Hi guys,
I am writing code to automate my strategy in interactive brokers.
IBPy seems to have the feature to get 5 level depth, but there doesn't seem to be anything on backtrader documentation regarding that - getting best bid/ask, best bid+1/ask+1, etc., if I want to slice orders and place orders at x lots per level.
Can someone help with this?
@run-out I went through the ib-api docs. Nothing there signifies that we can't use two different timeframe data from within backtrader. I am able to do this in ib-insync, but not in backtrader.
@vladisld It was quite useful. Thank you.
Also, have you had a usecase where you're having data resampled to different timeframes (like you want to get 15m bar of futures and only 5m bar of options for entry based on futures) work?
When I keep all the datafeeds at 5s snapshot, i am receiving data.
But if I keep few feeds at 1s snapshot and few at 5s, I am not receiving any data at all.
Have you faced this?
Hi,
I have a usecase.
I noticed that index data values are wrong if requested as 1-second snapshot. So, I need to use 5-second real time bars on index values.
I use the index values to calculate the option strike price to be traded. I also use the futures levels in the mix for monitoring exit opportunities.
So, I want to use 5s real time bars for index, but tick-by-tick update or 1s snapshot update for futures and options.
I tried this with the backtrader code and when I keep all the data as 5-second real time bars, I am able to receive data.
But when I keep the index data as 5s bar and futures/options as tick-updates resampled to 1 second snapshot, (of course the 1s resampled data feeds added first and then the 5s rtb added), I receive no data.
Is this something inherent to interactive brokers?
Hi guys,
I am writing code to automate my strategy in interactive brokers.
IBPy seems to have the feature to get 5 level depth, but there doesn't seem to be anything on backtrader documentation regarding that - getting best bid/ask, best bid+1/ask+1, etc., if I want to slice orders and place orders at x lots per level.
Can someone help with this?
I want to fetch the 5 level depth - from best bid/offer or at least the best bid and offer at any given instance for a particular instrument.
How do I achieve this within ibpy backtrader for interactive brokers?