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    Interactive brokers data feed return strange (wrong?) data with two assets

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    • MislavSag
      MislavSag last edited by

      Hi,

      I am using Interactive brokers data feeds. I use two assets in my strategy: SPY and VIX. I am trying to figure out how to make interactive brokers work with 2 two data lines. For the beginning, here is the simple code which print out 5 min data for VIX and SPY :

      import backtrader as bt
import datetime


class MyStrategy(bt.Strategy):
    def log(self, txt, dt=None, doprint=False):
        if doprint:
            dt = dt or self.datas[0].datetime.datetime(0)
            print('%s, %s' % (dt.isoformat(), txt))
    
    def next(self):
        self.log(f'VIX {self.datas[0].close[0]}', doprint=True)
        self.log(f'SPY {self.datas[1].close[0]}', doprint=True)
        


cerebro = bt.Cerebro()

cerebro.addstrategy(MyStrategy)

store=bt.stores.IBStore(host="127.0.0.1", port=7496, clientId=77)

stockkwargs = dict(
    timeframe=bt.TimeFrame.Minutes,
    historical=True,
    fromdate=datetime.datetime(2020, 10, 26),
    todate=datetime.datetime(2020, 10, 27),
    compression=1
)

data0 = store.getdata(dataname="SPY-STK-SMART-USD", **stockkwargs)
data1 = store.getdata(dataname='VIX-IND-CBOE-USD', **stockkwargs)
cerebro.resampledata(data1, timeframe=bt.TimeFrame.Minutes, compression=5)
cerebro.resampledata(data0, timeframe=bt.TimeFrame.Minutes, compression=5)


cerebro.run()

      Here are the logs:

      (base) PS C:\Users\Mislav\Documents\GitHub\trademl\trademl\algos> python .\variance_backcusum.py
Server Version: 76
TWS Time at connection:20201202 11:33:20 CET
2020-10-26T03:00:00, VIX 30.0
2020-10-26T03:00:00, SPY 341.4
2020-10-26T03:05:00, VIX 29.94
2020-10-26T03:05:00, SPY 341.74
2020-10-26T03:10:00, VIX 29.93
2020-10-26T03:10:00, SPY 341.81
2020-10-26T03:15:00, VIX 29.95
2020-10-26T03:15:00, SPY 341.86
2020-10-26T03:20:00, VIX 30.03
2020-10-26T03:20:00, SPY 341.6
2020-10-26T03:25:00, VIX 30.05
2020-10-26T03:25:00, SPY 341.61
2020-10-26T03:30:00, VIX 30.08
2020-10-26T03:30:00, SPY 341.46
2020-10-26T03:35:00, VIX 30.04
2020-10-26T03:35:00, SPY 341.81
2020-10-26T03:40:00, VIX 30.03
2020-10-26T03:40:00, SPY 341.83
2020-10-26T03:45:00, VIX 29.92
2020-10-26T03:45:00, SPY 341.91
2020-10-26T03:50:00, VIX 29.91
2020-10-26T03:50:00, SPY 341.96
2020-10-26T03:55:00, VIX 29.9
2020-10-26T03:55:00, SPY 341.91
2020-10-26T04:00:00, VIX 29.89
2020-10-26T04:00:00, SPY 341.94
2020-10-26T04:05:00, VIX 29.84
2020-10-26T04:05:00, SPY 342.09
2020-10-26T04:10:00, VIX 29.85
2020-10-26T04:10:00, SPY 342.06
2020-10-26T04:15:00, VIX 29.82
2020-10-26T04:15:00, SPY 342.06
2020-10-26T04:20:00, VIX 29.78
2020-10-26T04:20:00, SPY 342.05
2020-10-26T04:25:00, VIX 29.82
2020-10-26T04:25:00, SPY 342.09
2020-10-26T04:30:00, VIX 29.83
2020-10-26T04:30:00, SPY 342.07
2020-10-26T04:35:00, VIX 29.86
2020-10-26T04:35:00, SPY 341.96
2020-10-26T04:40:00, VIX 29.92
2020-10-26T04:40:00, SPY 341.96
2020-10-26T04:45:00, VIX 29.96
2020-10-26T04:45:00, SPY 341.7
2020-10-26T04:50:00, VIX 29.98
2020-10-26T04:50:00, SPY 341.69
2020-10-26T04:55:00, VIX 29.94
2020-10-26T04:55:00, SPY 341.86
2020-10-26T05:00:00, VIX 30.03
2020-10-26T05:00:00, SPY 341.86
2020-10-26T05:05:00, VIX 30.0
2020-10-26T05:05:00, SPY 341.67
2020-10-26T05:10:00, VIX 29.93
2020-10-26T05:10:00, SPY 341.87
2020-10-26T05:15:00, VIX 29.9
2020-10-26T05:15:00, SPY 341.9
2020-10-26T05:20:00, VIX 29.84
2020-10-26T05:20:00, SPY 342.0
2020-10-26T05:25:00, VIX 29.83
2020-10-26T05:25:00, SPY 342.0
2020-10-26T05:30:00, VIX 29.84
2020-10-26T05:30:00, SPY 341.9
2020-10-26T05:35:00, VIX 29.82
2020-10-26T05:35:00, SPY 341.99
2020-10-26T05:40:00, VIX 29.83
2020-10-26T05:40:00, SPY 341.8
2020-10-26T05:45:00, VIX 29.84
2020-10-26T05:45:00, SPY 341.85
2020-10-26T05:50:00, VIX 29.81
2020-10-26T05:50:00, SPY 341.95
2020-10-26T05:55:00, VIX 29.77
2020-10-26T05:55:00, SPY 342.02
2020-10-26T06:00:00, VIX 29.69
2020-10-26T06:00:00, SPY 342.35
2020-10-26T06:05:00, VIX 29.6
2020-10-26T06:05:00, SPY 342.31
2020-10-26T06:10:00, VIX 29.62
2020-10-26T06:10:00, SPY 342.36
2020-10-26T06:15:00, VIX 29.64
2020-10-26T06:15:00, SPY 342.3
2020-10-26T06:20:00, VIX 29.71
2020-10-26T06:20:00, SPY 342.16
2020-10-26T06:25:00, VIX 29.71
2020-10-26T06:25:00, SPY 342.17
2020-10-26T06:30:00, VIX 29.72
2020-10-26T06:30:00, SPY 342.11
2020-10-26T06:35:00, VIX 29.63
2020-10-26T06:35:00, SPY 342.24
2020-10-26T06:40:00, VIX 29.66
2020-10-26T06:40:00, SPY 342.1
2020-10-26T06:45:00, VIX 29.68
2020-10-26T06:45:00, SPY 342.04
2020-10-26T06:50:00, VIX 29.77
2020-10-26T06:50:00, SPY 341.78
2020-10-26T06:55:00, VIX 29.84
2020-10-26T06:55:00, SPY 341.76
2020-10-26T07:00:00, VIX 29.84
2020-10-26T07:00:00, SPY 341.67
2020-10-26T07:05:00, VIX 29.91
2020-10-26T07:05:00, SPY 341.7
2020-10-26T07:10:00, VIX 29.98
2020-10-26T07:10:00, SPY 341.5
2020-10-26T07:15:00, VIX 29.99
2020-10-26T07:15:00, SPY 341.65
2020-10-26T07:20:00, VIX 29.93
2020-10-26T07:20:00, SPY 341.52
2020-10-26T07:25:00, VIX 29.89
2020-10-26T07:25:00, SPY 341.81
2020-10-26T07:30:00, VIX 29.84
2020-10-26T07:30:00, SPY 341.82
2020-10-26T07:35:00, VIX 29.84
2020-10-26T07:35:00, SPY 341.74
2020-10-26T07:40:00, VIX 29.9
2020-10-26T07:40:00, SPY 341.63
2020-10-26T07:45:00, VIX 29.93
2020-10-26T07:45:00, SPY 341.56
2020-10-26T07:50:00, VIX 29.96
2020-10-26T07:50:00, SPY 341.47
2020-10-26T07:55:00, VIX 29.93
2020-10-26T07:55:00, SPY 341.65
2020-10-26T08:00:00, VIX 29.9
2020-10-26T08:00:00, SPY 341.73
2020-10-26T08:05:00, VIX 29.87
2020-10-26T08:05:00, SPY 341.77
2020-10-26T08:10:00, VIX 29.74
2020-10-26T08:10:00, SPY 342.0
2020-10-26T08:10:00, VIX 29.74
2020-10-26T08:10:00, SPY 342.11
2020-10-26T08:10:00, VIX 29.74
2020-10-26T08:10:00, SPY 342.06
2020-10-26T08:10:00, VIX 29.74
2020-10-26T08:10:00, SPY 342.11
2020-10-26T08:30:00, VIX 29.35
2020-10-26T08:30:00, SPY 342.37
2020-10-26T08:35:00, VIX 29.41
2020-10-26T08:35:00, SPY 342.57
2020-10-26T08:40:00, VIX 29.54
2020-10-26T08:40:00, SPY 342.1
2020-10-26T08:45:00, VIX 29.64
2020-10-26T08:45:00, SPY 341.96
2020-10-26T08:50:00, VIX 29.47
2020-10-26T08:50:00, SPY 342.53
2020-10-26T08:55:00, VIX 29.37
2020-10-26T08:55:00, SPY 342.53
2020-10-26T09:00:00, VIX 29.29
2020-10-26T09:00:00, SPY 342.83
2020-10-26T09:05:00, VIX 29.28
2020-10-26T09:05:00, SPY 342.8
2020-10-26T09:10:00, VIX 29.32
2020-10-26T09:10:00, SPY 342.62
2020-10-26T09:15:00, VIX 29.31
2020-10-26T09:15:00, SPY 342.67
2020-10-26T09:20:00, VIX 29.45
2020-10-26T09:20:00, SPY 342.36
2020-10-26T09:25:00, VIX 29.82
2020-10-26T09:25:00, SPY 341.58
2020-10-26T09:30:00, VIX 30.17
2020-10-26T09:30:00, SPY 340.99
2020-10-26T09:35:00, VIX 30.19
2020-10-26T09:35:00, SPY 340.99
2020-10-26T09:40:00, VIX 30.19
2020-10-26T09:40:00, SPY 340.96
2020-10-26T09:45:00, VIX 30.49
2020-10-26T09:45:00, SPY 340.25
2020-10-26T09:50:00, VIX 30.63
2020-10-26T09:50:00, SPY 339.97
2020-10-26T09:55:00, VIX 30.96
2020-10-26T09:55:00, SPY 339.65
2020-10-26T10:00:00, VIX 31.42
2020-10-26T10:00:00, SPY 339.08
2020-10-26T10:05:00, VIX 31.38
2020-10-26T10:05:00, SPY 339.04
2020-10-26T10:10:00, VIX 31.09
2020-10-26T10:10:00, SPY 339.34
2020-10-26T10:15:00, VIX 31.81
2020-10-26T10:15:00, SPY 338.24
2020-10-26T10:20:00, VIX 31.43
2020-10-26T10:20:00, SPY 338.81
2020-10-26T10:25:00, VIX 31.41
2020-10-26T10:25:00, SPY 338.8
2020-10-26T10:30:00, VIX 31.74
2020-10-26T10:30:00, SPY 338.02
2020-10-26T10:35:00, VIX 31.46
2020-10-26T10:35:00, SPY 338.73
2020-10-26T10:40:00, VIX 31.54
2020-10-26T10:40:00, SPY 338.65
2020-10-26T10:45:00, VIX 31.37
2020-10-26T10:45:00, SPY 338.85
2020-10-26T10:50:00, VIX 31.33
2020-10-26T10:50:00, SPY 338.97
2020-10-26T10:55:00, VIX 31.37
2020-10-26T10:55:00, SPY 338.63
2020-10-26T11:00:00, VIX 31.52
2020-10-26T11:00:00, SPY 338.71
2020-10-26T11:05:00, VIX 31.61
2020-10-26T11:05:00, SPY 338.54
2020-10-26T11:10:00, VIX 31.59
2020-10-26T11:10:00, SPY 338.46
2020-10-26T11:15:00, VIX 31.51
2020-10-26T11:15:00, SPY 338.74
2020-10-26T11:20:00, VIX 31.48
2020-10-26T11:20:00, SPY 338.62
2020-10-26T11:25:00, VIX 31.44
2020-10-26T11:25:00, SPY 338.63
2020-10-26T11:30:00, VIX 31.94
2020-10-26T11:30:00, SPY 337.75
2020-10-26T11:35:00, VIX 31.94
2020-10-26T11:35:00, SPY 337.66
2020-10-26T11:40:00, VIX 31.9
2020-10-26T11:40:00, SPY 337.66
2020-10-26T11:45:00, VIX 32.02
2020-10-26T11:45:00, SPY 337.37
2020-10-26T11:50:00, VIX 32.14
2020-10-26T11:50:00, SPY 337.44
2020-10-26T11:55:00, VIX 32.26
2020-10-26T11:55:00, SPY 337.5
2020-10-26T12:00:00, VIX 32.3
2020-10-26T12:00:00, SPY 337.47
2020-10-26T12:05:00, VIX 32.34
2020-10-26T12:05:00, SPY 337.45
2020-10-26T12:10:00, VIX 32.25
2020-10-26T12:10:00, SPY 337.27
2020-10-26T12:15:00, VIX 32.55
2020-10-26T12:15:00, SPY 336.72
2020-10-26T12:20:00, VIX 32.76
2020-10-26T12:20:00, SPY 336.44
2020-10-26T12:25:00, VIX 32.91
2020-10-26T12:25:00, SPY 336.2
2020-10-26T12:30:00, VIX 33.4
2020-10-26T12:30:00, SPY 335.75
2020-10-26T12:35:00, VIX 32.78
2020-10-26T12:35:00, SPY 336.39
2020-10-26T12:40:00, VIX 32.91
2020-10-26T12:40:00, SPY 336.4
2020-10-26T12:45:00, VIX 32.88
2020-10-26T12:45:00, SPY 336.79
2020-10-26T12:50:00, VIX 32.48
2020-10-26T12:50:00, SPY 337.15
2020-10-26T12:55:00, VIX 32.42
2020-10-26T12:55:00, SPY 337.39
2020-10-26T13:00:00, VIX 32.43
2020-10-26T13:00:00, SPY 337.53
2020-10-26T13:05:00, VIX 32.26
2020-10-26T13:05:00, SPY 337.84
2020-10-26T13:10:00, VIX 32.4
2020-10-26T13:10:00, SPY 337.67
2020-10-26T13:15:00, VIX 32.48
2020-10-26T13:15:00, SPY 337.92
2020-10-26T13:20:00, VIX 32.56
2020-10-26T13:20:00, SPY 337.89
2020-10-26T13:25:00, VIX 32.14
2020-10-26T13:25:00, SPY 338.59
2020-10-26T13:30:00, VIX 32.13
2020-10-26T13:30:00, SPY 338.37
2020-10-26T13:35:00, VIX 32.46
2020-10-26T13:35:00, SPY 338.08
2020-10-26T13:40:00, VIX 32.55
2020-10-26T13:40:00, SPY 338.14
2020-10-26T13:45:00, VIX 32.93
2020-10-26T13:45:00, SPY 337.71
2020-10-26T13:50:00, VIX 32.83
2020-10-26T13:50:00, SPY 338.1
2020-10-26T13:55:00, VIX 32.88
2020-10-26T13:55:00, SPY 338.18
2020-10-26T14:00:00, VIX 33.08
2020-10-26T14:00:00, SPY 338.05
2020-10-26T14:05:00, VIX 33.4
2020-10-26T14:05:00, SPY 337.75
2020-10-26T14:10:00, VIX 33.65
2020-10-26T14:10:00, SPY 337.52
2020-10-26T14:15:00, VIX 33.42
2020-10-26T14:15:00, SPY 337.73
2020-10-26T14:20:00, VIX 32.9
2020-10-26T14:20:00, SPY 338.15
2020-10-26T14:25:00, VIX 32.85
2020-10-26T14:25:00, SPY 338.37
2020-10-26T14:30:00, VIX 32.78
2020-10-26T14:30:00, SPY 338.62
2020-10-26T14:35:00, VIX 32.9
2020-10-26T14:35:00, SPY 338.42
2020-10-26T14:40:00, VIX 32.88
2020-10-26T14:40:00, SPY 338.3
2020-10-26T14:45:00, VIX 33.21
2020-10-26T14:45:00, SPY 337.5
2020-10-26T14:50:00, VIX 33.01
2020-10-26T14:50:00, SPY 338.21
2020-10-26T14:55:00, VIX 32.56
2020-10-26T14:55:00, SPY 339.41
2020-10-26T15:00:00, VIX 32.28
2020-10-26T15:00:00, SPY 339.46
2020-10-26T15:05:00, VIX 32.38
2020-10-26T15:05:00, SPY 339.65
2020-10-26T15:10:00, VIX 32.46
2020-10-26T15:10:00, SPY 339.5

      As you can see first vix changes, but than it become constant. On the other hand SPY changes all the time. I am confused about this data, becuase, when I use ib_insync package I get different data for two series:

      from ib_insync import *
import datetime
import pandas as pd
util.startLoop()  # uncomment this line when in a notebook

ib = IB()
ib.connect('127.0.0.1', 7496, clientId=90)
contract_vix = Index(symbol='VIX', exchange='CBOE', localSymbol='VIX', currency='USD')
contract_spy = Stock(symbol='SPY', exchange='SMART', currency='USD')

vix = ib.reqHistoricalData(
    contract_vix,
    endDateTime=datetime.datetime(2020, 10, 27),
    durationStr='1 D',
    barSizeSetting='5 mins',
    whatToShow='TRADES',
    useRTH=True,
    formatDate=1
)
vix = util.df(vix)
vix = vix.add_prefix('vix_')
spy = ib.reqHistoricalData(
    contract_spy,
    endDateTime=datetime.datetime(2020, 10, 27),
    durationStr='1 D',
    barSizeSetting='5 mins',
    whatToShow='TRADES',
    useRTH=True,
    formatDate=1
)
spy = util.df(spy)

spy_vix = pd.concat([spy, vix], axis=1).dropna()
spy_vix = spy_vix[['date', 'close', 'vix_close']]
spy_vix.head(50)
spy_vix.tail(10)

ib.disconnect()

      As you can see, there is a difference between VIX and SPY match.

      For exmaple in logs, VIX around 30 all the time, while in the 'ib_insync data', it is around 29

      1 ) **Why backtrader shows different data than the one imported with **
      2) If you try to run this backtest you can see it never ends. It ends only I add option oldsync=True, which change the joint data too.

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