def __init__(self, strategy, data_dir):
# Single market object will be used for all backtesting instances
self.market = LiveMarketData(
data_dir or settings.DATA_DIR, #should come from script loader
getattr(strategy, 'SYMBOL_LIST', []),
normalize_prices=getattr(strategy, 'NORMALIZE_PRICES',
settings.NORMALIZE_PRICES),
normalize_volume=getattr(strategy, 'NORMALIZE_VOLUME',
settings.NORMALIZE_VOLUME),
round_decimals=getattr(strategy, 'ROUND_DECIMALS',
settings.ROUND_DECIMALS),
exchange=getattr(strategy, 'EXCHANGE', settings.EXCHANGE),
sec_type=getattr(strategy, 'SEC_TYPE', settings.SEC_TYPE),
currency=getattr(strategy, 'CURRENCY', settings.CURRENCY),
)
self.portfolio = LivePortfolio(self.market, strategy)
self.strategy = strategy
# Connect to IB tws (edemo/demouser)
self.if_handler = IbHandler(self.market, self.portfolio)
self.if_socket = IbSocket(self.if_handler, reconnect_auto=True)
self.if_socket.connect()
self.portfolio.if_socket = self.if_socket
self.market.if_socket = self.if_socket
logging.info("Live execution with strategy {}.".format(
self.portfolio.strategy))
def __init__(self, strategy, data_dir):
# Single market object will be used for all backtesting instances
self.market = LiveMarketData(
data_dir or settings.DATA_DIR, #should come from script loader
getattr(strategy, 'SYMBOL_LIST', []),
normalize_prices = getattr(strategy, 'NORMALIZE_PRICES', settings.NORMALIZE_PRICES),
normalize_volume = getattr(strategy, 'NORMALIZE_VOLUME', settings.NORMALIZE_VOLUME),
round_decimals = getattr(strategy, 'ROUND_DECIMALS', settings.ROUND_DECIMALS),
exchange = getattr(strategy, 'EXCHANGE', settings.EXCHANGE),
sec_type = getattr(strategy, 'SEC_TYPE', settings.SEC_TYPE),
currency = getattr(strategy, 'CURRENCY', settings.CURRENCY),
)
self.portfolio = LivePortfolio(self.market, strategy)
self.strategy = strategy
# Connect to IB tws (edemo/demouser)
self.if_handler = IbHandler(self.market, self.portfolio)
self.if_socket = IbSocket(self.if_handler, reconnect_auto=True)
self.if_socket.connect()
self.portfolio.if_socket = self.if_socket
self.market.if_socket = self.if_socket
logging.info("Live execution with strategy {}.".format(self.portfolio.strategy))
class LiveEngine(object):
def __init__(self, strategy, data_dir):
# Single market object will be used for all backtesting instances
self.market = LiveMarketData(
data_dir or settings.DATA_DIR, #should come from script loader
getattr(strategy, 'SYMBOL_LIST', []),
normalize_prices = getattr(strategy, 'NORMALIZE_PRICES', settings.NORMALIZE_PRICES),
normalize_volume = getattr(strategy, 'NORMALIZE_VOLUME', settings.NORMALIZE_VOLUME),
round_decimals = getattr(strategy, 'ROUND_DECIMALS', settings.ROUND_DECIMALS),
exchange = getattr(strategy, 'EXCHANGE', settings.EXCHANGE),
sec_type = getattr(strategy, 'SEC_TYPE', settings.SEC_TYPE),
currency = getattr(strategy, 'CURRENCY', settings.CURRENCY),
)
self.portfolio = LivePortfolio(self.market, strategy)
self.strategy = strategy
# Connect to IB tws (edemo/demouser)
self.if_handler = IbHandler(self.market, self.portfolio)
self.if_socket = IbSocket(self.if_handler, reconnect_auto=True)
self.if_socket.connect()
self.portfolio.if_socket = self.if_socket
self.market.if_socket = self.if_socket
logging.info("Live execution with strategy {}.".format(self.portfolio.strategy))
def start(self):
while not self._initial_status_check():
time.sleep(1)
self.if_socket.request_portfolio_data(self.portfolio.account_id)
self.portfolio.market_opened()
self.strategy.before_open()
for s in self.market.symbol_list:
if self.strategy.is_subscribed_to(s):
self.market._subscribe_to_market_data(s)
while True:
self.portfolio.run_cycle()
def stop(self):
self.market._stop()
def _initial_status_check(self):
# Checks if the attributes below were set by if_handler
try:
if (self.market.updated_at and self.portfolio.account_id and
self.portfolio.cash_balance):
pass
except AttributeError:
return False
# Checks last local historical data available and verifies if it
# is too old ( >=4 days delta on monday, >=2 every for the rest)
now = self.market.updated_at
delta = now-self.market.last_historical_bar_at
old_data = False
if now.weekday() == 0:
if delta >= datetime.timedelta(days=4):
old_data = True
else:
if delta >= datetime.timedelta(days=2):
old_data = True
if old_data: raise ValueError("Local historical data is too old, you need to run download_symbols script. This will be automated in the future.")
return True
class LiveEngine(object):
def __init__(self, strategy, data_dir):
# Single market object will be used for all backtesting instances
self.market = LiveMarketData(
data_dir or settings.DATA_DIR, #should come from script loader
getattr(strategy, 'SYMBOL_LIST', []),
normalize_prices=getattr(strategy, 'NORMALIZE_PRICES',
settings.NORMALIZE_PRICES),
normalize_volume=getattr(strategy, 'NORMALIZE_VOLUME',
settings.NORMALIZE_VOLUME),
round_decimals=getattr(strategy, 'ROUND_DECIMALS',
settings.ROUND_DECIMALS),
exchange=getattr(strategy, 'EXCHANGE', settings.EXCHANGE),
sec_type=getattr(strategy, 'SEC_TYPE', settings.SEC_TYPE),
currency=getattr(strategy, 'CURRENCY', settings.CURRENCY),
)
self.portfolio = LivePortfolio(self.market, strategy)
self.strategy = strategy
# Connect to IB tws (edemo/demouser)
self.if_handler = IbHandler(self.market, self.portfolio)
self.if_socket = IbSocket(self.if_handler, reconnect_auto=True)
self.if_socket.connect()
self.portfolio.if_socket = self.if_socket
self.market.if_socket = self.if_socket
logging.info("Live execution with strategy {}.".format(
self.portfolio.strategy))
def start(self):
while not self._initial_status_check():
time.sleep(1)
self.if_socket.request_portfolio_data(self.portfolio.account_id)
self.portfolio.market_opened()
self.strategy.before_open()
for s in self.market.symbol_list:
if self.strategy.is_subscribed_to(s):
self.market._subscribe_to_market_data(s)
while True:
self.portfolio.run_cycle()
def stop(self):
self.market._stop()
def _initial_status_check(self):
# Checks if the attributes below were set by if_handler
try:
if (self.market.updated_at and self.portfolio.account_id
and self.portfolio.cash_balance):
pass
except AttributeError:
return False
# Checks last local historical data available and verifies if it
# is too old ( >=4 days delta on monday, >=2 every for the rest)
now = self.market.updated_at
delta = now - self.market.last_historical_bar_at
old_data = False
if now.weekday() == 0:
if delta >= datetime.timedelta(days=4):
old_data = True
else:
if delta >= datetime.timedelta(days=2):
old_data = True
if old_data:
raise ValueError(
"Local historical data is too old, you need to run download_symbols script. This will be automated in the future."
)
return True