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.