3. IBTEST.py some explanations
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IBTEST.py some explanations


  • Call me dumb but if someone can help explain to me these code I would be really grateful. Afterall if i ask I am a fool for a day, if not will be a fool forever!

    1st section (pls see comments in the code where I am refering to):
    The 1st section of this, I believe is just the data coming in from IB. And we are just joining it all up.
    2nd section:
    This is where I am lost. Why is there a data1? What is it actually? Is this section of code actually needed. What does it do?

    def next(self, frompre=False):
      # 1st section:
        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]))
        print(', '.join(txt))

       # 2nd section: 
        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))

    Thanks alot!

    0 1 Reply
  • A

    2nd section prints 2nd data feed if more than one data feed were loaded into system and data feed values are delivered. Check out Docs - Platform Concepts, section Shortcuts for Data Feeds.

    2 1 Reply

  • @J-T said in IBTEST.py some explanations:

    This is where I am lost. Why is there a data1? What is it actually? Is this section of code actually needed. What does it do?

    data1 data feed is added to cerebro if --data1 command line is specified for ibtest.py

    I guess it may be used if one would like to track one instrument and trade another ( see https://www.backtrader.com/blog/posts/2015-09-03-multidata-strategy/multidata-strategy/)

    usage: ibtest.py [-h] ... --data0 DATA0 [--data1 DATA1] ...
Test Interactive Brokers integration

optional arguments:
...
  --data0 DATA0         data 0 into the system (default: None)
  --data1 DATA1         data 1 into the system (default: None)
...
    1

  • @ab_trader, sorry I didn't notice you've already answered.

    0
    A
     1 Reply
  • A

    @vladisld np

    0

  • Thanks guys.

    I am trying out paper trade in IB,

    broker = ibstore.getbroker()
cerebro.setbroker(broker)

print('Starting Portfolio Value: %.2f' % cerebro.broker.getvalue())  # Print out the starting conditions
    strat = cerebro.run(maxcpus=2, exactbars=True)

    Can I ask why is the value 0? or am I doing something wrong here.

    Starting Portfolio Value: 0.00
    0 1 Reply

  • @J-T said in IBTEST.py some explanations:

    Starting Portfolio Value: 0.00

    It is because the connection to IB hasn't been established yet. The connection is started only upon cerebro.run.

    1

  • Thanks again.

    I am connected to ib paper trading. The main code for connection as follows. I just simplify IBTEST.py.

    def Main():
    cerebro = bt.Cerebro()

    storekwargs = dict(host='127.0.0.1', port=7497, clientId=1, notifyall=False, _debug=False, reconnect=-1, timeout=3, timeoffset=False, timerefresh=60)
ibstore = bt.stores.IBStore(**storekwargs)

    cerebro.broker = ibstore.getbroker()

    data = ibstore.getdata(dataname='EUR.USD-CASH-IDEALPRO', 
timeframe=bt.TimeFrame.Minutes, qcheck=60, tz='Asia/Singapore', backfill=False, latethrough=False, historical=False)

    cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=1)
    cerebro.addstrategy(BaseStrategy)
    strat = cerebro.run(maxcpus=2, exactbars=-1)

if __name__ == '__main__':
    main()

class BaseStrategy(bt.Strategy):
    def logdata(self):
        txt = list()
        txt.append('{:4d}'.format(len(self.data)))
        dtfmt = '%Y-%m-%d %H:%M:%S'
        # txt.append('{}'.format(self.data.datetime[0]))
        txt.append('{}'.format(self.data.datetime.datetime(0).strftime(dtfmt)))
        txt.append('{:.4f}'.format(self.data.open[0]))
        txt.append('{:.4f}'.format(self.data.high[0]))
        txt.append('{:.4f}'.format(self.data.low[0]))
        txt.append('{:.4f}'.format(self.data.close[0]))
        txt.append('{:.4f}'.format(self.data.volume[0]))
        print(','.join(txt))

    data_live = False

    I am getting volume as -1 or 0. -1 during the backfill, 0 when live.
    Snapshot here:

    ...
 282,2020-04-13 11:41:00,1.0932,1.0933,1.0932,1.0933,-1.0000
 283,2020-04-13 1:42:00,1.0933,1.0934,1.0933,1.0934,-1.0000
 284,2020-04-13 11:43:00,1.0934,1.0934,1.0933,1.0933,-1.0000
 285,2020-04-13 11:44:00,1.0933,1.0933,1.0933,1.0933,-1.0000
 286,2020-04-13 11:45:00,1.0933,1.0933,1.0932,1.0933,-1.0000
 287,2020-04-13 11:46:00,1.0933,1.0933,1.0933,1.0933,-1.0000
 288,2020-04-13 11:47:00,1.0933,1.0933,1.0933,1.0933,-1.0000
***** DATA NOTIFY: LIVE
 289,2020-04-13 11:49:00,1.0933,1.0933,1.0933,1.0933,0.0000
 290,2020-04-13 11:50:00,1.0933,1.0933,1.0933,1.0933,0.0000
 291,2020-04-13 11:51:00,1.0933,1.0935,1.0933,1.0935,0.0000
 292,2020-04-13 11:52:00,1.0934,1.0934,1.0934,1.0934,0.0000
 293,2020-04-13 11:53:00,1.0935,1.0935,1.0934,1.0934,0.0000
 294,2020-04-13 11:54:00,1.0934,1.0934,1.0934,1.0934,0.0000
 295,2020-04-13 11:55:00,1.0934,1.0935,1.0934,1.0934,0.0000
 296,2020-04-13 11:56:00,1.0934,1.0935,1.0934,1.0935,0.0000
 297,2020-04-13 11:57:00,1.0935,1.0935,1.0934,1.0935,0.0000
 298,2020-04-13 11:58:00,1.0935,1.0935,1.0934,1.0934,0.0000

    Any insights why is the volume like this?

    0 1 Reply

  • Ignore me.... new to fx. Think fx has no volume.

    On the other hand, is it possible to help let me know if these 2 lines of code is possible. In all examples I have seen so far, the call has been to ticks. I do not think I need ticks but 1 minute bars will do. I wonder if the below makes sense. The data I get back is almost the same for open high low and close.

    data = ibstore.getdata(dataname='EUR.USD-CASH-IDEALPRO', timeframe=bt.TimeFrame.Minutes, qcheck=60, tz='Asia/Singapore',
                           backfill=False, _latethrough=True, historical=False)
cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=1, takelate=True)

    Or should I really be doing ticks and then resample:

    data = ibstore.getdata(dataname='EUR.USD-CASH-IDEALPRO', timeframe=bt.TimeFrame.Ticks, qcheck=60, tz='Asia/Singapore',
    backfill=False, _latethrough=True, historical=False)
    cerebro.resampledata(data, timeframe=bt.TimeFrame.Minutes, compression=1, takelate=True)

    Stay safe guys and appreciate your help as always.

    0
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