Live Trading Multiple Instruments using IB Data Feeds

shanka19

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

vladisld

What problem do you see with your current code?

shanka19

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: LIVE

I 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!

chewbacca

And where are you initializing the data feeds?

shanka19

@chewbacca The store is defined under run(args=None). The data feeds are also right below where the store is defined