def __init__(self, instruments=[], resolution="1T",
tick_window=1, bar_window=100, timezone="UTC", preload=None,
continuous=True, blotter=None, sms=[], log=None, backtest=False,
start=None, end=None, data=None, output=None,
ibclient=998, ibport=4001, ibserver="localhost", **kwargs):
# detect algo name
self.name = str(self.__class__).split('.')[-1].split("'")[0]
# initilize algo logger
self.log_algo = logging.getLogger(__name__)
# initilize strategy logger
tools.createLogger(self.name)
self.log = logging.getLogger(self.name)
# override args with any (non-default) command-line args
self.args = {arg: val for arg, val in locals().items(
) if arg not in ('__class__', 'self', 'kwargs')}
self.args.update(kwargs)
self.args.update(self.load_cli_args())
# assign algo params
self.bars = pd.DataFrame()
self.ticks = pd.DataFrame()
self.quotes = {}
self.books = {}
self.tick_count = 0
self.tick_bar_count = 0
self.bar_count = 0
self.bar_hashes = {}
self.tick_window = tick_window if tick_window > 0 else 1
if "V" in resolution:
self.tick_window = 1000
self.bar_window = bar_window if bar_window > 0 else 100
self.resolution = resolution.upper().replace("MIN", "T")
self.timezone = timezone
self.preload = preload
self.continuous = continuous
self.backtest = self.args["backtest"]
self.backtest_start = self.args["start"]
self.backtest_end = self.args["end"]
self.backtest_csv = self.args["data"]
# -----------------------------------
self.sms_numbers = self.args["sms"]
self.trade_log_dir = self.args["log"]
self.blotter_name = self.args["blotter"]
self.record_output = self.args["output"]
# -----------------------------------
# initiate broker/order manager
super().__init__(instruments,
**{arg: val for arg, val in self.args.items() if arg in (
'ibport', 'ibclient', 'ibhost')})
# -----------------------------------
# signal collector
self.signals = {}
for sym in self.symbols:
self.signals[sym] = pd.DataFrame()
# -----------------------------------
# initilize output file
self.record_ts = None
if self.record_output:
self.datastore = tools.DataStore(self.args["output"])
# ---------------------------------------
# add stale ticks for more accurate time--based bars
if not self.backtest and self.resolution[-1] not in ("K", "V"):
self.bar_timer = asynctools.RecurringTask(
self.add_stale_tick, interval_sec=1, init_sec=1, daemon=True)
# ---------------------------------------
# sanity checks for backtesting mode
if self.backtest:
if self.record_output is None:
self.log_algo.error("Must provide an output file for Backtest mode")
sys.exit(0)
if self.backtest_start is None:
self.log_algo.error("Must provide start date for Backtest mode")
sys.exit(0)
if self.backtest_end is None:
self.backtest_end = datetime.now().strftime('%Y-%m-%d %H:%M:%S.%f')
if self.backtest_csv is not None:
if not os.path.exists(self.backtest_csv):
self.log_algo.error("CSV directory cannot be found (%s)" % self.backtest_csv)
sys.exit(0)
elif self.backtest_csv.endswith("/"):
self.backtest_csv = self.backtest_csv[:-1]
else:
self.backtest_start = None
self.backtest_end = None
self.backtest_csv = None
# be aware of thread count
self.threads = asynctools.multitasking.getPool(__name__)['threads']
import sys
import logging
from qtpylib import (tools, asynctools, path, futures, __version__)
from qtpylib.crypto_updater import crypto_updater
# =============================================
# check min, python version
if sys.version_info < (3, 4):
raise SystemError("QTPyLib requires Python version >= 3.4")
# =============================================
# Configure logging
tools.createLogger(__name__, logging.INFO)
# Disable ezIBpy logging (Blotter handles errors itself)
logging.getLogger('ezibpy').setLevel(logging.CRITICAL)
# =============================================
class BtcConn(object):
# -----------------------------------------
# generic callback function - can be used externally
# -----------------------------------------
def callback(self, timestamp, value):
pass
def start(self):
crypto_updater.start_websocket(1, ["bitcoin"], self.callback)
from qtpylib.workflow import validate_columns as validate_csv_columns
from qtpylib.blotter import prepare_history
from qtpylib import (
tools, sms, asynctools
)
from abc import ABCMeta, abstractmethod
# =============================================
# check min, python version
if sys.version_info < (3, 4):
raise SystemError("QTPyLib requires Python version >= 3.4")
# =============================================
# Configure logging
tools.createLogger(__name__)
# =============================================
# set up threading pool
__threads__ = tools.read_single_argv("--max_threads")
__threads__ = int(__threads__) if tools.is_number(__threads__) else 1
asynctools.multitasking.createPool(__name__, __threads__)
# =============================================
class Algo(Broker):
"""Algo class initilizer (sub-class of Broker)
:Parameters:
from qtpylib import tools
from qtpylib.blotter import (
load_blotter_args, get_symbol_id,
mysql_insert_tick, mysql_insert_bar
)
_IB_HISTORY_DOWNLOADED = False
# =============================================
# check min, python version
if sys.version_info < (3, 4):
raise SystemError("QTPyLib requires Python version >= 3.4")
# =============================================
tools.createLogger(__name__) # .setLevel(logging.DEBUG)
# =============================================
def ibCallback(caller, msg, **kwargs):
global _IB_HISTORY_DOWNLOADED
if caller == "handleHistoricalData":
if kwargs["completed"]:
_IB_HISTORY_DOWNLOADED = True
# print(kwargs)
def get_data_ib(instrument, start, resolution="1 min",
blotter=None, output_path=None):
"""
Downloads historical data from Interactive Brokers
