3. Why do my algorithm stop after one trade?
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Why do my algorithm stop after one trade?


  • The algorithm seems to run one, but I never get another next called. What I'm I missing? After the first trade, I would expect to see the holding... to continue to happen in the console until the next trade is triggered.

    def runstrats(args=None):
    args = parse_args(args)

    cerebro = bt.Cerebro(stdstats=True)

    fromdate = None
    if args.fromdate:
        dtformat = '%Y-%m-%d' + ('T%H:%M:%S' * ('T' in args.fromdate))
        fromdate = datetime.datetime.strptime(args.fromdate, dtformat)

    todate = None
    if args.todate:
        dtformat = '%Y-%m-%d' + ('T%H:%M:%S' * ('T' in args.todate))
        todate = datetime.datetime.strptime(args.todate, dtformat)

    # This is the Interactive Broker client
    store = ibstore.IBStore(host='127.0.0.1', # env('IB_URL'),
                            port=7496, # env('IB_PORT'),
                            clientId=35,
                            notifyall=True
                            # _debug=True
                            )

    # Add Data
    data0 = store.getdata(dataname=ib_symbol,
                          timeframe=bt.TimeFrame.Minutes,
                          fromdate=fromdate,
                          todate=todate,
                          compression=1,
                          rtbar=True)

    # Resample Data
    cerebro.resampledata(data0,
                         timeframe=bt.TimeFrame.Minutes,
                         compression=1
                         )

    data0.addfilter(bt.filters.Renko, size=0.0001)
    cerebro.adddata(data0)

    # Set the behavior
    cerebro.signal_accumulate(False)
    cerebro.signal_concurrent(False)

    # Broker
    cerebro.broker = store.getbroker()
    cerebro.broker.setcommission(commission=2.47, margin=2000.0, mult=10.0)

    # Sizer
    cerebro.addsizer(bt.sizers.FixedReverser, stake=5)

    # Observer
    cerebro.addobserver(bt.observers.FundValue)

    # Strategy
    cerebro.addstrategy(TwoBlock, **eval('dict(' + args.strat + ')'))

    # Execute
    kwargs = dict(stdstats=True)
    kwargs.update(**eval('dict(' + args.cerebro + ')'))
    cerebro.run(**kwargs)

    Output below

    Server Version: 76
TWS Time at connection:20200901 17:04:03 Central Standard Time
01-Sep-20 17:04:06 INFO      holding...
01-Sep-20 17:05:03 INFO      holding...
01-Sep-20 17:06:02 INFO      holding...
01-Sep-20 17:07:02 INFO      holding...
01-Sep-20 17:08:03 INFO      holding...
01-Sep-20 17:09:03 INFO      holding...
01-Sep-20 17:10:03 INFO      Buying position
01-Sep-20 17:10:03 INFO      2020-09-01: Oref 1 / Buy at 1.19185
01-Sep-20 17:10:03 INFO      2020-09-01: Oref 2 / Sell Stop at 1.1911500000000002
01-Sep-20 17:10:03 INFO      2020-09-01: Oref 3 / Sell TP Limit at 1.2016
01-Sep-20 17:10:03 INFO      2020-09-01: Oref 4 / Sell Tail STOP 0.06
01-Sep-20 17:11:03 INFO      2020-09-01: Order ref: 1 / Type Buy / Status Submitted
01-Sep-20 17:11:03 INFO      ORDER ACCEPTED/SUBMITTED 01/09/1970, 12:54:29
01-Sep-20 17:11:03 INFO      2020-09-01: Order ref: 2 / Type Sell / Status Submitted
01-Sep-20 17:11:03 INFO      ORDER ACCEPTED/SUBMITTED 01/09/1970, 12:54:29
01-Sep-20 17:11:03 INFO      2020-09-01: Order ref: 3 / Type Sell / Status Submitted
01-Sep-20 17:11:03 INFO      ORDER ACCEPTED/SUBMITTED 01/09/1970, 12:54:29
01-Sep-20 17:11:03 INFO      2020-09-01: Order ref: 4 / Type Sell / Status Submitted
01-Sep-20 17:11:03 INFO      ORDER ACCEPTED/SUBMITTED 01/09/1970, 12:54:29
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  • I found the bug. I turned on _debug=true and was able to see the issue. The realtimebars were coming in as I expected.

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