Hello mics,
a few days ago I started to look into this subject.
This:
from matplotlib.finance import candlestick_ohlc
seems to be substituted through:
import mplfinance as mpf
mplfinance
matplotlib utilities for the visualization, and visual analysis, of financial data
https://github.com/matplotlib/mplfinance
@vladisld said in IB - Switch between Multiple (Near) Online Datafeeds:
print(f'{self.datas[1].datetime.datetime(0).isoformat}:{self.datas[1].open[0] ....')
Re: "what do you mean..?" I had the impression that cerebro (ES: brain) did not collect the data for the 2nd feed.
Your answer and your short example-hint helped a lot. I was wrong.
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import backtrader as bt
import datetime
#import matplotlib
import time
import pytz
class St(bt.Strategy):
#pr_St__class = St() #NameError: name 'St' is not defined
#print('^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ pr_St__class', pr_St__class)
#here he defines the structure of one record D-OHLC-V
def logdata(self):
txt = []
txt.append('{}'.format(len(self))) #current object lenght of data, number of records for pricing
txt.append(' data_s') #1st datafeed
txt.append('{}'.format(self.data.datetime.datetime(0).isoformat()))
txt.append('{:.2f}'.format(self.data.open[0]))
txt.append('{:.2f}'.format(self.data.high[0]))
txt.append('{:.2f}'.format(self.data.low[0]))
txt.append('{:.2f}'.format(self.data.close[0]))
txt.append('{:.2f}'.format(self.data.volume[0]))
txt.append(' data_c') #2nd datafeed
txt.append('{}'.format(self.datas[1].datetime.datetime(0).isoformat()))
txt.append('{:.2f}'.format(self.datas[1].open[0]))
txt.append('{:.2f}'.format(self.datas[1].high[0]))
txt.append('{:.2f}'.format(self.datas[1].low[0]))
txt.append('{:.2f}'.format(self.datas[1].close[0]))
txt.append('{:.2f}'.format(self.datas[1].volume[0]))
print(','.join(txt))
def next(self):
self.logdata()
def run(args=None):
cerebro = bt.Cerebro(stdstats=False) #with this i get clean data, no history. A clean structure
store = bt.stores.IBStore(port=7496, clientId=1001) #20200701 with TWS THIS finally worked well
data_s = store.getdata(dataname='EUR.USD-CASH-IDEALPRO', timeframe=bt.TimeFrame.Ticks,
stopafter=10, #stopafter
backfill_start=False, backfill=False, latethrough=True, tz='CET'
)
cerebro.resampledata(data_s, timeframe=bt.TimeFrame.Seconds, compression=1)
data_c = store.getdata(dataname='CHF.USD-CASH-IDEALPRO', timeframe=bt.TimeFrame.Ticks,
stopafter=10, #stopafter
backfill_start=False, backfill=False, latethrough=True, tz='CET'
)
cerebro.resampledata(data_c, timeframe=bt.TimeFrame.Seconds, compression=1)
cerebro.addstrategy(St)
cerebro.run()
# cerebro.plot(plotter=None, iplot=True) #Unfortunately I always get a lot of unneeded nformatio like platform Darwin, V 3.1.3, loaded modules, fonts
if __name__ == '__main__':
run()
Having changed the code above (based on your recommendation) now I see what data is there:
Server Version: 76
TWS Time at connection:20200702 22:27:13 CET
1, data_s,2020-07-02T22:27:14,1.12,1.12,1.12,1.12,0.00, data_c,2020-07-02T22:27:14,1.06,1.06,1.06,1.06,0.00
2, data_s,2020-07-02T22:27:14,1.12,1.12,1.12,1.12,0.00, data_c,2020-07-02T22:27:22,1.06,1.06,1.06,1.06,0.00
3, data_s,2020-07-02T22:27:31,1.12,1.12,1.12,1.12,0.00, data_c,2020-07-02T22:27:22,1.06,1.06,1.06,1.06,0.00
4, data_s,2020-07-02T22:27:31,1.12,1.12,1.12,1.12,0.00, data_c,2020-07-02T22:28:57,1.06,1.06,1.06,1.06,0.00
5, data_s,2020-07-02T22:28:58,1.12,1.12,1.12,1.12,0.00, data_c,2020-07-02T22:28:57,1.06,1.06,1.06,1.06,0.00
6, data_s,2020-07-02T22:29:01,1.12,1.12,1.12,1.12,0.00, data_c,2020-07-02T22:29:01,1.06,1.06,1.06,1.06,0.00
7, data_s,2020-07-02T22:29:01,1.12,1.12,1.12,1.12,0.00, data_c,2020-07-02T22:29:08,1.06,1.06,1.06,1.06,0.00
8, data_s,2020-07-02T22:29:01,1.12,1.12,1.12,1.12,0.00, data_c,2020-07-02T22:29:10,1.06,1.06,1.06,1.06,0.00
9, data_s,2020-07-02T22:29:01,1.12,1.12,1.12,1.12,0.00, data_c,2020-07-02T22:29:14,1.06,1.06,1.06,1.06,0.00
10, data_s,2020-07-02T22:29:21,1.12,1.12,1.12,1.12,0.00, data_c,2020-07-02T22:29:14,1.06,1.06,1.06,1.06,0.00
11, data_s,2020-07-02T22:29:21,1.12,1.12,1.12,1.12,0.00, data_c,2020-07-02T22:29:25,1.06,1.06,1.06,1.06,0.00
12, data_s,2020-07-02T22:29:29,1.12,1.12,1.12,1.12,0.00, data_c,2020-07-02T22:29:25,1.06,1.06,1.06,1.06,0.00
13, data_s,2020-07-02T22:29:37,1.12,1.12,1.12,1.12,0.00, data_c,2020-07-02T22:29:25,1.06,1.06,1.06,1.06,0.00
14, data_s,2020-07-02T22:30:02,1.12,1.12,1.12,1.12,0.00, data_c,2020-07-02T22:30:02,1.06,1.06,1.06,1.06,0.00
15, data_s,2020-07-02T22:30:02,1.12,1.12,1.12,1.12,0.00, data_c,2020-07-02T22:30:07,1.06,1.06,1.06,1.06,0.00
data_s is the 1st feed EUR.USD
data_c is the 2nd feed CHF.USD
As an outlook this is getting more interesting when displaying a stock and the corresponding option(s).
It needs to be improved as I am using for the resampling the compression=1. Not always there is data. Increasing the compression to 10 could be a workaround. Even better when i leav it empty For now I can go ahead.
My question is answered and solved so that i can go ahead. Thank you very much vladisld.
In trying to understand the code and the used objects better I started with the Medium Example from Daniel
Description: https://medium.com/@danjrod/interactive-brokers-in-python-with-backtrader-23dea376b2fc
Having extracted and modified the code:
https://gist.github.com/backtrader/456cf0891a7a62ceb2bbb5e4234c01e7
Right now the strategy (as shown and reproduced from the example) with automated trading is not that important.
from __future__ import (absolute_import, division, print_function,
unicode_literals)
import backtrader as bt
import datetime
#import matplotlib
import time
import pytz
class St(bt.Strategy):
#pr_St__class = St() #NameError: name 'St' is not defined
#print('^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^ pr_St__class', pr_St__class)
#here he defines the structure of one record D-OHLC-V
def logdata(self):
txt = []
txt.append('{}'.format(len(self))) #current object lenght of data, number of records for pricing
txt.append('{}'.format(self.data.datetime.datetime(0).isoformat()))
txt.append('{:.2f}'.format(self.data.open[0]))
txt.append('{:.2f}'.format(self.data.high[0]))
txt.append('{:.2f}'.format(self.data.low[0]))
txt.append('{:.2f}'.format(self.data.close[0]))
txt.append('{:.2f}'.format(self.data.volume[0]))
print(','.join(txt))
def next(self):
self.logdata()
def run(args=None):
cerebro = bt.Cerebro(stdstats=False) #with this i get clean data, no history. A clean structure
store = bt.stores.IBStore(port=7496, clientId=1001) #20200701 with TWS THIS finally worked well
data_s = store.getdata(dataname='EUR.USD-CASH-IDEALPRO', timeframe=bt.TimeFrame.Ticks,
stopafter=10, #stopafter
backfill_start=False, backfill=False, latethrough=True, tz='CET'
)
cerebro.resampledata(data_s, timeframe=bt.TimeFrame.Seconds, compression=1)
data_c = store.getdata(dataname='CHF.USD-CASH-IDEALPRO', timeframe=bt.TimeFrame.Ticks,
stopafter=10, #stopafter
backfill_start=False, backfill=False, latethrough=True, tz='CET'
)
cerebro.resampledata(data_c, timeframe=bt.TimeFrame.Seconds, compression=1)
cerebro.addstrategy(St)
cerebro.run() #this will not stop,
# cerebro.plot(plotter=None, iplot=True) #Unfortunately I always get a lot of unneeded nformatio like platform Darwin, V 3.1.3, loaded modules, fonts
if __name__ == '__main__':
run()
For testing purposes, if necessary, change port to 7497.
Even with the most recent IB Gateway 978.2C the behavior is much different, compared to the well working TWS FAT Client SV: 979.4x TWS can be used, so its not an issue.
Having used CSV samples multiple data feeds can be used.
Unfortunately, even with the now added parameters in the code above
(and even with testing the live data (which is not recommended)
#DO NOT USE AS NOT RECOMMENDED
data_s = bt.feeds.IBData(dataname='EUR.USD-CASH-IDEALPRO',
host='127.0.0.1', port=7496, clientId=1002,
#stopafter=10,
backfill_start=False, backfill=False, latethrough=True, tz='CET'
)
cerebro.resampledata(data_s, timeframe=bt.TimeFrame.Seconds, compression=1)
I never managed to switch between the data feeds. That the question?
Even when the 1st feed is up to date it seems cerebro is not letting it go and switching to the 2nd feed.
Is there a solution oer where can i find some hints? Having two different programs running does not make sense as calculationsbetween the retrieved data should take place.
When this is done, questions on
Regards, Klaus
Hello,
I have just started to play around with backtrader.
With this I have some more progress (tested in jupyter notbook):
import backtrader as bt
import datetime
from_date= datetime.datetime.today() - datetime.timedelta(days=1)
IBDataFactory = store.getdata
dt = IBDataFactory(dataname='AAPL',timeframe=bt.TimeFrame.Seconds,
compression=5,fromdate=from_date,useRTH=False,
sectype='STK', exchange='SMART',currency='USD',adjusted=True)
cerebro = bt.Cerebro(stdstats=False)
store = bt.stores.IBStore(port=7497)
cerebro.replaydata(dt, timeframe=bt.TimeFrame.Minutes, compression=60)
#Out[11]: <backtrader.feeds.ibdata.IBData at 0x7fde502ec650>
cerebro.broker = store.getbroker()
cerebro.run()
I don't get the answer shown. But I was asked from the IB Program if i accept the connection