3. ib paper live trade error
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ib paper live trade error

  • B

    After I used bt.sizers.PercentSizer
    cerebro.addsizer(bt.sizers.PercentSizer, percents=90)

    I got an error

    ***** DATA NOTIF: LIVE
1442,2020-06-09T20:25:25,107.75,107.75,107.75,107.75,0.00
Traceback (most recent call last):
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/ext/EClientSocket.py", line 976, in placeOrder
    self.send(order.m_outsideRth)
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/lib/overloading.py", line 82, in __call__
    return func(*args)
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/ext/EClientSocket.py", line 1786, in send_4
    self.send(1 if val else 0)
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/lib/overloading.py", line 82, in __call__
    return func(*args)
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/ext/EClientSocket.py", line 1765, in send_3
    self.send(str(val))
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/lib/overloading.py", line 82, in __call__
    return func(*args)
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/ext/EClientSocket.py", line 1755, in send_1
    self.sendEOL()
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/ext/EClientSocket.py", line 1744, in sendEOL
    self.m_dos.write(self.EOL)
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/lib/__init__.py", line 147, in write
    send(eol)
BrokenPipeError: [Errno 32] Broken pipe

During handling of the above exception, another exception occurred:

Traceback (most recent call last):
  File "/Users/me/quan/bt/ibtutorial.py", line 86, in <module>
    run()
  File "/Users/me/quan/bt/ibtutorial.py", line 82, in run
    cerebro.run()
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/cerebro.py", line 1127, in run
    runstrat = self.runstrategies(iterstrat)
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/cerebro.py", line 1298, in runstrategies
    self._runnext(runstrats)
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/cerebro.py", line 1630, in _runnext
    strat._next()
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/strategy.py", line 347, in _next
    super(Strategy, self)._next()
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/lineiterator.py", line 271, in _next
    self.next()
  File "/Users/me/quan/bt/ibtutorial.py", line 64, in next
    self.buy()
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/strategy.py", line 939, in buy
    **kwargs)
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/brokers/ibbroker.py", line 379, in buy
    return self.submit(order)
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/brokers/ibbroker.py", line 337, in submit
    self.ib.placeOrder(order.m_orderId, order.data.tradecontract, order)
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/stores/ibstore.py", line 1286, in placeOrder
    self.conn.placeOrder(orderid, contract, order)
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/lib/__init__.py", line 60, in inner
    return func(*args, **kwds)
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/ext/EClientSocket.py", line 1155, in placeOrder
    self.error_0(id, EClientErrors.FAIL_SEND_ORDER, str(e))
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/lib/__init__.py", line 60, in inner
    return func(*args, **kwds)
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/ext/EClientSocket.py", line 1709, in error_0
    self.m_anyWrapper.error(id, errorCode, errorMsg)
  File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/lib/overloading.py", line 82, in __call__
    return func(*args)
TypeError: error() takes 2 positional arguments but 4 were given

    Below are full code:

    
from __future__ import unicode_literals
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2018 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program.  If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
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='USD.JPY-CASH-IDEALPRO', timeframe=bt.TimeFrame.Ticks)
    cerebro.resampledata(data, timeframe=bt.TimeFrame.Seconds, compression=5)

    cerebro.broker = store.getbroker()

    cerebro.addstrategy(St)
    cerebro.addsizer(bt.sizers.PercentSizer, percents=90)
#    cerebro.addsizer(bt.sizers.SizerFix, stake=3000)
    cerebro.run()


if __name__ == '__main__':
    run()
    0

  • It seems the connection to IB broker was terminated from the server side. You may want to take a look at the TWS API Logs to see what was the cause (it could be a lot of different reasons for connection drop)

    0
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