3. Problem to obtain Live data from IB for US options
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Problem to obtain Live data from IB for US options

  • P

    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.

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