Live Trading / Ibbroker / Load Trades at start

[Alexandre Durand]

Hi,

I use Backtrader in live mode with IB.

Each time cerebro start, the trades are not initialized. So when the strategy place an order a new trade will be open.

Is there a way to initialized the trades with the position already open ?

Thanks for the help.

Alexandre

[ab_trader]

By default bt works only with positions open by itself. You can search for discussions on this topic on the forum, maybe somebody already implemented this.

[Alexandre Durand]

My goal is to load the positions open by backtrader in a previous run/session.
The previous positions are also opened by bt.
But the previous trades are not recognized by bt as "bt position".

Thanks for the help,

[mics]

@Alexandre-Durand

I have a system that provides some functionality that you are after by storing all critical variables, trade data, account data in an *.ini file which is updated on each loop of next(). While this is not exactly what you might be after, it may overcome your problem until a better solution can be found.

How my system works on initial start:

• Parent program
  • Creates *.ini file
  • Runs BT as subprocess
  • BT starts normally

When connection fails

• notify_store receives error
• wait for connection to be restored (but BT does not resume)
  • send sms alerting me of restart
  • try send close position and try cancel stop loss (if any are open). API still receives these commands even when BT cannot resume.
  • runstop BT
• write variable to ini file signalling shutdown (this is for the parent program to read and action)

When shutdown recognised by parent program

• kill BT
  -reload BT

When BT reloads

• check if fresh start or reload.
  • If reload, then init with variables from last loop of next() prior to shutdown
  • If fresh start, init with normal defaults
  • [Option here to recreate the positions that had to been closed when BT failed so that the strategy can continue depending on how much time and price has moved]

Here is some sample code:

NOTIFY_STORE

def notify_store(self, msg, *args, **kwargs):

    print('*' * 5, 'STORE NOTIF:', msg)
    
    try:
        if 'external transaction MARKET_ORDER' in msg:
            print('msg = external transaction')
            
            self.hitstoploss = 0
            
            try:
                cancel = self.cancel(self.stop_ord) #CANCEL STOP LOSS
                print('CANCEL STOP LOSS')
                return
                
            except AttributeError:
                print('NO STOP LOSS TO CANCEL')
                return
                
            else:
            
                print('NOT SURE IF STOP LOSS CURRENTLY OPEN')
                try:
                    message = SendSMS.client.messages.create(
                        from_='+xxxxxxxxxx',
                        to='+xxxxxxxxxx',
                        body=(self.productcode + ' FAILED TO CANCEL STOP LOSS: CHECK ON PLATFORM'))
                except:
                    pass
                return

    except:
            
        print('CONNECTION FAILED')
        
        print('SEND SMS')
                    
        x = 1
        while True: #IF INTERNET CONNECTION DOWN. WAIT UNTIL ABLE TO SEND SMS BEFORE COMMENCING RELOAD
            try:
                
                message = SendSMS.client.messages.create(
                    from_='+xxxxxxxxxx',
                    to='+xxxxxxxxxx',
                    body=('SHUT DOWN: CLOSING POSITIONS & RELOADING'))
#                        body=(self.productcode + ' SHUT DOWN: CLOSING POSITIONS & RELOADING: {}'.format(msg)))

                print('SMS SENT')
                break
            except:
                print('!!! CONNECTION BROKEN !!! - FAILED TO SEND SMS. RETRYING #' + str(x))
                time.sleep(2)
                x = x + 1
                pass
        
        print('GET POSITION SIZE FROM INI FILE')
        #READ INI TO GET POSTION SIZE. CANNOT GET POSITION SIZE FROM BROKER IF CONNECTION INTERUPTED
        bt_file.read_trade_ini(self)
        time.sleep(2)
        print('INI FILE READ')
        print('POSITION SIZE: ' + str(self.position_size)) #self.position_size IS READ FROM THE INI FILE AND GETS UPDATED ON EACH next()
       
        print('TRY TO CLOSE POSITION')
        time.sleep(10)
        try:
           self.close(size=self.position_size) #SEND A CLOSE ORDER. THIS WILL WORK IF API CONNECTION RE-ESTABLISHED, EVEN IF BT HAS STALLED
        except:
            pass
#            time.sleep(2)
        print('POSITION CLOSED. TRY TO CANCEL STOP LOSS')
        try:
            self.cancel(self.stop_ord) #SEND A CANCEL STOP LOSS ORDER. THIS WILL WORK IF API CONNECTION RE-ESTABLISHED, EVEN IF BT HAS STALLED
        except:
            pass
        print('CANCEL STOP LOSS')

        time.sleep(2)
        bt_file.reload_write(self)    #CREATE SHUTDOWN TRIGGER IN INI FILE FOR PARENT PROGRAM TO RECEIVE
        time.sleep(2)
        print('STOPPING BACKTRADER')
        self.env.runstop()  #SHUT DOWN BACKTRADER
        time.sleep(1)
        press('enter')  #MUST KEEP CURSOR ACTIVE ON THE TERMINAL FOR THIS TO WORK
        return

PARENT PROGRAM

***FRESH START***

    #----- ESTABLISH INI FILE -----#

    config = configparser.ConfigParser()
    home = os.path.expanduser('~') #USER DIRECTORY
    filename = pc + '.ini'
    
    if not os.path.exists(home + '/00_config/' + filename):
        print('CREATING NEW INI FILE')
        f = open(home + '/00_config/' + filename, 'w')
    else:
        print('EXISTING INI FILE')
        pass
    
    myfile = Path(home + '/00_config/' + filename)
    
    config.read(myfile)
    section_00 = pc
    section_01 = pc + '-01'
    section_02 = pc + '-02'
    
    time.sleep(1)
    
    #----- CLEAR INI FILE -----#
    print('PREPARING INI FILE')
    with open(myfile,'r+') as s:
        config.read_file(s)
        config.remove_section(section_00)
        config.remove_section(section_01)
        config.remove_section(section_02)
        s.seek(0)
        config.write(s)
        s.truncate()
        
    time.sleep(1)
    #----- CREATE RELOAD SECTIONS IF THEY DO NOT EXIST -----#
    try:
        config.get(section_01, 'override')
    except:
#    except configparser.NoSectionError:
        config.add_section(section_01)   #ADD NEW SECTION
    
    #CREATE ACCOUNT SECTION IF IT DOES NOT EXIST
    try:
        config.get(section_02, 'account')
    except:
#    except configparser.NoSectionError:
        config.add_section(section_02)
        
    #CREATE TRADE DATA SECTION IF IT DOES NOT EXIST
    try:
        config.get(pc, 'tradeid')
    except:
#    except configparser.NoSectionError:
        config.add_section(pc)
    
    #----- RELOAD DEFAULT VALUES -----#
    config.set(section_01, 'override','0')
    config.set(section_01, 'reload','0')
    config.set(section_02, 'account','0')
    config.write(myfile.open('w'))

  
    #----- LOAD CEREBRO -----#
    cerebro(pc) #LOADS BT ('pc' refers to product code that is passed to BT from the parent)

***LOOP CHECKS ON INI FILE***

    while True:

#----- CONNECTION FAILURE - RELOAD -----#

        config.read(myfile)
        reload_sc = config.get(section_01,'reload')

        if reload_sc == 'SHUTDOWN': #IF INI FILE SAYS 'SHUTDOWN' (WHICH IS SET BY NOTIFY_STORE), THEN...
        
            print('KILL CEREBRO')
            #use to have a kill.subprocess command in here but it seemed redundant but might be useful if running multiple instances on one machine
            time.sleep(1)
            print('RELOAD CEREBRO')
            time.sleep(2)
            cerebro(pc)

        else:
            pass

BT

***FRESH START***

def __init__():

        ini_transfer.reload_read(self) #Loads ini file

        if self.reload_sc == 'SHUTDOWN': #If reloaded set as'SHUTDOWN' then init with last values, not default
            ini_transfer.read_restart_data(self) 
        else:
            vars(self) #This is just a method contain a group of variables

SAMPLE CODE FROM INI_TRANSFER

    def read_restart_data(self):
        args = parse_args()
        config = configparser.ConfigParser()
        home = os.path.expanduser('~')
        myfile = Path(home + '/00_config/' + args.data0 + '.ini')
        config.read(myfile) #path of your .ini file
        
        self.tradeid = config.get(args.data0,'tradeid')
        self.position_size = float(config.get(args.data0,'position_size'))
        self.freezebar = float(config.get(args.data0,'freezebar'))
        self.enter_price = float(config.get(args.data0,'enter_price'))
        self.retracement = float(config.get(args.data0,'retracement'))
        self.hitstoploss = int(config.get(args.data0,'hitstoploss'))
        self.high_2 = float(config.get(args.data0,'high_2'))
        self.low_2 = float(config.get(args.data0,'low_2'))
        self.high_3 = float(config.get(args.data0,'high_3'))
        self.pos_long = int(config.get(args.data0,'pos_long'))
        self.pos_short = int(config.get(args.data0,'pos_short'))
        self.stop_position = float(config.get(args.data0,'stop_position'))
        self.trend_backflip = float(config.get(args.data0,'trend_backflip'))
        self.trend_exit_trigger = float(config.get(args.data0,'trend_exit_trigger'))
        self.false_signal = float(config.get(args.data0,'false_signal'))
        self.RTH = int(config.get(args.data0,'RTH'))
        self.trend_exit_price = float(config.get(args.data0,'trend_exit_price'))
        self.break_out_long = float(config.get(args.data0,'break_out_long'))
        self.break_out_short = float(config.get(args.data0,'break_out_short'))

Perhaps some of this might assist you with new ideas to tackle your problem.

Also appreciate if anyone has ideas on how to improve or simplify this?

Not being from a coding background, I am making this up as I go. No doubt there are more efficient ways of achieving some of the things I am doing.