeframe1
#tf1 = bt.TimeFrame.TFrame(tf1) if tf1 is not None else timeframe
cp1 = args.compression1
cp1 = cp1 if cp1 is not None else args.compression
'''
if args.resample or args.replay:
datatf = datatf1 = bt.Timeframe.Minutes
datacomp = datacomp1 = args.compression
else
datatf = timeframe
datacomp = args.compression
datatf1 = tf1
datacomp1 = cp1'''
if args.resample or args.replay:
datatf1 = datatf = args.timeframe
datacomp1 = datacomp = 1
else:
datatf = timeframe
datacomp = args.compression
datatf1 = tf1
datacomp1 = cp1
if not args.historical:
fromdate = datetime.datetime.now() - datetime.timedelta(days=4)
todate = None
else:
dtformat = '%Y-%m-%d' + ('T%H:%M:%S' * ('T' in args.fromdate))
fromdate = datetime.datetime.strptime(args.fromdate, dtformat)
if args.now:
todate = datetime.datetime.now()
else:
dtformat = '%Y-%m-%d' + ('T%H:%M:%S' * ('T' in args.todate))
todate = datetime.datetime.strptime(args.todate, dtformat)
if args.now:
todate = datetime.datetime.now()
elif args.oanda:
timeframe = bt.TimeFrame.TFrame(args.timeframe)
# Manage data1 parameters
tf1 = args.timeframe1
#tf1 = bt.TimeFrame.TFrame(tf1) if tf1 is not None else timeframe
cp1 = args.compression1
cp1 = cp1 if cp1 is not None else args.compression
if args.resample or args.replay:
datatf = datatf1 = bt.TimeFrame.Ticks
datacomp = datacomp1 = 1
else:
datatf = timeframe
datacomp = args.compression
datatf1 = tf1
datacomp1 = cp1
fromdate = None
if args.fromdate:
dtformat = '%Y-%m-%d' + ('T%H:%M:%S' * ('T' in args.fromdate))
fromdate = datetime.datetime.strptime(args.fromdate, dtformat)
#----- STORE AND DATAS - INTERACTIVE BROKERS -----#
if args.ib is not None:
IBDataFactory = ibstore.getdata if args.usestore else bt.feeds.IBData
datakwargs = dict(
timeframe=datatf,
compression=datacomp,
historical=args.historical,
fromdate=fromdate,
todate=todate,
rtbar=args.rtbar,
qcheck=args.qcheck,
what=args.what,
backfill_start=True,
backfill=True,
#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(IBhost.storekwargs) # pass the store args over the data
#----- STORE AND DATAS - OANDA -----#
elif args.oanda:
DataFactory = DataCls if args.no_store else store.getdata
datakwargs = dict(
timeframe=datatf, compression=datacomp,
qcheck=args.qcheck,
historical=args.historical,
fromdate=fromdate,
bidask=args.bidask,
useask=args.useask,
backfill_start=not args.no_backfill_start,
backfill=not args.no_backfill,
tz=args.timezone
)
if args.no_store and not args.broker: # neither store nor broker
datakwargs.update(storekwargs) # pass the store args over the data
#--- DATAS - CSV FILE ---#
if args.csv:
datapath = '../data/csv/commodities/XAUUSD/XAUUSD_m1_Ask_2012-2016.csv'
data0 = bt.feeds.GenericCSVData(
timeframe=bt.TimeFrame.Minutes,
compression=1,
dataname=datapath,
nullvalue=0.0,
dtformat=('%m/%d/%Y'),
tmformat=('%H:%M:%S'),
fromdate=fromdate,
todate=todate,
datetime=0,
time=1,
high=3,
low=4,
open=2,
close=5,
volume=6,
openinterest=-1 #-1 means not used
)
#--- DATA 0 - INTERACTIVE BROKERS & OANDA ---#
else:
if args.ib is not None:
data0 = IBDataFactory(dataname=args.data0, **datakwargs)
elif args.oanda:
data0 = DataFactory(dataname=args.data0, **datakwargs)
#--- DATA 1 - BOTH INTERACTIVE BROKERS & OANDA ---#
data1 = None
if args.data1 is not None:
if args.data1 != args.data0:
datakwargs['timeframe'] = datatf1
datakwargs['compression'] = datacomp1
data1 = IBDataFactory(dataname=args.data1, **datakwargs)
else:
data1 = data0
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,
)
#----- LOAD DATA -----#
if args.replay:
cerebro.replaydata(data0, **rekwargs)
if data1 is not None:
rekwargs['timeframe'] = tf1
rekwargs['compression'] = cp1
cerebro.replaydata(data1, **rekwargs)
elif args.resample:
cerebro.resampledata(data0, **rekwargs)
if data1 is not None:
rekwargs['timeframe'] = tf1
rekwargs['compression'] = cp1
cerebro.resampledata(data1, **rekwargs)
else:
cerebro.adddata(data0)
if data1 is not None:
cerebro.adddata(data1)
if args.valid is None:
valid = None
else:
valid = datetime.timedelta(seconds=args.valid)
#--- PROCESSING LOAD TIME ---#
cerebro.dtcerebro = dt0 = datetime.datetime.now()
print('Cerebro Start Time: {}'.format(dt0))
#----- CEREBRO RUN - OPTIMISE -----#
# https://www.backtrader.com/blog/posts/2015-07-23-multicore-optimization/multicore-optimization/
if args.optimise:
#cerebro.addstrategy(TheStrategy, bomperiod_0=100)
cerebro.optstrategy(TheStrategy, bomperiod_0=(50,100,300))
#cerebro.adddata(data0)
# Run over everything
opt_runs = cerebro.run(maxcpus=1)
# Generate results list
final_results_list = []
for run in opt_runs:
for strategy in run:
value = round(strategy.broker.getvalue(),2)
pnl = round(value - startcash,2)
period = strategy.params.bomperiod_0
final_results_list.append([period,pnl])
#Sort Results List
by_period = sorted(final_results_list, key=lambda x: x[0])
by_PnL = sorted(final_results_list, key=lambda x: x[1], reverse=True)
#Print results
print('')
print('Results: Ordered by period:')
for result in by_period:
print('Period: {}, PnL: {:5,.5f}'.format(result[0], result[1]))
print('')
print('Results: Ordered by Profit:')
for result in by_PnL:
print('Period: {}, PnL: {:5,.5f}'.format(result[0], result[1]))
print('')
#----- CEREBRO RUN - LIVE -----# ... avoid long data accumulation by switching to "exactbars"
elif args.historical is None:
if args.ib is not None:
cerebro.addstrategy(TheStrategy,
trade=args.trade,
exectype=bt.Order.ExecType(args.exectype),
stake=args.stake,
stopafter=args.stopafter,
valid=valid,
cancel=args.cancel,
donotsell=args.donotsell,
stoptrail=args.stoptrail,
stoptraillimit=args.traillimit,
trailamount=args.trailamount,
trailpercent=args.trailpercent,
limitoffset=args.limitoffset,
oca=args.oca,
bracket=args.bracket)
elif args.oanda:
cerebro.addstrategy(TheStrategy,
trade=args.trade,
exectype=bt.Order.ExecType(args.exectype),
stake=args.stake,
stopafter=args.stopafter,
valid=valid,
cancel=args.cancel,
donotcounter=args.donotcounter,
sell=args.sell,
usebracket=args.usebracket)
cerebro.addobserver(bt.observers.Trades)
cerebro.addobserver(bt.observers.BuySell)
cerebro.run(exactbars=args.exactbars)
#----- CEREBRO RUN - HISTORICAL -----#
else:
cerebro.addstrategy(TheStrategy)
if args.writer:
cerebro.addwriter(bt.WriterFile, csv=True, out=(args.data0 + "-from-" + args.fromdate + "-to-" + args.todate + ".csv"))
cerebro.addobserver(bt.observers.Trades)
cerebro.addobserver(bt.observers.BuySell)
cerebro.addobserver(bt.observers.Value, barplot=True)
cerebro.addanalyzer(bt.analyzers.TradeAnalyzer, _name='ta')
cerebro.addanalyzer(bt.analyzers.SQN, _name='sqn')
if data1 is not None:
strategies = cerebro.run(stdstats=False, runonce=False) #runonce=False (for coupling of mixed tiemframes to work).
firstStrat = strategies[0]
else:
strategies = cerebro.run(stdstats=False, runonce=True)
firstStrat = strategies[0]
#printstrategy()
printTradeAnalysis(firstStrat.analyzers.ta.get_analysis())
printSQN(firstStrat.analyzers.sqn.get_analysis())
print('1.6 – 1.9 Below average, 2.0 – 2.4 Average, 2.5 – 2.9 Good, 3.0 – 5.0 Excellent, 5.1 – 6.9 Superb, 7.0 – Holy Grail')
#portvalue = round(cerebro.broker.getvalue(), 2)
portvalue = cerebro.broker.getvalue()
#pnl = round(portvalue - startcash, 2)
pnl = (portvalue - startcash)
print('Final Portfolio Value: ${0:,.5f}'.format(portvalue))
print('P/L: ${0:.5f}'.format(pnl))
print('{0:.2f}%'.format((pnl / startcash * 100)))
#pyplot.plot(data0) # TESTING DIFFERENT TYPE OF PLOTTING
cerebro.plot(
#plotter = None,
#plotname=args.data0,
#subplot=True,
#plotlinelabels=True,
style='candlestick',
barup='green',
bardown='red',
volume=args.volume,
)
if __name__ == '__main__':
runstrategy()
