Live Trading Multiple Instruments using IB Data Feeds
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Hello everyone,
I am able to run a single strategy on a single instrument and this works smoothly, however I am unable to figure out the way to run a single strategy on multiple instruments and live trade using the TWS API. I have gone through the multiple instruments example but it uses Yahoo Finance Historical Data test strategies. Here is my code for reference :
from __future__ import (absolute_import, division, print_function, unicode_literals) import backtrader as bt class St(bt.Strategy): def __init__(self): self.orderid = list() self.order = None self.inds = dict() for i,d in enumerate(self.data): self.inds[d] = dict() self.inds[d]['macd'] = bt.indicators.MACD(d, period_me1=12,period_me2=26,period_signal=9) self.inds[d]['mcross_buy'] = bt.indicators.CrossOver(self.inds[d]['macd'].macd, self.inds[d]['macd'].signal) self.inds[d]['mcross_sell'] = bt.indicators.CrossOver(self.inds[d]['macd'].signal, self.inds[d]['macd'].macd) print('--------------------------------------------------') print('Strategy Created') print('--------------------------------------------------') def logdata(self): txt = [] txt.append('{}'.format(len(self))) print(self.data) for i,d in enumerate(self.data): txt.append('{}'.format( d.datetime.datetime(0).isoformat())) txt.append('{:.2f}'.format(d.open[0])) txt.append('{:.2f}'.format(d.high[0])) txt.append('{:.2f}'.format(d.low[0])) txt.append('{:.2f}'.format(d.close[0])) txt.append('{:.2f}'.format(d.volume[0])) txt.append('{:.2f}'.format(self.inds[d]['mcross_buy'][0])) txt.append('{:.2f}'.format(self.inds[d]['mcross_sell'][0])) print(','.join(txt)) bought = 0 sold = 0 def next(self): self.logdata() if not self.data_live: return for i, d in enumerate(self.data): if(self.inds[d]['mcross_buy'][0]>0.0): self.buy(data = d) elif(self.inds[d]['mcross_buy'][0]<0.0 and not self.sold): self.sell(data = d) 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) def run(args=None): cerebro = bt.Cerebro(stdstats=False) store = bt.stores.IBStore(port=7496,clientId=100) data0 = store.getdata(dataname='TWTR', timeframe=bt.TimeFrame.Ticks) data1 = store.getdata(dataname='AMD', timeframe=bt.TimeFrame.Ticks) data2 = store.getdata(dataname='GE', timeframe=bt.TimeFrame.Ticks) cerebro.resampledata(data0, timeframe=bt.TimeFrame.Seconds, compression=10) cerebro.resampledata(data1, timeframe=bt.TimeFrame.Seconds, compression=10) cerebro.resampledata(data2, timeframe=bt.TimeFrame.Seconds, compression=10) cerebro.broker = store.getbroker() cerebro.addstrategy(St) cerebro.run() if __name__ == '__main__': run()Any help would be greatly appreciated. Thanks in advance!
P.S : I am beginner learning to use Backtrader -
What problem do you see with your current code?
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Hi,
When I run this code with TWS in the background I see the following output :Server Version: 76 TWS Time at connection:20201022 10:55:39 EST -------------------------------------------------- Strategy Created -------------------------------------------------- ***** DATA NOTIF: DELAYED ***** DATA NOTIF: DISCONNECTED ***** DATA NOTIF: DISCONNECTED ***** DATA NOTIF: LIVEI cannot see the data being printed or the strategy being executed. I have tried to execute my strategy with a single instrument and it worked well! Thanks in advance!
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And where are you initializing the data feeds?
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@chewbacca The store is defined under run(args=None). The data feeds are also right below where the store is defined
