initial_stop=stoploss,
trail_stop_at=0,
trail_stop_by=0,
expiry=5
)
# record action
self.record(take_action=1)
# ---------------------------------------
def on_bar(self, instrument):
# nothing exiting here...
bar = instrument.get_bars(lookback=1, as_dict=True)
print("BAR:", bar)
# ===========================================
if __name__ == "__main__":
# get most active ES contract to trade
ACTIVE_MONTH = futures.get_active_contract("ES")
print("Active month for ES is:", ACTIVE_MONTH)
strategy = TestStrategy(
instruments=[("ES", "FUT", "GLOBEX", "USD", ACTIVE_MONTH, 0.0, "")],
resolution="1T",
tick_window=10,
bar_window=10
)
strategy.run()
def create_ib_tuple(instrument):
""" create ib contract tuple """
from qtpylib import futures
if isinstance(instrument, str):
instrument = instrument.upper()
if "FUT." not in instrument:
# symbol stock
instrument = (instrument, "STK", "SMART", "USD", "", 0.0, "")
else:
# future contract
try:
symdata = instrument.split(".")
# is this a CME future?
if symdata[1] not in futures.futures_contracts.keys():
raise ValueError("Un-supported symbol. Please use full contract tuple.")
# auto get contract details
spec = futures.get_ib_futures(symdata[1])
if not isinstance(spec, dict):
raise ValueError("Un-parsable contract tuple")
# expiry specified?
if len(symdata) == 3 and symdata[2] != '':
expiry = symdata[2]
else:
# default to most active
expiry = futures.get_active_contract(symdata[1])
instrument = (spec['symbol'].upper(), "FUT",
spec['exchange'].upper(), spec['currency'].upper(),
int(expiry), 0.0, "")
except:
raise ValueError("Un-parsable contract tuple")
# tuples without strike/right
elif len(instrument) <= 7:
instrument_list = list(instrument)
if len(instrument_list) < 3:
instrument_list.append("SMART")
if len(instrument_list) < 4:
instrument_list.append("USD")
if len(instrument_list) < 5:
instrument_list.append("")
if len(instrument_list) < 6:
instrument_list.append(0.0)
if len(instrument_list) < 7:
instrument_list.append("")
try: instrument_list[4] = int(instrument_list[4])
except: pass
instrument_list[5] = 0. if isinstance(instrument_list[5], str) \
else float(instrument_list[5])
instrument = tuple(instrument_list)
return instrument
def __init__(self,
instruments,
ibclient=999,
ibport=4001,
ibserver="localhost",
**kwargs):
# -----------------------------------
# detect running strategy
self.strategy = str(self.__class__).split('.')[-1].split("'")[0]
# -----------------------------------
# connect to IB
self.ibclient = int(ibclient)
self.ibport = int(ibport)
self.ibserver = str(ibserver)
self.ibConn = ezibpy.ezIBpy()
self.ibConn.ibCallback = self.ibCallback
self.ibConnect()
# -----------------------------------
# create contracts
instrument_tuples_dict = {}
for instrument in instruments:
try:
# signgle string
if isinstance(instrument, str):
instrument = instrument.upper()
if "FUT." not in instrument:
# symbol stock
instrument = (instrument, "STK", "SMART", "USD", "",
0.0, "")
else:
# future contract
try:
symdata = instrument.split(".")
# is this a CME future?
if symdata[
1] not in futures.futures_contracts.keys():
raise ValueError(
"Un-supported symbol. Please use full contract tuple."
)
# auto get contract details
spec = futures.get_ib_futures(symdata[1])
if not isinstance(spec, dict):
raise ValueError("Un-parsable contract tuple")
# expiry specified?
if len(symdata) == 3 and symdata[2] != '':
expiry = symdata[2]
else:
# default to most active
expiry = futures.get_active_contract(
symdata[1])
instrument = (spec['symbol'].upper(), "FUT",
spec['exchange'].upper(),
spec['currency'].upper(),
int(expiry), 0.0, "")
except:
raise ValueError("Un-parsable contract tuple")
# tuples without strike/right
elif len(instrument) <= 7:
instrument_list = list(instrument)
if len(instrument_list) < 3:
instrument_list.append("SMART")
if len(instrument_list) < 4:
instrument_list.append("USD")
if len(instrument_list) < 5:
instrument_list.append("")
if len(instrument_list) < 6:
instrument_list.append(0.0)
if len(instrument_list) < 7:
instrument_list.append("")
try:
instrument_list[4] = int(instrument_list[4])
except:
pass
instrument_list[5] = 0. if isinstance(instrument_list[5], str) \
else float(instrument_list[5])
instrument = tuple(instrument_list)
contractString = self.ibConn.contractString(instrument)
instrument_tuples_dict[contractString] = instrument
self.ibConn.createContract(instrument)
except:
pass
self.instruments = instrument_tuples_dict
self.symbols = list(self.instruments.keys())
# -----------------------------------
# track orders & trades
self.active_trades = {}
self.trades = []
# shortcut
self.account = self.ibConn.account
# use: self.orders.pending...
self.orders = tools.make_object(by_tickerid=self.ibConn.orders,
by_symbol=self.ibConn.symbol_orders,
pending_ttls={},
pending={},
filled={},
active={},
history={},
nextId=1,
recent={})
# -----------------------------------
self.dbcurr = None
self.dbconn = None
# -----------------------------------
# assign default vals if not propogated from algo
if not hasattr(self, 'backtest'):
self.backtest = False
if not hasattr(self, 'sms_numbers'):
self.sms_numbers = []
if not hasattr(self, 'trade_log_dir'):
self.trade_log_dir = None
if not hasattr(self, 'blotter_name'):
self.blotter_name = None
# -----------------------------------
# load blotter settings
self.blotter_args = {}
self.load_blotter_args(self.blotter_name)
# -----------------------------------
# do stuff on exit
atexit.register(self._on_exit)
def create_ib_tuple(instrument):
""" create ib contract tuple """
from qtpylib import futures
if isinstance(instrument, str):
instrument = instrument.upper()
if "FUT." not in instrument:
# symbol stock
instrument = (instrument, "STK", "SMART", "USD", "", 0.0, "")
else:
# future contract
try:
symdata = instrument.split(".")
# is this a CME future?
if symdata[1] not in futures.futures_contracts.keys():
raise ValueError(
"Un-supported symbol. Please use full contract tuple.")
# auto get contract details
spec = futures.get_ib_futures(symdata[1])
if not isinstance(spec, dict):
raise ValueError("Un-parsable contract tuple")
# expiry specified?
if len(symdata) == 3 and symdata[2] != '':
expiry = symdata[2]
else:
# default to most active
expiry = futures.get_active_contract(symdata[1])
instrument = (spec['symbol'].upper(), "FUT",
spec['exchange'].upper(),
spec['currency'].upper(), int(expiry), 0.0, "")
except:
raise ValueError("Un-parsable contract tuple")
# tuples without strike/right
elif len(instrument) <= 7:
instrument_list = list(instrument)
if len(instrument_list) < 3:
instrument_list.append("SMART")
if len(instrument_list) < 4:
instrument_list.append("USD")
if len(instrument_list) < 5:
instrument_list.append("")
if len(instrument_list) < 6:
instrument_list.append(0.0)
if len(instrument_list) < 7:
instrument_list.append("")
try:
instrument_list[4] = int(instrument_list[4])
except:
pass
instrument_list[5] = 0. if isinstance(instrument_list[5], str) \
else float(instrument_list[5])
instrument = tuple(instrument_list)
return instrument
trail_stop_at = 0,
trail_stop_by = 0,
expiry=5
)
# record action
self.record(take_action=1)
# ---------------------------------------
def on_bar(self, instrument):
# nothing exiting here...
bar = instrument.get_bars(lookback=1, as_dict=True)
print("BAR:", bar)
# ===========================================
if __name__ == "__main__":
# get most active ES contract to trade
ACTIVE_MONTH = futures.get_active_contract("ES")
print("Active month for ES is:", ACTIVE_MONTH)
strategy = TestStrategy(
instruments = [ ("ES", "FUT", "GLOBEX", "USD", ACTIVE_MONTH, 0.0, "") ],
resolution = "1T",
tick_window = 10,
bar_window = 10
)
strategy.run()