S
@backtrader said in IB delayed vs live timeframes (interday trading):
Thanks for quick response. To rephrase my question, I was asking whether there was intentional logic to 'switch' from daily to tick (or 5-seconds real-time bars) when going from delayed to live data... but as explained, there is no such switch so problem must be elsewhere.
Just ran the script for TWTR using resampling and you will see that the delayed data below has missing dates:
Data0, 0108, 737069.208333, 2019-01-10T00:00:00.000000, 29.9, 32.4, 29.76, 32.02, 470227.0, 0.0, 29.28
Data0, 0109, 737072.208333, 2019-01-13T00:00:00.000000, 32.02, 33.5, 32.02, 32.77, 462363.0, 0.0, 30.448
Data0, 0110, 737076.208333, 2019-01-17T00:00:00.000000, 32.75, 33.35, 32.12, 32.49, 313474.0, 0.0, 31.232
Data0, 0111, 737079.208333, 2019-01-20T00:00:00.000000, 32.32, 33.89, 32.24, 33.2, 255231.0, 0.0, 32.116
Data0, 0112, 737084.208333, 2019-01-25T00:00:00.000000, 33.01, 33.35, 30.72, 31.58, 455923.0, 0.0, 32.412
Data0, 0113, 737089.208333, 2019-01-30T00:00:00.000000, 31.66, 33.67, 31.46, 31.91, 602043.0, 0.0, 32.39
Data0, 0114, 737092.208333, 2019-02-02T00:00:00.000000, 32.0, 34.09, 31.42, 33.2, 526106.0, 0.0, 32.476
Data0, 0115, 737097.208333, 2019-02-07T00:00:00.000000, 33.3, 35.29, 33.24, 35.05, 621249.0, 0.0, 32.988
***** DATA NOTIF: LIVE
Full script below:
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=True,
stake=10,
exectype=bt.Order.Market,
stopafter=20,
valid=None,
cancel=0,
donotsell=False,
stoptrail=False,
stoptraillimit=False,
trailamount=None,
trailpercent=None,
limitoffset=None,
oca=False,
bracket=False,
stop_loss=0.01, # NEW: price is 5% less than the entry point (Redundant if use trail I presume)
trail=False, # NEW: NOTE IT IS SIMILAR TO stoptrail; set trail=False if want fixed stop specified in stop_loss; OR set to a numeric value (e.g. 0.10) will tell the strategy to use a StopTrail
)
def __init__(self):
# To control operation entries
self.orderid = list()
self.order = None
self.counttostop = 0
self.datastatus = 0
# NEW: Keep a reference to the "close" line in the data[0] dataseries
self.dataclose = self.data0.close
# NEW: Add a Highest Close indicator
# TODO: Note that doing this with period=100 means trades don't start until after 100 periods
# Should look at a way to simply keep a running record of highest high (in all history) instead
self.the_highest_close = bt.ind.Highest(self.data0.close, period=5, subplot=False)
# 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('Data0')
txt.append('%04d' % len(self.data0))
dtfmt = '%Y-%m-%dT%H:%M:%S.%f'
txt.append('{}'.format(self.data.datetime[0]))
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]))
#txt.append('{}'.format(self.the_highest_close[0])) #NEW: to see if it should trigger
#txt.append('{}'.format(self.dataclose[0])) #NEW: to see if it should trigger
print(', '.join(txt))
if len(self.datas) > 1 and len(self.data1):
txt = list()
txt.append('Data1')
txt.append('%04d' % len(self.data1))
dtfmt = '%Y-%m-%dT%H:%M:%S.%f'
txt.append('{}'.format(self.data1.datetime[0]))
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: #NEW Removed this
exectype = self.p.exectype if not self.p.oca else bt.Order.Limit
close = self.data0.close[0]
price = round(close * 0.90, 2)
# NEW: Buy rule => Not yet ... we MIGHT BUY if ...
if self.dataclose[0] > self.the_highest_close[-1]:
# A BREAKOUT !!!
# BUY, BUY, BUY!!! (with default parameters)
# self.log('BUY CREATE, %.2f' % self.dataclose[0])
# Keep track of the created order to avoid a 2nd order
# self.order = self.buy()
self.order = self.buy(size=self.p.stake,
exectype=exectype,
price=price,
valid=self.p.valid,
transmit=not self.p.bracket)
# Set a stop loss at the time of buy (need to enable cheat on close in __init__() first)
if not self.params.trail:
stop_price = round(self.dataclose[0] * (1.0 - self.params.stop_loss), 2)
self.sell(size=self.p.stake, exectype=bt.Order.Stop, price=stop_price)
else:
# Originally used trailamount... but I changed to trailpercent
# https://www.backtrader.com/docu/order-creation-execution/bracket/bracket.html?highlight=stoptrail
self.sell(size=self.p.stake, exectype=bt.Order.StopTrail,
trailpercent=self.p.trail)
self.orderid.append(self.order)
# TODO: Look into if I should be using these instead of my stop logic above
if self.p.bracket:
# low side
self.sell(size=self.p.stake,
exectype=bt.Order.Stop,
price=round(price * 0.90, 2),
valid=self.p.valid,
transmit=False,
parent=self.order)
# high side
self.sell(size=self.p.stake,
exectype=bt.Order.Limit,
price=round(close * 1.10, 2),
valid=self.p.valid,
transmit=True,
parent=self.order)
elif self.p.oca:
self.buy(size=self.p.stake,
exectype=bt.Order.Limit,
price=round(self.data0.close[0] * 0.80, 2),
oco=self.order)
elif self.p.stoptrail:
self.sell(size=self.p.stake,
exectype=bt.Order.StopTrail,
# price=round(self.data0.close[0] * 0.90, 2),
valid=self.p.valid,
trailamount=self.p.trailamount,
trailpercent=self.p.trailpercent)
elif self.p.stoptraillimit:
p = round(self.data0.close[0] - self.p.trailamount, 2)
# p = self.data0.close[0]
self.sell(size=self.p.stake,
exectype=bt.Order.StopTrailLimit,
price=p,
plimit=p + self.p.limitoffset,
valid=self.p.valid,
trailamount=self.p.trailamount,
trailpercent=self.p.trailpercent)
# TAKE THIS OUT AND JUST HAVE THE STOP LOSS
#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():
# Hardcode the args
args = dict(
host='127.0.0.1',
port=7497, #7496 for live,
clientId=None,
data0='TWTR', #'TWTR', #None, #'EUR.USD-CASH-IDEALPRO'RWA-STK-LSE'
data1=None,
resample=True, #False,
timeframe='Days', #bt.TimeFrame.Names[0], #Try 'Minutes' or 'Days'
compression=1, #5,
)
# Create a cerebro
cerebro = bt.Cerebro()
#Use store method
ibstore = bt.stores.IBStore(host=args['host'], port=args['port'], clientId=args['clientId'])
broker = ibstore.getbroker()
cerebro.setbroker(broker)
#Set the timeframe
timeframe = bt.TimeFrame.TFrame(args['timeframe'])
if args['resample']:
datatf = bt.TimeFrame.Ticks
datacomp = 1
else:
datatf = timeframe
datacomp = args['compression']
#IBDataFactory = ibstore.getdata if args['usestore'] else bt.feeds.IBData
IBDataFactory = ibstore.getdata
#Create the data using datatf and datacomp
data0 = IBDataFactory(dataname=args['data0'], timeframe=datatf, compression=datacomp)
#Feed the strategy with resampled data if requested
if args['resample']:
cerebro.resampledata(data0, timeframe=timeframe, compression=args['compression'])
else:
cerebro.adddata(data0)
# Add the strategy
cerebro.addstrategy(TestStrategy)
cerebro.run()
if __name__ == '__main__':
runstrategy()
