@Atul-Patel were you able to get this done for IEX data? How did it compare to IB data feed? Did you find any issues with BT resampling for indicators as values are off like mentioned in my others posts.
Any updates on alternate and reliable data feed for Backtrader would be very much appreciated
Thanks
Yes, it's entering the code block, I could see the two prints in BT logs, however resubscribe is not happening. If you see Ib TWS logs below, SPY data is missing after the burst. Only option data is being received. Before burst happened you can see SPY data 50-3-16777217-1600880190-328.54-328.58-328.53-328.57-81-328.56-54-
elif msg == -10225: # Bust event occurred, current subscription is deactivated.
print("*" * 50 + "In feeds/ibdata.py")
self._subcription_valid = False
if not self._statelivereconn:
print("feeds/ibdata.py --- in If")
self._statelivereconn = self.p.backfill
self.reqdata() # resubscribe
continue
22:26:14:488 -> 50-3-16777217-1600880170-328.55-328.57-328.55-328.56-26-328.56-13-
22:26:19:485 -> 50-3-16777221-1600880175-0.61-0.63-0.61-0.63-30-0.62-3-
22:26:19:485 -> 50-3-16777219-1600880175-1.82-1.82-1.82-1.82-0-1.82-0-
22:26:19:485 -> 50-3-16777217-1600880175-328.59-328.65-328.55-328.56-326-328.60-167-
22:26:24:486 -> 50-3-16777221-1600880180-0.64-0.64-0.64-0.64-50-0.64-1-
22:26:24:487 -> 50-3-16777219-1600880180-1.82-1.82-1.82-1.82-0-1.82-0-
22:26:24:843 -> 50-3-16777217-1600880180-328.56-328.56-328.54-328.55-111-328.56-69-
22:26:29:486 -> 50-3-16777221-1600880185-0.64-0.64-0.64-0.64-0-0.64-0-
22:26:29:486 -> 50-3-16777219-1600880185-1.82-1.82-1.82-1.82-0-1.82-0-
22:26:30:184 -> 50-3-16777217-1600880185-328.55-328.56-328.53-328.56-119-328.55-75-
22:26:32:762 -> 50-3-16777217-1600880185-328.55-328.56-328.53-328.56-119-328.55-75-
22:26:34:491 -> 50-3-16777221-1600880190-0.65-0.66-0.65-0.66-11-0.65-3-
22:26:34:493 -> 50-3-16777219-1600880190-1.82-1.82-1.82-1.82-0-1.82-0-
22:26:35:313 -> 50-3-16777217-1600880190-328.54-328.58-328.53-328.57-81-328.56-54-
22:26:39:715 -> 50-3-16777221-1600880195-0.66-0.66-0.66-0.66-0-0.66-0-
22:26:39:715 -> 50-3-16777219-1600880195-1.82-1.82-1.82-1.82-0-1.82-0-
22:26:44:927 -> 50-3-16777221-1600880200-0.64-0.67-0.64-0.67-14-0.65-3-
22:26:44:928 -> 50-3-16777219-1600880200-1.82-1.82-1.82-1.82-0-1.82-0-
22:26:45:692 -> 4-2-16777217-10225-Bust event occurred, current subscription is deactivated. Please resubscribe real-time bars immediately.-
22:26:46:154 <- 49-1-
22:26:46:154 -> 49-1-1600880206-
22:26:49:943 -> 50-3-16777221-1600880205-0.67-0.67-0.67-0.67-0-0.67-0-
22:26:49:944 -> 50-3-16777219-1600880205-1.82-1.82-1.82-1.82-0-1.82-0-
22:26:54:927 -> 50-3-16777221-1600880210-0.67-0.67-0.67-0.67-0-0.67-0-
22:26:54:928 -> 50-3-16777219-1600880210-1.82-1.82-1.82-1.82-0-1.82-0-
22:26:59:926 -> 50-3-16777221-1600880215-0.67-0.67-0.67-0.67-0-0.67-0-
22:26:59:927 -> 50-3-16777219-1600880215-1.82-1.82-1.82-1.82-0-1.82-0-
22:27:04:925 -> 50-3-16777221-1600880220-0.67-0.67-0.67-0.67-0-0.67-0-
22:27:04:926 -> 50-3-16777219-1600880220-1.82-1.82-1.82-1.82-0-1.82-0-
22:27:04:972 <- 50-2-16777228-756733-SPY-STK--0.0---SMART-ARCA-USD-SPY-SPY-5-TRADES-0-
22:27:09:936 -> 50-3-16777221-1600880225-0.65-0.67-0.65-0.67-38-0.67-5-
22:27:09:937 -> 50-3-16777219-1600880225-1.82-1.82-1.82-1.82-0-1.82-0-
22:27:14:927 -> 50-3-16777221-1600880230-0.66-0.66-0.66-0.66-21-0.66-2-
22:27:14:928 -> 50-3-16777219-1600880230-1.82-1.82-1.82-1.82-0-1.82-0-
22:27:19:931 -> 50-3-16777221-1600880235-0.66-0.66-0.66-0.66-1-0.66-1-
22:27:19:932 -> 50-3-16777219-1600880235-1.82-1.82-1.82-1.82-0-1.82-0-
22:27:22:116 -> 8-1-22:27-
22:27:22:117 -> 8-1-22:27-
22:27:22:119 -> 7-8-440547231-SPY-OPT-20200923-330-P-100-AMEX-USD-SPY 200923P00330000-SPY-0-1.76159155-0.0-0.0-0.0-15.58-DU2694397-
22:27:22:119 -> 8-1-22:27-
22:27:22:119 -> 7-8-441692001-SPY-OPT-20200923-327-C-100-AMEX-USD-SPY 200923C00327000-SPY-0-1.91999995-0.0-0.0-0.0--9.88-DU2694397-
22:27:22:119 -> 8-1-22:27-
22:27:22:119 -> 7-8-441692083-SPY-OPT-20200923-329-P-100-AMEX-USD-SPY 200923P00329000-SPY-0-1.10763205-0.0-0.0-0.0--63.37-DU2694397-
22:27:22:119 -> 8-1-22:27-
22:27:24:928 -> 50-3-16777221-1600880240-0.65-0.65-0.64-0.64-30-0.64-3-
22:27:24:928 -> 50-3-16777219-1600880240-1.91-1.94-1.91-1.93-112-1.94-3-
22:27:29:404 -> 50-3-16777221-1600880245-0.64-0.64-0.64-0.64-0-0.64-0-
22:27:29:405 -> 50-3-16777219-1600880245-1.95-1.95-1.95-1.95-1-1.95-1-
22:27:34:405 -> 50-3-16777221-1600880250-0.62-0.62-0.61-0.61-4-0.62-2-
22:27:34:406 -> 50-3-16777219-1600880250-1.95-1.95-1.95-1.95-0-1.95-0-
22:27:39:409 -> 50-3-16777221-1600880255-0.61-0.61-0.61-0.61-2-0.61-2-
22:27:39:410 -> 50-3-16777219-1600880255-1.95-1.95-1.95-1.95-0-1.95-0-
22:27:44:403 -> 50-3-16777221-1600880260-0.61-0.61-0.61-0.61-2-0.61-2-
22:27:44:404 -> 50-3-16777219-1600880260-2.00-2.00-1.98-1.98-13-1.98-3-
22:27:45:664 <- 49-1-
22:27:45:664 -> 49-1-1600880265-
22:27:49:400 -> 50-3-16777221-1600880265-0.61-0.61-0.61-0.61-15-0.61-2-
22:27:49:400 -> 50-3-16777219-1600880265-1.98-1.98-1.98-1.98-0-1.98-0-
22:27:54:405 -> 50-3-16777221-1600880270-0.62-0.62-0.62-0.62-1-0.62-1-
22:27:54:406 -> 50-3-16777219-1600880270-1.98-1.98-1.98-1.98-0-1.98-0-
22:27:59:403 -> 50-3-16777221-1600880275-0.63-0.63-0.63-0.63-29-0.63-1-
22:27:59:403 -> 50-3-16777219-1600880275-1.91-1.91-1.91-1.91-15-1.91-1-
22:28:04:400 -> 50-3-16777221-1600880280-0.66-0.66-0.64-0.64-96-0.65-3-
22:28:04:400 -> 50-3-16777219-1600880280-1.91-1.91-1.91-1.91-0-1.91-0-
22:28:09:846 -> 50-3-16777221-1600880285-0.64-0.64-0.64-0.64-3-0.64-1-
22:28:09:849 -> 50-3-16777219-1600880285-1.91-1.91-1.91-1.91-0-1.91-0-
22:28:14:844 -> 50-3-16777221-1600880290-0.64-0.64-0.64-0.64-0-0.64-0-
22:28:14:845 -> 50-3-16777219-1600880290-1.91-1.91-1.91-1.91-0-1.91-0-
22:28:19:846 -> 50-3-16777221-1600880295-0.65-0.65-0.65-0.65-50-0.65-1-
22:28:19:851 -> 50-3-16777219-1600880295-1.91-1.91-1.91-1.91-0-1.91-0-
22:28:24:844 -> 50-3-16777221-1600880300-0.65-0.65-0.65-0.65-2-0.65-1-
22:28:24:845 -> 50-3-16777219-1600880300-1.93-1.93-1.93-1.93-2-1.93-1-
22:28:29:853 -> 50-3-16777221-1600880305-0.64-0.64-0.64-0.64-88-0.64-2-
22:28:29:854 -> 50-3-16777219-1600880305-1.93-1.93-1.93-1.93-0-1.93-0-
22:28:34:847 -> 50-3-16777221-1600880310-0.64-0.64-0.64-0.64-0-0.64-0-
22:28:34:847 -> 50-3-16777219-1600880310-1.93-1.93-1.93-1.93-0-1.93-0-
22:28:39:851 -> 50-3-16777221-1600880315-0.64-0.64-0.63-0.63-6-0.64-4-
22:28:39:852 -> 50-3-16777219-1600880315-1.93-1.93-1.93-1.93-0-1.93-0-
22:28:44:845 -> 50-3-16777221-1600880320-0.63-0.63-0.63-0.63-1-0.63-1-
22:28:44:845 -> 50-3-16777219-1600880320-1.93-1.93-1.93-1.93-0-1.93-0-
22:28:46:156 <- 49-1-
22:28:46:156 -> 49-1-1600880326-
22:28:49:283 -> 50-3-16777221-1600880325-0.63-0.63-0.63-0.63-0-0.63-0-
22:28:49:284 -> 50-3-16777219-1600880325-1.94-1.94-1.93-1.93-3-1.93-2-
Hi @vladisld
Hope this is of help
21:28:05:430 -> 49-1-1600703885-
21:28:09:984 -> 50-3-16777221-1600703885-0.94-0.94-0.94-0.94-0-0.94-0-
21:28:09:984 -> 50-3-16777219-1600703885-1.14-1.14-1.11-1.11-21-1.14-3-
21:28:10:562 -> 50-3-16777217-1600703885-323.80-323.82-323.71-323.72-72-323.78-40-
21:28:14:986 -> 50-3-16777221-1600703890-0.94-0.94-0.94-0.94-0-0.94-0-
21:28:14:987 -> 50-3-16777219-1600703890-1.10-1.10-1.10-1.10-4-1.10-1-
21:28:14:987 -> 50-3-16777217-1600703890-323.70-323.73-323.68-323.68-97-323.71-45-
21:28:19:984 -> 50-3-16777221-1600703895-1.02-1.02-1.02-1.02-10-1.02-1-
21:28:19:984 -> 50-3-16777219-1600703895-1.08-1.08-1.06-1.06-11-1.07-4-
21:28:19:984 -> 50-3-16777217-1600703895-323.67-323.67-323.57-323.57-93-323.61-67-
21:28:24:987 -> 50-3-16777221-1600703900-1.02-1.02-1.02-1.02-37-1.02-1-
21:28:24:987 -> 50-3-16777219-1600703900-1.06-1.06-1.06-1.06-1-1.06-1-
21:28:25:296 -> 50-3-16777217-1600703900-323.56-323.63-323.55-323.62-59-323.60-32-
21:28:29:986 -> 50-3-16777221-1600703905-1.02-1.02-1.02-1.02-0-1.02-0-
21:28:29:986 -> 50-3-16777219-1600703905-1.05-1.05-1.05-1.05-8-1.05-1-
21:28:29:987 -> 50-3-16777217-1600703905-323.63-323.63-323.59-323.62-73-323.61-47-
21:28:34:988 -> 50-3-16777221-1600703910-1.00-1.00-1.00-1.00-1-1.00-1-
21:28:34:989 -> 50-3-16777219-1600703910-1.05-1.05-1.05-1.05-0-1.05-0-
21:28:35:239 -> 50-3-16777217-1600703910-323.62-323.68-323.62-323.65-58-323.65-39-
21:28:39:049 -> 50-3-16777221-1600703915-0.98-0.98-0.97-0.97-3-0.97-3-
21:28:39:049 -> 50-3-16777219-1600703915-1.06-1.09-1.06-1.08-7-1.07-6-
21:28:39:049 -> 50-3-16777217-1600703915-323.66-323.69-323.62-323.65-225-323.64-124-
21:28:44:053 -> 50-3-16777221-1600703920-0.98-0.98-0.98-0.98-30-0.98-2-
21:28:44:053 -> 50-3-16777219-1600703920-1.07-1.07-1.06-1.06-33-1.07-4-
21:28:44:053 -> 50-3-16777217-1600703920-323.66-323.66-323.61-323.63-85-323.63-63-
21:28:49:053 -> 50-3-16777221-1600703925-1.00-1.00-1.00-1.00-7-1.00-2-
21:28:49:053 -> 50-3-16777219-1600703925-1.06-1.06-1.03-1.05-18-1.05-4-
21:28:49:054 -> 50-3-16777217-1600703925-323.63-323.64-323.55-323.60-164-323.59-83-
21:28:54:050 -> 50-3-16777221-1600703930-1.01-1.01-1.01-1.01-1-1.01-1-
21:28:54:051 -> 50-3-16777219-1600703930-1.06-1.06-1.02-1.02-52-1.02-3-
21:28:54:693 -> 50-3-16777217-1600703930-323.61-323.61-323.54-323.55-38-323.58-26-
21:28:57:027 -> 8-1-21:28-
21:28:57:028 -> 8-1-21:28-
21:28:57:030 -> 7-8-439735807-SPY-OPT-20200921-324-C-100-AMEX-USD-SPY 200921C00324000-SPY-0-1.03776135-0.0-0.0-0.0--32.24-DU2694397-
21:28:57:030 -> 8-1-21:28-
21:28:57:030 -> 7-8-439735817-SPY-OPT-20200921-325-C-100-AMEX-USD-SPY 200921C00325000-SPY-0-0.6220638-0.0-0.0-0.0--4.04-DU2694397-
21:28:57:030 -> 8-1-21:28-
21:28:57:030 -> 7-8-439735837-SPY-OPT-20200921-326-C-100-AMEX-USD-SPY 200921C00326000-SPY-0-0.34293605-0.0-0.0-0.0--18.14-DU2694397-
21:28:57:031 -> 8-1-21:28-
21:28:57:031 -> 7-8-439735844-SPY-OPT-20200921-327-C-100-AMEX-USD-SPY 200921C00327000-SPY-0-0.1710662-0.0-0.0-0.0--7.19-DU2694397-
21:28:57:031 -> 8-1-21:28-
21:28:57:031 -> 7-8-439735861-SPY-OPT-20200921-328-C-100-AMEX-USD-SPY 200921C00328000-SPY-0-0.09-0.0-0.0-0.0--5.08-DU2694397-
21:28:57:031 -> 8-1-21:28-
21:28:57:031 -> 7-8-439736164-SPY-OPT-20200921-320-P-100-AMEX-USD-SPY 200921P00320000-SPY-0-0.296862-0.0-0.0-0.0-2.86-DU2694397-
21:28:57:031 -> 8-1-21:28-
21:28:57:031 -> 7-8-439736171-SPY-OPT-20200921-321-P-100-AMEX-USD-SPY 200921P00321000-SPY-0-0.45-0.0-0.0-0.0--16.81-DU2694397-
21:28:57:031 -> 8-1-21:28-
21:28:57:031 -> 7-8-439736174-SPY-OPT-20200921-322-P-100-AMEX-USD-SPY 200921P00322000-SPY-0-0.689782-0.0-0.0-0.0-3.35-DU2694397-
21:28:57:032 -> 8-1-21:28-
21:28:58:339 -> 50-3-16777217-1600703930-323.61-323.61-323.54-323.55-38-323.58-26-
21:28:59:051 -> 50-3-16777221-1600703935-1.00-1.05-1.00-1.05-17-1.02-5-
21:28:59:051 -> 50-3-16777219-1600703935-1.04-1.04-1.00-1.00-7-1.02-3-
21:28:59:051 -> 50-3-16777217-1600703935-323.56-323.57-323.50-323.50-148-323.54-71-
21:29:04:054 -> 50-3-16777221-1600703940-1.03-1.03-1.02-1.02-12-1.03-3-
21:29:04:054 -> 50-3-16777219-1600703940-1.02-1.03-1.02-1.03-2-1.02-2-
21:29:04:054 -> 50-3-16777217-1600703940-323.50-323.62-323.50-323.60-159-323.55-110-
21:29:04:163 <- 3-41-63-0-SPY-OPT-20200921-324.0-CALL--SMART--USD-----BUY-3-STPLMT-1.15-1.1-GTD-5441817b-30de-4eca-af1a-7c5041ae5a4a--O-0--0-0-0-0-0-0-0-0--0.0--20200922 03:59:59-----0---1-1---0---0-0--0------0-----0-----------0---0-0--0-
21:29:04:224 <- 3-41-64-0-SPY-OPT-20200921-324.0-CALL--SMART--USD-----SELL-3-TRAIL-0.0-0.0-GTD-6bea46ab-2d1b-4c3c-83b1-d0f1a0723f83--O-0--1-63-0-0-0-0-0-0--0.0--20200922 03:59:59-----0---1-1---0---0-0--0------0-----0---10.0--------0---0-0--0-
21:29:04:563 <- 49-1-
21:29:04:564 -> 49-1-1600703944-
21:29:05:295 -> 5-32-64-439735807-SPY-OPT-20200921-324-C-100-SMART-USD-SPY 200921C00324000-SPY-SELL-3-TRAIL-0.0--GTD-685287059-DU2694397-O-0--7369101-685287060-0-0-0--685287060.0/DU2694397/100-----20200922 03:59:59 India Standard Time----0---1-0-------0-0-0--1-0-0--63-0--0-None--0----?-0-0--0-0--10.0----0-0-0-----0--IB-0-0--0-PreSubmitted-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308------3-6-64-PreSubmitted-0-3-0-685287060-63-0-7369101-child,trigger-
21:29:05:298 -> 5-32-63-439735807-SPY-OPT-20200921-324-C-100-SMART-USD-SPY 200921C00324000-SPY-BUY-3-STP LMT-1.15-1.1-GTD-5441817b-30de-4eca-af1a-7c5041ae5a4a-DU2694397-O-0--7369101-685287059-0-0-0--685287059.0/DU2694397/100-----20200922 03:59:59 India Standard Time----0---1-0-------0-0-0--1-0-0--0-0--0-None--0----?-0-0--0-0------0-0-0-----0--IB-0-0--0-PreSubmitted-1.7976931348623157E308-1.7976931348623157E308-1.7976931348623157E308------3-6-63-PreSubmitted-0-3-0-685287059-0-0-7369101-trigger-
21:29:09:050 -> 50-3-16777221-1600703945-1.02-1.02-1.02-1.02-0-1.02-0-
21:29:09:050 -> 50-3-16777219-1600703945-1.03-1.03-1.03-1.03-2-1.03-1-
21:29:09:050 -> 50-3-16777217-1600703945-323.58-323.64-323.55-323.63-106-323.58-52-
21:29:14:050 -> 50-3-16777221-1600703950-1.00-1.00-0.99-0.99-7-0.99-3-
21:29:14:050 -> 50-3-16777219-1600703950-1.03-1.03-1.03-1.03-0-1.03-0-
21:29:19:053 -> 50-3-16777221-1600703955-0.99-0.99-0.98-0.98-5-0.98-3-
21:29:19:053 -> 50-3-16777219-1600703955-1.04-1.06-1.04-1.06-2-1.05-2-
**21:29:19:456 -> 4-2-16777217-10225-Bust event occurred, current subscription is deactivated. Please resubscribe real-time bars immediately.-**
21:29:24:054 -> 50-3-16777221-1600703960-0.98-0.98-0.98-0.98-0-0.98-0-
21:29:24:055 -> 50-3-16777219-1600703960-1.07-1.08-1.07-1.07-10-1.07-4-
21:29:29:759 -> 50-3-16777221-1600703965-0.99-1.00-0.99-1.00-2-1.00-2-
21:29:29:759 -> 50-3-16777219-1600703965-1.05-1.05-1.05-1.05-18-1.05-2-
21:29:34:758 -> 50-3-16777221-1600703970-1.01-1.01-1.00-1.00-108-1.01-4-
21:29:34:759 -> 50-3-16777219-1600703970-1.05-1.05-1.05-1.05-16-1.05-2-
21:29:39:759 -> 50-3-16777221-1600703975-1.00-1.00-1.00-1.00-0-1.00-0-
21:29:39:759 -> 50-3-16777219-1600703975-1.05-1.05-1.05-1.05-1-1.05-1-
21:29:44:759 -> 50-3-16777221-1600703980-0.99-0.99-0.99-0.99-206-0.99-2-
21:29:44:759 -> 50-3-16777219-1600703980-1.06-1.06-1.06-1.06-10-1.06-1-
21:29:49:756 -> 50-3-16777221-1600703985-1.00-1.00-1.00-1.00-10-1.00-1-
21:29:49:756 -> 50-3-16777219-1600703985-1.05-1.05-1.05-1.05-1-1.05-1-
21:29:54:759 -> 50-3-16777221-1600703990-1.00-1.00-1.00-1.00-0-1.00-0-
21:29:54:759 -> 50-3-16777219-1600703990-1.05-1.05-1.05-1.05-0-1.05-0-
21:29:59:767 -> 50-3-16777221-1600703995-1.00-1.00-1.00-1.00-0-1.00-0-
21:29:59:767 -> 50-3-16777219-1600703995-1.07-1.07-1.07-1.07-3-1.07-2-
21:30:04:764 -> 50-3-16777221-1600704000-0.98-0.98-0.97-0.97-12-0.98-2-
21:30:04:765 -> 50-3-16777219-1600704000-1.07-1.07-1.06-1.06-61-1.06-3-
21:30:04:910 <- 50-2-16777234-756733-SPY-STK--0.0---SMART-ARCA-USD-SPY-SPY-5-TRADES-0-
21:30:05:327 <- 49-1-
21:30:05:328 -> 49-1-1600704005-
21:30:09:758 -> 50-3-16777221-1600704005-0.98-0.98-0.97-0.97-3-0.98-2-
21:30:09:758 -> 50-3-16777219-1600704005-1.06-1.06-1.06-1.06-0-1.06-0-
21:30:14:758 -> 50-3-16777221-1600704010-0.97-0.97-0.94-0.94-56-0.97-5-
21:30:14:758 -> 50-3-16777219-1600704010-1.08-1.08-1.07-1.07-12-1.07-2-
@vladisld Looks like this issue still exists. I checked the PR patch to ensure my code has those changes. Today, I came across this issue with error message in TWS API logs, however there is no error message from backtrader, it continued with next() repeating last known data.
TWS API Logs
-> 4-2-16777217-10225-Bust event occurred, current subscription is deactivated. Please resubscribe real-time bars immediately.
Thanks
Hi @ab_trader ,
Today I have run with fresh data to help us debug further. Looks like data is shifted by 1 bar during Live resampling
Observations from below Comparison. I'm using just Stochastic K and D values
Original size image is available in GoogleDrive folder link posted
Your help is very much appreciated.
#!/usr/bin/env python
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import argparse
import datetime
import os.path # To manage paths
import sys # To find out the script name (in argv[0])
from backtrader import backtrader as bt
from backtrader.utils import flushfile # win32 quick stdout flushing
class TestStrategy(bt.Strategy):
params = dict(
smaperiod=5,
trade=False,
stake=10,
exectype=bt.Order.Market,
stopafter=0,
valid=None,
cancel=0,
donotsell=False,
stoptrail=False,
stoptraillimit=False,
trailamount=None,
trailpercent=None,
limitoffset=None,
oca=False,
bracket=False,
period=14, pfast=3, pslow=3, upperLimit=80, lowerLimit=20,
# PSAR
psarPeriod=2,
psarAf=0.02,
psarAfMax=0.2,
# MACD
macd_1=5,
macd_2=20,
macd_sig=11,
)
def __init__(self):
# To control operation entries
self.orderid = list()
self.order = None
self.counttostop = 0
self.datastatus = 0
# Create SMA on 2nd data
self.sma = bt.indicators.MovAv.SMA(self.data, period=self.p.smaperiod)
self.sma.csv = True
self.stochData0 = bt.indicators.Stochastic(self.datas[0], period=self.params.period,
period_dfast=self.params.pfast,
period_dslow=self.params.pslow,
upperband=self.params.upperLimit,
lowerband=self.params.lowerLimit,
plot = True)
self.stochData0.csv = True
# Add PSAR Indicator
self.psarData0 = bt.indicators.ParabolicSAR(self.datas[0],
period=self.params.psarPeriod,
af=self.params.psarAf,
afmax=self.params.psarAfMax,
plot = True)
self.psarData0.csv = True
self.macdData0 = bt.indicators.MACD(self.datas[0],
period_me1=self.params.macd_1,
period_me2=self.params.macd_2,
period_signal=self.params.macd_sig,
plot=True)
self.macdData0.csv = True
print('--------------------------------------------------')
print('Strategy Created')
print('--------------------------------------------------')
def notify_data(self, data, status, *args, **kwargs):
print('*' * 5, 'DATA NOTIF:', data._getstatusname(status), *args)
if status == data.LIVE:
self.counttostop = self.p.stopafter
self.datastatus = 1
def notify_store(self, msg, *args, **kwargs):
print('*' * 5, 'STORE NOTIF:', msg)
def notify_order(self, order):
if order.status in [order.Completed, order.Cancelled, order.Rejected]:
self.order = None
print('-' * 50, 'ORDER BEGIN', datetime.datetime.now())
print(order)
print('-' * 50, 'ORDER END')
def notify_trade(self, trade):
print('-' * 50, 'TRADE BEGIN', datetime.datetime.now())
print(trade)
print('-' * 50, 'TRADE END')
def prenext(self):
self.next(frompre=True)
def next(self, frompre=False):
txt = list()
txt.append('Data0')
txt.append('%04d' % len(self.data0))
dtfmt = '%Y-%m-%dT%H:%M:%S.%f'
txt.append('{}'.format(self.data.datetime[0]))
txt.append('%s' % self.data.datetime.datetime(0).strftime(dtfmt))
txt.append('{}'.format(self.data.open[0]))
txt.append('{}'.format(self.data.high[0]))
txt.append('{}'.format(self.data.low[0]))
txt.append('{}'.format(self.data.close[0]))
txt.append('{}'.format(self.data.volume[0]))
txt.append('{}'.format(self.data.openinterest[0]))
txt.append('{}'.format(self.sma[0]))
txt.append('{}'.format(self.stochData0.lines.percK[0]))
txt.append('{}'.format(self.stochData0.lines.percD[0]))
txt.append('{}'.format(self.macdData0.lines.macd[0]))
txt.append('{}'.format(self.macdData0.lines.signal[0]))
txt.append('{}'.format(self.psarData0.lines.psar[0]))
print(', '.join(txt))
if len(self.datas) > 1 and len(self.data1):
txt = list()
txt.append('Data1')
txt.append('%04d' % len(self.data1))
dtfmt = '%Y-%m-%dT%H:%M:%S.%f'
txt.append('{}'.format(self.data1.datetime[0]))
txt.append('%s' % self.data1.datetime.datetime(0).strftime(dtfmt))
txt.append('{}'.format(self.data1.open[0]))
txt.append('{}'.format(self.data1.high[0]))
txt.append('{}'.format(self.data1.low[0]))
txt.append('{}'.format(self.data1.close[0]))
txt.append('{}'.format(self.data1.volume[0]))
txt.append('{}'.format(self.data1.openinterest[0]))
txt.append('{}'.format(float('NaN')))
print(', '.join(txt))
if self.counttostop: # stop after x live lines
self.counttostop -= 1
if not self.counttostop:
self.env.runstop()
return
if not self.p.trade:
return
if self.datastatus and not self.position and len(self.orderid) < 1:
exectype = self.p.exectype if not self.p.oca else bt.Order.Limit
close = self.data0.close[0]
price = round(close * 0.90, 2)
self.order = self.buy(size=self.p.stake,
exectype=exectype,
price=price,
valid=self.p.valid,
transmit=not self.p.bracket)
self.orderid.append(self.order)
if self.p.bracket:
# low side
self.sell(size=self.p.stake,
exectype=bt.Order.Stop,
price=round(price * 0.90, 2),
valid=self.p.valid,
transmit=False,
parent=self.order)
# high side
self.sell(size=self.p.stake,
exectype=bt.Order.Limit,
price=round(close * 1.10, 2),
valid=self.p.valid,
transmit=True,
parent=self.order)
elif self.p.oca:
self.buy(size=self.p.stake,
exectype=bt.Order.Limit,
price=round(self.data0.close[0] * 0.80, 2),
oco=self.order)
elif self.p.stoptrail:
self.sell(size=self.p.stake,
exectype=bt.Order.StopTrail,
# price=round(self.data0.close[0] * 0.90, 2),
valid=self.p.valid,
trailamount=self.p.trailamount,
trailpercent=self.p.trailpercent)
elif self.p.stoptraillimit:
p = round(self.data0.close[0] - self.p.trailamount, 2)
# p = self.data0.close[0]
self.sell(size=self.p.stake,
exectype=bt.Order.StopTrailLimit,
price=p,
plimit=p + self.p.limitoffset,
valid=self.p.valid,
trailamount=self.p.trailamount,
trailpercent=self.p.trailpercent)
elif self.position.size > 0 and not self.p.donotsell:
if self.order is None:
self.order = self.sell(size=self.p.stake // 2,
exectype=bt.Order.Market,
price=self.data0.close[0])
elif self.order is not None and self.p.cancel:
if self.datastatus > self.p.cancel:
self.cancel(self.order)
if self.datastatus:
self.datastatus += 1
def start(self):
if self.data0.contractdetails is not None:
print('Timezone from ContractDetails: {}'.format(
self.data0.contractdetails.m_timeZoneId))
header = ['Datetime', 'Open', 'High', 'Low', 'Close', 'Volume',
'OpenInterest', 'SMA','StochK','StochD','MACD','MACDSig',
'PSAR']
print(', '.join(header))
self.done = False
def runstrategy():
args = parse_args()
# Create a cerebro
cerebro = bt.Cerebro()
storekwargs = dict(
host=args.host, port=args.port,
clientId=args.clientId, timeoffset=not args.no_timeoffset,
reconnect=args.reconnect, timeout=args.timeout,
notifyall=args.notifyall, _debug=args.debug
)
if args.usestore:
ibstore = bt.stores.IBStore(**storekwargs)
if args.broker:
if args.usestore:
broker = ibstore.getbroker()
else:
broker = bt.brokers.IBBroker(**storekwargs)
cerebro.setbroker(broker)
timeframe = bt.TimeFrame.TFrame(args.timeframe)
# Manage data1 parameters
tf1 = args.timeframe1
tf1 = bt.TimeFrame.TFrame(tf1) if tf1 is not None else timeframe
cp1 = args.compression1
cp1 = cp1 if cp1 is not None else args.compression
if args.resample or args.replay:
datatf = datatf1 = bt.TimeFrame.Ticks
datacomp = datacomp1 = 1
else:
datatf = timeframe
datacomp = args.compression
datatf1 = tf1
datacomp1 = cp1
fromdate = None
if args.fromdate:
dtformat = '%Y-%m-%d' + ('T%H:%M:%S' * ('T' in args.fromdate))
fromdate = datetime.datetime.strptime(args.fromdate, dtformat)
todate = None
if args.todate:
dtformat = '%Y-%m-%d' + ('T%H:%M:%S' * ('T' in args.todate))
todate = datetime.datetime.strptime(args.todate, dtformat)
IBDataFactory = ibstore.getdata if args.usestore else bt.feeds.IBData
datakwargs = dict(
timeframe=datatf, compression=datacomp,
historical=args.historical, fromdate=fromdate, todate=todate,
rtbar=args.rtbar,
qcheck=args.qcheck,
what=args.what,
backfill_start=not args.no_backfill_start,
backfill=not args.no_backfill,
latethrough=args.latethrough,
tz=args.timezone
)
if not args.usestore and not args.broker: # neither store nor broker
datakwargs.update(storekwargs) # pass the store args over the data
data0 = IBDataFactory(dataname=args.data0, **datakwargs)
data1 = None
if args.data1 is not None:
if args.data1 != args.data0:
datakwargs['timeframe'] = datatf1
datakwargs['compression'] = datacomp1
data1 = IBDataFactory(dataname=args.data1, **datakwargs)
else:
data1 = data0
rekwargs = dict(
timeframe=timeframe, compression=args.compression,
bar2edge=not args.no_bar2edge,
adjbartime=not args.no_adjbartime,
rightedge=not args.no_rightedge,
takelate=not args.no_takelate,
)
if args.replay:
cerebro.replaydata(data0, **rekwargs)
if data1 is not None:
rekwargs['timeframe'] = tf1
rekwargs['compression'] = cp1
cerebro.replaydata(data1, **rekwargs)
elif args.resample:
cerebro.resampledata(data0, **rekwargs)
if data1 is not None:
rekwargs['timeframe'] = tf1
rekwargs['compression'] = cp1
cerebro.resampledata(data1, **rekwargs)
else:
cerebro.adddata(data0)
if data1 is not None:
cerebro.adddata(data1)
if args.valid is None:
valid = None
else:
valid = datetime.timedelta(seconds=args.valid)
# Add the strategy
cerebro.addstrategy(TestStrategy,
smaperiod=args.smaperiod,
trade=args.trade,
exectype=bt.Order.ExecType(args.exectype),
stake=args.stake,
stopafter=args.stopafter,
valid=valid,
cancel=args.cancel,
donotsell=args.donotsell,
stoptrail=args.stoptrail,
stoptraillimit=args.traillimit,
trailamount=args.trailamount,
trailpercent=args.trailpercent,
limitoffset=args.limitoffset,
oca=args.oca,
bracket=args.bracket)
if args.write:
now = datetime.datetime.today()
scriptName = os.path.basename(__file__).split(".")[0]
logFileName = "logs/" + now.strftime("%Y_%m_%d_%H%M%S_") + \
scriptName + "_ibtest" + "_log.csv"
cerebro.addwriter(bt.WriterFile, csv=True, out=logFileName, rounding=2)
# Live data ... avoid long data accumulation by switching to "exactbars"
cerebro.run(exactbars=args.exactbars)
if args.plot and args.exactbars < 1: # plot if possible
cerebro.plot()
def parse_args():
parser = argparse.ArgumentParser(
formatter_class=argparse.ArgumentDefaultsHelpFormatter,
description='Test Interactive Brokers integration')
parser.add_argument('--exactbars', default=1, type=int,
required=False, action='store',
help='exactbars level, use 0/-1/-2 to enable plotting')
parser.add_argument('--plot',
required=False, action='store_true',
help='Plot if possible')
parser.add_argument('--stopafter', default=0, type=int,
required=False, action='store',
help='Stop after x lines of LIVE data')
parser.add_argument('--usestore', default=False,
required=False, action='store_true',
help='Use the store pattern')
parser.add_argument('--notifyall',
required=False, action='store_true',
help='Notify all messages to strategy as store notifs')
parser.add_argument('--debug', default=False,
required=False, action='store_true',
help='Display all info received form IB')
parser.add_argument('--host', default='127.0.0.1',
required=False, action='store',
help='Host for the Interactive Brokers TWS Connection')
parser.add_argument('--qcheck', default=2.0, type=float,
required=False, action='store',
help=('Timeout for periodic '
'notification/resampling/replaying check'))
parser.add_argument('--port', default=4002, type=int,
required=False, action='store',
help='Port for the Interactive Brokers TWS Connection')
parser.add_argument('--clientId', default='466824', type=int,
required=False, action='store',
help='Client Id to connect to TWS (default: random)')
parser.add_argument('--no-timeoffset',
required=False, action='store_true',
help=('Do not Use TWS/System time offset for non '
'timestamped prices and to align resampling'))
parser.add_argument('--reconnect', default=3, type=int,
required=False, action='store',
help='Number of recconnection attempts to TWS')
parser.add_argument('--timeout', default=3.0, type=float,
required=False, action='store',
help='Timeout between reconnection attempts to TWS')
parser.add_argument('--data0', default='BANKNIFTY-IND-NSE-INR',
required=False, action='store',
help='data 0 into the system')
parser.add_argument('--data1', default=None,
required=False, action='store',
help='data 1 into the system')
parser.add_argument('--timezone', default=None,
required=False, action='store',
help='timezone to get time output into (pytz names)')
parser.add_argument('--what', default=None,
required=False, action='store',
help='specific price type for historical requests')
parser.add_argument('--no-backfill_start',
required=False, action='store_true',
help='Disable backfilling at the start')
parser.add_argument('--latethrough',
required=False, action='store_true',
help=('if resampling replaying, adjusting time '
'and disabling time offset, let late samples '
'through'))
parser.add_argument('--no-backfill',
required=False, action='store_true',
help='Disable backfilling after a disconnection')
parser.add_argument('--rtbar', default=True,
required=False, action='store_true',
help='Use 5 seconds real time bar updates if possible')
parser.add_argument('--historical', default=True,
required=False, action='store_true',
help='do only historical download')
parser.add_argument('--fromdate', default="2020-09-16T09:15:00",
required=False, action='store',
help=('Starting date for historical download '
'with format: YYYY-MM-DD[THH:MM:SS]'))
parser.add_argument('--todate', default="2020-09-17T15:30:00",
required=False, action='store',
help=('Ending date for historical download '
'with format: YYYY-MM-DD[THH:MM:SS]'))
parser.add_argument('--smaperiod', default=10, type=int,
required=False, action='store',
help='Period to apply to the Simple Moving Average')
pgroup = parser.add_mutually_exclusive_group(required=False)
pgroup.add_argument('--replay',
required=False, action='store_true',
help='replay to chosen timeframe')
pgroup.add_argument('--resample', default=True,
required=False, action='store_true',
help='resample to chosen timeframe')
parser.add_argument('--timeframe', default='Minutes',
choices=bt.TimeFrame.Names,
required=False, action='store',
help='TimeFrame for Resample/Replay')
parser.add_argument('--compression', default=1, type=int,
required=False, action='store',
help='Compression for Resample/Replay')
parser.add_argument('--timeframe1', default=None,
choices=bt.TimeFrame.Names,
required=False, action='store',
help='TimeFrame for Resample/Replay - Data1')
parser.add_argument('--compression1', default=None, type=int,
required=False, action='store',
help='Compression for Resample/Replay - Data1')
parser.add_argument('--no-takelate',
required=False, action='store_true',
help=('resample/replay, do not accept late samples '
'in new bar if the data source let them through '
'(latethrough)'))
parser.add_argument('--no-bar2edge',
required=False, action='store_true',
help='no bar2edge for resample/replay')
parser.add_argument('--no-adjbartime',
required=False, action='store_true',
help='no adjbartime for resample/replay')
parser.add_argument('--no-rightedge',
required=False, action='store_true',
help='no rightedge for resample/replay')
parser.add_argument('--broker', default=False,
required=False, action='store_true',
help='Use IB as broker')
parser.add_argument('--trade', default= False,
required=False, action='store_true',
help='Do Sample Buy/Sell operations')
parser.add_argument('--donotsell',
required=False, action='store_true',
help='Do not sell after a buy')
parser.add_argument('--exectype', default=bt.Order.ExecTypes[0],
choices=bt.Order.ExecTypes,
required=False, action='store',
help='Execution to Use when opening position')
parser.add_argument('--stake', default=10, type=int,
required=False, action='store',
help='Stake to use in buy operations')
parser.add_argument('--valid', default=None, type=int,
required=False, action='store',
help='Seconds to keep the order alive (0 means DAY)')
pgroup = parser.add_mutually_exclusive_group(required=False)
pgroup.add_argument('--stoptrail',
required=False, action='store_true',
help='Issue a stoptraillimit after buy( do not sell')
pgroup.add_argument('--traillimit',
required=False, action='store_true',
help='Issue a stoptrail after buying (do not sell')
pgroup.add_argument('--oca',
required=False, action='store_true',
help='Test oca by putting 2 orders in a group')
pgroup.add_argument('--bracket',
required=False, action='store_true',
help='Test bracket orders by issuing high/low sides')
pgroup = parser.add_mutually_exclusive_group(required=False)
pgroup.add_argument('--trailamount', default=None, type=float,
required=False, action='store',
help='trailamount for StopTrail order')
pgroup.add_argument('--trailpercent', default=None, type=float,
required=False, action='store',
help='trailpercent for StopTrail order')
parser.add_argument('--limitoffset', default=None, type=float,
required=False, action='store',
help='limitoffset for StopTrailLimit orders')
parser.add_argument('--cancel', default=0, type=int,
required=False, action='store',
help=('Cancel a buy order after n bars in operation,'
' to be combined with orders like Limit'))
parser.add_argument('--write', default=True,
required=False, action='store',
help='Enable write observer data to file')
return parser.parse_args()
if __name__ == '__main__':
runstrategy()
Hello @ab_trader, appreciate your response. Yes, I try to keep all parameters same for both scenarios.
For example, at end of the day I stop the Live run and run the script for historical data and I see that values generated for all indicators are off. Sometimes during live run I restart script and I see values match before LIVE data and slowly values deviate.
Have you been using indicators with IB Live data? If it’s working for you then I could doing something wrong. Can you please test the same duration for both live and historical and see if they match.
Is there anything that I could test or tweak to debug this issue further?
Im suspecting issue with resampling as I could see data being sent from IB Gateway continuously at 5secs without a miss, didn’t validate the data though.
Thanks @ab_trader once again for looking into this
Hello,
During my testing across days, I've observed that Indicator values show correctly when using historical data. However when using LIVE streaming data, example, 1 minute resample of IB LIVE data, I could always see that generated indicator values are different to that of actual values. I compared these values with IB-TWS and even with tradingview. This consistently deviates from actual values.
I have tested using different sample periods etc. Not able to figure out what could be the reason. Even tried playing with resampling flags like boundoff, rightedge, rtbar, qcheck et all
Indicators I've tested and found to be not consistent with LIVE data are Stochastic Oscillator, MACD, ADX, PSAR etc
Is this working fine for anyone with IB live data?
Thanks in advance.