3. FA (Financial Advisor, IB) setup in Backtrader
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FA (Financial Advisor, IB) setup in Backtrader

  • M

    New to Python as well as algo world, but learning and trying.

    Tested my FA paper trading account and it works fine. It is rather easy!
    However, I am getting small error in the commission report, I guess. This could be easy for coding experts. Please take a look at the error and I appreciate if someone can help.

    Data0, 0829, 736705.5020833333, 2018-01-11T12:03:00.000000, 133.323, 133.323, 133.299, 133.304, -1.0, 0, 133.3172
Data0, 0830, 736705.5027777777, 2018-01-11T12:04:00.000000, 133.304, 133.313, 133.3, 133.304, -1.0, 0, 133.3152
***** DATA NOTIF: LIVE
Data0, 0831, 736705.5034722222, 2018-01-11T12:05:00.000000, 133.299, 133.3, 133.292, 133.292, 0.0, 0, 133.3102
11-Jan-18 20:05:01 ERROR     Exception in message dispatch.  Handler 'commissionReport' for 'commissionReport'
Traceback (most recent call last):
  File "/home/mani/backtrader-live/lib/python3.5/site-packages/ib/opt/dispatcher.py", line 44, in __call__
    results.append(listener(message))
  File "/home/mani/backtrader-live/lib/python3.5/site-packages/backtrader/stores/ibstore.py", line 1298, in commissionReport
    self.broker.push_commissionreport(msg.commissionReport)
  File "/home/mani/backtrader-live/lib/python3.5/site-packages/backtrader/brokers/ibbroker.py", line 490, in push_commissionreport
    ostatus = self.ordstatus[oid].pop(ex.m_cumQty)
KeyError: 200000
11-Jan-18 20:05:01 ERROR     Exception in message dispatch.  Handler 'commissionReport' for 'commissionReport'
Traceback (most recent call last):
  File "/home/mani/backtrader-live/lib/python3.5/site-packages/ib/opt/dispatcher.py", line 44, in __call__
    results.append(listener(message))
  File "/home/mani/backtrader-live/lib/python3.5/site-packages/backtrader/stores/ibstore.py", line 1298, in commissionReport
    self.broker.push_commissionreport(msg.commissionReport)
  File "/home/mani/backtrader-live/lib/python3.5/site-packages/backtrader/brokers/ibbroker.py", line 490, in push_commissionreport
    ostatus = self.ordstatus[oid].pop(ex.m_cumQty)
KeyError: 200000
11-Jan-18 20:05:01 ERROR     Exception in message dispatch.  Handler 'commissionReport' for 'commissionReport'
Traceback (most recent call last):
  File "/home/mani/backtrader-live/lib/python3.5/site-packages/ib/opt/dispatcher.py", line 44, in __call__
    results.append(listener(message))
  File "/home/mani/backtrader-live/lib/python3.5/site-packages/backtrader/stores/ibstore.py", line 1298, in commissionReport
    self.broker.push_commissionreport(msg.commissionReport)
  File "/home/mani/backtrader-live/lib/python3.5/site-packages/backtrader/brokers/ibbroker.py", line 490, in push_commissionreport
    ostatus = self.ordstatus[oid].pop(ex.m_cumQty)
KeyError: 200000
***** STORE NOTIF: The current calculated position and the position reported by the broker do not match. Operation can continue, but the trades calculated in the strategy may be wrong
-------------------------------------------------- ORDER BEGIN 2018-01-11 20:06:01.489278
Ref: 1
OrdType: 0
OrdType: Buy
Status: 1
Status: Submitted
Size: 200000
Price: 119.96
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: <backtrader.brokers.ibbroker.IBCommInfo object at 0x7f8ab21ddfd0>
End of Session: 736705.9999999999
Info: AutoOrderedDict()
Broker: <backtrader.brokers.ibbroker.IBBroker object at 0x7f8ab32325c0>
Alive: True
Ref: 1
orderId: 1
Action: BUY
Size (ib): 200000
Lmt Price: 0.0
Aux Price: 0.0
OrderType: MKT
Tif (Time in Force): GTC
GoodTillDate: 
-------------------------------------------------- ORDER END
-------------------------------------------------- ORDER BEGIN 2018-01-11 20:06:01.490557
Ref: 1
OrdType: 0
OrdType: Buy
Status: 4
Status: Completed
Size: 200000
Price: 119.96
Price Limit: None
TrailAmount: None
TrailPercent: None
ExecType: 0
ExecType: Market
CommInfo: <backtrader.brokers.ibbroker.IBCommInfo object at 0x7f8ab21ddfd0>
End of Session: 736705.9999999999
Info: AutoOrderedDict()
Broker: <backtrader.brokers.ibbroker.IBBroker object at 0x7f8ab32325c0>
Alive: False
Ref: 1
orderId: 1
Action: BUY
Size (ib): 200000
Lmt Price: 0.0
Aux Price: 0.0
OrderType: MKT
Tif (Time in Force): GTC
GoodTillDate: 
-------------------------------------------------- ORDER END
-------------------------------------------------- TRADE BEGIN 2018-01-11 20:06:01.492264
ref:1
data:<backtrader.feeds.ibdata.IBData object at 0x7f8ab322bcf8>
tradeid:0
size:200000
price:133.295
value:26658999.999999996
commission:4.784887
pnl:0.0
pnlcomm:0.0
justopened:True
isopen:True
isclosed:False
baropen:831
dtopen:736705.5034722222
barclose:0
dtclose:0.0
barlen:0
historyon:False
history:[]
status:1
-------------------------------------------------- TRADE END
Data0, 0832, 736705.5041666667, 2018-01-11T12:06:00.000000, 133.291, 133.324, 133.289, 133.315, 0.0, 0, 133.3076
Data0, 0833, 736705.504861111, 2018-01-11T12:07:00.000000, 133.314, 133.325, 133.307, 133.317, 0.0, 0, 133.3064

    Further test shows this error is produced if a single order sent to a FA group or FA profile, where it will be allocated or sliced according to the setup in TWS. That group or profile contains two or more sub accounts. However, there is no error when an order is sent specifically to a single account. I understand the code are meant for single account only, but I believe since backtrader is able to support FA account structure, such errors can be corrected.

    0
  • B
    administrators

    Let me be blunt about this: as a Financial Advisor you can consider funding the development of such FA account support.

    1
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