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    Best posts made by ultra1971

    • A new IB integration using ib_insync

      Hey, guys!

      I really appreciate the support of this community and also the work of Daniel behind backtrader. I have extended and created my own framework based on backtrader, there is nothing like this out there.

      So your help is needed again, but in this case testing this version of the IB Store (Broker and DataFeed) using async integration with Interactive Brokers through ib_insync. I believe that this feature is one of the most recurrent improvement request for backtrader (and also a need for myself).

      The repo is here: https://github.com/ultra1971/backtrader_ib_insync

      Remember this an alpha+ version but fully working in my dev environment.

      During the stress testing that I ran with the tick price implementation, an average of 3 orders per second were reached, very promising. The connection stability is another improvement, this means no more hangs and this is something that you're looking for in any algotrading platform.

      You can find most of the original IB Store logic are there, cover most of the functionality, but happy to complete this with your support.

      A special thanks to the ib_insync community and of course to Ewald for keep this project active.

      Finally, this is the best way that I find to give you back my appreciation, thanks.

      Regards

      posted in General Code/Help
      ultra1971
      ultra1971
    • RE: How do I run different data feeds at different timeframes in live trading

      @hercp, at RTB 5sec level TWS api still deliver a OLHC bar.

      But the TWS api implementation under 5 sec deliver price based on tick data. The IBStore (based on IBPy2) pull tickers with tick code= 233 for non "CASH" symbols, take a look into function def reqMktData() and IBData feed take this and calculate a price usinf function def _load_rtvolume():

      The IB API tick type documentation is here:
      https://interactivebrokers.github.io/tws-api/tick_types.html

      posted in General Discussion
      ultra1971
      ultra1971
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