IG Store: Store Development.

ThatBlokeDave

Hello All,
A long time ago I asked a question about how to integrate our broker of preference. I am personally interested in integrating IG markets for spread betting and CFD's.

https://community.backtrader.com/topic/459/store-development

I finally found some time this week to have a crack at it and have made a small milestone with basic data streaming. I thought it might be worth sharing should others be looking at doing a similar thing. The code and a sample script are available on Github.

https://github.com/Dave-Vallance/bt-ig-store

Comments and collaboration welcome if anyone else is interested in live trading with IG.

ThatBlokeDave

I am moving at a glacial pace on this side project but I have a couple of new miles-stones that I think are worth mentioning here. I see some others are interested in store development so maybe we can help each other out in understanding the inner workings. If you have any questions I am happy to share more (potentially wrong) knowledge. :)

Current Status

Streaming (Integrated the trading_ig streamer into the store and created an IG data feed to load the ticks)
New: IG Broker: Performs the open position check when initialized to track existing positions
New: Opening and closing of simple Market orders using the self.buy() and self.close() is now supported.
New: Set IG currency code as a store initialization parameter (Default GBP).

Still a very dirty development with lots of Oandastore methods that may or may not be needed. My aim is to only keep what is needed but am I not familiar enough with the inner workings yet. Will clean up as I learn more.

Known Issues

On my MAC i get a 'fund mode' attribute error from the broker observer when running cerebro. Oddly enough on my Windows work machine, this does not happen. If you try to run the store and get a similar error, cerebro needs to be initialized with stdstats=false for now until I fix it.

ThatBlokeDave

New update today: Slow but steady progress

Current Status

Basic instrument streaming
Performs the open position check when initialized to track existing positions
Opening and closing of simple Market orders using the self.buy() and self.close() is now supported.
Set IG currency code as a store initialization parameter (Default GBP).
New: Stop order creation and cancellation supported.
New: Limit order creation and cancellation supported.
New: expiry, guaranteed_stop, time_in_force, and good_till_date parameters
can now all be passed as key word arguments during order creation and handled
appropriately. Defaults are used where no kwarg is passed.

New Issue

_Value for header {Version: 2} must be of type str or bytes, not <class 'int'>_

If you see it, you should make sure you have the latest trading_ig module code which this store relies upon.

ThatBlokeDave

New Update Today:

Current Functionality

Basic instrument streaming
Performs the open position check when initialized to track existing positions
Opening and closing of simple Market orders using the self.buy() and self.close() is now supported.
Set IG currency code as a store initialization parameter (Default GBP).
Stop order creation and cancellation supported.
Limit order creation and cancellation supported.
expiry, guaranteed_stop, time_in_force, and good_till_date parameters
New: Improved streamer setup. Can use the same streamer for multiple get_instruments rather than creating multiple streamers
New: Manual pull of cash and value
New: Account cash and value live streaming
FIX: Level Set during order creation caused MARKET Orders to be rejected can now all be passed as key word arguments during order creation and handled appropriately. Defaults are used where no kwarg is passed..

ThatBlokeDave

New update today.

Historical data downloading for backtesting is now supported. However for now it requires users to download my forked version of the trading_ig library until my pull request is accepted (or rejected).

Current Functionality

Basic instrument streaming
Performs the open position check when initialized to track existing positions
Opening and closing of simple Market orders using the self.buy() and self.close() is now supported.
Set IG currency code as a store initialization parameter (Default GBP).
Stop order creation and cancellation supported.
Limit order creation and cancellation supported.
expiry, guaranteed_stop, time_in_force, and good_till_date parameters
Improved streamer setup. Can use the same streamer for multiple get_instruments rather than creating multiple streamers
Manual pull of cash and value
Account cash and value live streaming
FIX: Level Set during order creation caused MARKET Orders to be rejected can now all be passed as key word * arguments during order creation and handled appropriately. Defaults are used where no kwarg is passed.
New: Historical data download for backtesting
New: Printing of remaining data download allowance (will later be updated to be a store notification, once notifications are working)
New: Sample script for historical data download testing.

ThatBlokeDave

New update today... A bit smaller in size this time

As mentioned last time, if you want to work with historical data, my pull request is still pending. Therefore you should use my forked version of the trading_ig library until then.

Changes

New: Store and Data notifications tested and working
New: Samples updated to print Store and Data notifications
New: Updated granualarity check to only make the check if Backfilling, Historical or Backfill_Start are required. This allows you to work with any timeframe using tick data for live trading only.

NOTE: Backfilling and Backfill_Start are not yet supported. The check mentioned above is in preparation for those features being supported. Historical data download is supported.

Current Functionality

Basic instrument streaming
Performs the open position check when initialized to track existing positions
Opening and closing of simple Market orders using the self.buy() and self.close() is now supported.
Set IG currency code as a store initialization parameter (Default GBP).
Stop order creation and cancellation supported.
Limit order creation and cancellation supported.
expiry, guaranteed_stop, time_in_force, and good_till_date parameters
Improved streamer setup. Can use the same streamer for multiple get_instruments rather than creating multiple streamers
Manual pull of cash and value
Account cash and value live streaming
FIX: Level Set during order creation caused MARKET Orders to be rejected can now all be passed as key word * arguments during order creation and handled appropriately. Defaults are used where no kwarg is passed.
Historical data download for backtesting
Printing of remaining data download allowance
Sample script for historical data download testing.

ThatBlokeDave

New Update:

Not had much time lately, so just another small one.

Changes

New: Backfilling from start now supported
New: Parameter backfill_bars allows you to set how many bars to backfill from the start. Since the IG api places restrictions on the number of historical data points a user can download per week, this parameter allows a user to limit the amount of historical data downloaded to only the required amount.

Current Functionality

Basic instrument streaming
Performs the open position check when initialized to track existing positions
Opening and closing of simple Market orders using the self.buy() and self.close() is now supported.
Set IG currency code as a store initialization parameter (Default GBP).
Stop order creation and cancellation supported.
Limit order creation and cancellation supported.
expiry, guaranteed_stop, time_in_force, and good_till_date parameters
Improved streamer setup. Can use the same streamer for multiple get_instruments rather than creating multiple streamers
Manual pull of cash and value
Account cash and value live streaming
FIX: Level Set during order creation caused MARKET Orders to be rejected can now all be passed as keyword * arguments during order creation and handled appropriately. Defaults are used where no kwarg is passed.
Historical data download for backtesting
Printing of remaining data download allowance
Sample script for historical data download testing.
Backfilling from start

QuantTrader

Hello Dave,

Well done. Thanks a lot for your codes. May I know if u have a plan to add trading into the development?

Thanks,
Vincent