def _create_streaming_session(self, ig_service, accountId):
# Cretes Streaming service and session
ig_stream_service = IGStreamService(ig_service)
ig_stream_session = ig_stream_service.create_session()
# Connect with specified Listener
ig_stream_service.connect(accountId)
return ig_stream_service, ig_stream_session
def main():
logging.basicConfig(level=logging.INFO)
# logging.basicConfig(level=logging.DEBUG)
ig_service = IGService(config.username, config.password, config.api_key,
config.acc_type)
ig_stream_service = IGStreamService(ig_service)
ig_session = ig_stream_service.create_session()
# Ensure configured account is selected
accounts = ig_session[u'accounts']
for account in accounts:
if account[u'accountId'] == config.acc_number:
accountId = account[u'accountId']
break
else:
print('Account not found: {0}'.format(config.acc_number))
accountId = None
ig_stream_service.connect(accountId)
# Making a new Subscription in MERGE mode
subscription_prices = Subscription(
mode="MERGE",
items=['QB.D.FT1605UD.03.IP/MINUTE'],
fields=["UPDATE_TIME", "BID", "OFFER", "CHANGE", "MARKET_STATE"],
)
#adapter="QUOTE_ADAPTER")
# Adding the "on_price_update" function to Subscription
subscription_prices.addlistener(on_prices_update)
# Registering the Subscription
sub_key_prices = ig_stream_service.ls_client.subscribe(subscription_prices)
# Making an other Subscription in MERGE mode
subscription_account = Subscription(
mode="MERGE",
items=['ACCOUNT:' + accountId],
fields=["AVAILABLE_CASH"],
)
# #adapter="QUOTE_ADAPTER")
# Adding the "on_balance_update" function to Subscription
subscription_account.addlistener(on_account_update)
# Registering the Subscription
sub_key_account = ig_stream_service.ls_client.subscribe(
subscription_account)
input("{0:-^80}\n".format("HIT CR TO UNSUBSCRIBE AND DISCONNECT FROM \
LIGHTSTREAMER"))
# Disconnecting
ig_stream_service.disconnect()
def connect(self,accountId=None):
logger.debug("Connecting to IG Streaming API...")
ig_service = IGService(config.username, config.password, config.api_key, config.acc_type)
ig_stream_service = IGStreamService(ig_service)
ig_session = ig_stream_service.create_session()
if accountId is None:
accountId = ig_session[u'accounts'][0][u'accountId']
ig_stream_service.connect(accountId)
self.ig_stream_service = ig_stream_service
def connect(self, accountId=None):
logger.debug("Connecting to IG Streaming API...")
ig_service = IGService(config.username, config.password,
config.api_key, config.acc_type)
ig_stream_service = IGStreamService(ig_service)
ig_session = ig_stream_service.create_session()
if accountId is None:
accountId = ig_session[u'accounts'][0][u'accountId']
ig_stream_service.connect(accountId)
self.ig_stream_service = ig_stream_service
def run(config, testing, tickers, filename, n, n_window):
# Set up variables needed for backtest
events_queue = queue.Queue()
ig_service = IGService(config.IG.USERNAME, config.IG.PASSWORD,
config.IG.API_KEY, config.IG.ACCOUNT.TYPE)
ig_stream_service = IGStreamService(ig_service)
ig_session = ig_stream_service.create_session()
accountId = ig_session[u'accounts'][0][u'accountId']
ig_stream_service.connect(accountId)
initial_equity = PriceParser.parse(500000.00)
# Use IG Tick Price Handler
price_handler = IGTickPriceHandler(events_queue, ig_stream_service,
tickers)
# Use the Display Strategy
strategy = DisplayStrategy(n=n, n_window=n_window)
# Use an example Position Sizer
position_sizer = FixedPositionSizer()
# Use an example Risk Manager
risk_manager = ExampleRiskManager()
# Use the default Portfolio Handler
portfolio_handler = PortfolioHandler(initial_equity, events_queue,
price_handler, position_sizer,
risk_manager)
# Use the ExampleCompliance component
compliance = ExampleCompliance(config)
# Use a simulated IB Execution Handler
execution_handler = IBSimulatedExecutionHandler(events_queue,
price_handler, compliance)
# Use the default Statistics
statistics = SimpleStatistics(config, portfolio_handler)
# Set up the backtest
backtest = Backtest(price_handler, strategy, portfolio_handler,
execution_handler, position_sizer, risk_manager,
statistics, initial_equity)
results = backtest.simulate_trading(testing=testing)
statistics.save(filename)
return results
def _init_stream(self):
ig_stream_service = IGStreamService(self.broker.session)
ig_session = ig_stream_service.create_session()
# Ensure configured account is selected
account = self.broker.current_account
if account is not None:
ig_stream_service.connect(account)
subscription = Subscription(
mode=self.mode,
items=self.items,
fields=self.fields,
)
subscription.addlistener(self.on_update)
sub_key_prices = ig_stream_service.ls_client.subscribe(subscription)
def main():
# setup
global priceObj
# logging.basicConfig(level=logging.INFO)
config = IGServiceConfig()
ig_service = IGService(config.username, config.password, config.api_key,
config.acc_type)
ig_stream_service = IGStreamService(ig_service)
ig_session = ig_stream_service.create_session()
accounts = ig_session[u'accounts']
for account in accounts:
if account[u'accountId'] == config.acc_number:
accountId = account[u'accountId']
break
ig_stream_service.connect(accountId)
# save to DB thread
sched = BackgroundScheduler()
sched.add_job(saveToDB, 'interval', seconds=5)
sched.start()
# Making a new Subscription in MERGE mode
subscriptionCap = 38
subscriptionCurrent = 0
i = 0
listSubscription = []
while i < len(priceObj):
items = list(priceObj.keys())[i:i + subscriptionCap]
subscription_prices = Subscription(mode="MERGE",
items=items,
fields=["BID", "OFFER"])
subscription_prices.addlistener(onPriceUpdate)
sub_key_prices = ig_stream_service.ls_client.subscribe(
subscription_prices)
listSubscription.append(sub_key_prices)
time.sleep(2)
# print(subscription_prices)
print(items)
i += subscriptionCap
input("{0:-^80}\n".format("Press Enter to close"))
# Disconnecting
ig_stream_service.disconnect()
def main():
logging.basicConfig(level=logging.INFO)
# logging.basicConfig(level=logging.DEBUG)
ig_service = IGService(config.username, config.password, config.api_key,
config.acc_type)
ig_stream_service = IGStreamService(ig_service)
ig_session = ig_stream_service.create_session()
accountId = ig_session[u'accounts'][0][u'accountId']
ig_stream_service.connect(accountId)
# Making a new Subscription in MERGE mode
subcription_prices = Subscription(
mode="MERGE",
items=['L1:CS.D.GBPUSD.CFD.IP', 'L1:CS.D.USDJPY.CFD.IP'],
fields=["UPDATE_TIME", "BID", "OFFER", "CHANGE", "MARKET_STATE"],
)
#adapter="QUOTE_ADAPTER")
# Adding the "on_price_update" function to Subscription
subcription_prices.addlistener(on_prices_update)
# Registering the Subscription
sub_key_prices = ig_stream_service.ls_client.subscribe(subcription_prices)
# Making an other Subscription in MERGE mode
subscription_account = Subscription(
mode="MERGE",
items='ACCOUNT:' + accountId,
fields=["AVAILABLE_CASH"],
)
# #adapter="QUOTE_ADAPTER")
# Adding the "on_balance_update" function to Subscription
subscription_account.addlistener(on_account_update)
# Registering the Subscription
sub_key_account = ig_stream_service.ls_client.subscribe(
subscription_account)
compat.wait_for_input(
"{0:-^80}\n".format("HIT CR TO UNSUBSCRIBE AND DISCONNECT FROM \
LIGHTSTREAMER"))
# Disconnecting
ig_stream_service.disconnect()
def main():
logging.basicConfig(level=logging.INFO)
# logging.basicConfig(level=logging.DEBUG)
ig_service = IGService(config.username, config.password, config.api_key, config.acc_type)
ig_stream_service = IGStreamService(ig_service)
ig_session = ig_stream_service.create_session()
accountId = ig_session[u'accounts'][0][u'accountId']
ig_stream_service.connect(accountId)
# Making a new Subscription in MERGE mode
subcription_prices = Subscription(
mode="MERGE",
items=['L1:CS.D.GBPUSD.CFD.IP', 'L1:CS.D.USDJPY.CFD.IP'],
fields=["UPDATE_TIME", "BID", "OFFER", "CHANGE", "MARKET_STATE"],
)
#adapter="QUOTE_ADAPTER")
# Adding the "on_price_update" function to Subscription
subcription_prices.addlistener(on_prices_update)
# Registering the Subscription
sub_key_prices = ig_stream_service.ls_client.subscribe(subcription_prices)
# Making an other Subscription in MERGE mode
subscription_account = Subscription(
mode="MERGE",
items='ACCOUNT:'+accountId,
fields=["AVAILABLE_CASH"],
)
# #adapter="QUOTE_ADAPTER")
# Adding the "on_balance_update" function to Subscription
subscription_account.addlistener(on_account_update)
# Registering the Subscription
sub_key_account = ig_stream_service.ls_client.subscribe(subscription_account)
compat.wait_for_input("{0:-^80}\n".format("HIT CR TO UNSUBSCRIBE AND DISCONNECT FROM \
LIGHTSTREAMER"))
# Disconnecting
ig_stream_service.disconnect()
def main():
epics1 = [
'CHART:CS.D.GBPEUR.MINI.IP:1MINUTE',
'CHART:IR.D.10YEAR100.FWM2.IP:1MINUTE',
'CHART:CC.D.LCO.UME.IP:1MINUTE', 'CHART:CS.D.NZDUSD.MINI.IP:1MINUTE',
'CHART:CS.D.USDCAD.MINI.IP:1MINUTE',
'CHART:CS.D.USDJPY.MINI.IP:1MINUTE', 'CHART:CO.D.RR.FWM1.IP:1MINUTE',
'CHART:CO.D.O.FWM2.IP:1MINUTE', 'CHART:IX.D.SPTRD.IFM.IP:1MINUTE',
'CHART:IX.D.NASDAQ.IFE.IP:1MINUTE'
]
epics2 = ['CHART:CS.D.GBPEUR.MINI.IP:1MINUTE']
epics3 = ['CHART:IR.D.10YEAR100.FWM2.IP:1MINUTE']
epics4 = ['CHART:CS.D.NZDUSD.MINI.IP:1MINUTE']
epics2 = ['CHART:KA.D.ECHOGS.CASH.IP:1MINUTE']
logging.basicConfig(level=logging.INFO)
# logging.basicConfig(level=logging.DEBUG)
ig_service = IGService(config.username, config.password, config.api_key,
config.acc_type)
ig_stream_service = IGStreamService(ig_service)
ig_session = ig_stream_service.create_session()
# Ensure configured account is selected
accounts = ig_session[u'accounts']
for account in accounts:
if account[u'accountId'] == config.acc_number:
accountId = account[u'accountId']
break
else:
print('Account not found: {0}'.format(config.acc_number))
accountId = None
ig_stream_service.connect(accountId)
# Making a new Subscription in MERGE mode
subscription_prices = Subscription(
mode="MERGE",
items=epics1,
fields=["UTM", "BID_OPEN", "BID_HIGH", "BID_LOW", "BID_CLOSE"],
)
# adapter="QUOTE_ADAPTER")
# Adding the "on_price_update" function to Subscription
subscription_prices.addlistener(on_prices_update)
# Registering the Subscription
sub_key_prices = ig_stream_service.ls_client.subscribe(subscription_prices)
# Making an other Subscription in MERGE mode
subscription_account = Subscription(
mode="MERGE",
items=['ACCOUNT:' + accountId],
fields=["AVAILABLE_CASH"],
)
# #adapter="QUOTE_ADAPTER")
# Registering the Subscription
sub_key_account = ig_stream_service.ls_client.subscribe(
subscription_account)
input("{0:-^80}\n".format("HIT CR TO UNSUBSCRIBE AND DISCONNECT FROM \
LIGHTSTREAMER"))
# Disconnecting
ig_stream_service.disconnect()
def main():
logging.basicConfig(level=logging.INFO)
# logging.basicConfig(level=logging.DEBUG)
ig_service = IGService(config.username, config.password, config.api_key,
config.acc_type)
ig_stream_service = IGStreamService(ig_service)
ig_session = ig_stream_service.create_session()
# Ensure configured account is selected
accounts = ig_session[u"accounts"]
for account in accounts:
if account[u"accountId"] == config.acc_number:
accountId = account[u"accountId"]
break
else:
print("Account not found: {0}".format(config.acc_number))
accountId = None
ig_stream_service.connect(accountId)
# Making a new Subscription in MERGE mode
subscription_prices = Subscription(
mode="MERGE",
items=["CHART:CS.D.EURUSD.MINI.IP:1MINUTE"],
fields=[
"LTV", "UTM", "DAY_OPEN_MID", "DAY_NET_CHG_MID",
"DAY_PERC_CHG_MID", "DAY_HIGH", "DAY_LOW", "OFR_OPEN", "OFR_HIGH",
"OFR_LOW", "OFR_CLOSE", "BID_OPEN", "BID_HIGH", "BID_LOW",
"BID_CLOSE", "LTP_OPEN", "LTP_HIGH", "LTP_LOW", "LTP_CLOSE",
"CONS_END", "CONS_TICK_COUNT"
],
)
# adapter="QUOTE_ADAPTER")
# Adding the "on_price_update" function to Subscription
subscription_prices.addlistener(on_prices_update)
# Registering the Subscription
sub_key_prices = ig_stream_service.ls_client.subscribe(subscription_prices)
# Making an other Subscription in MERGE mode
subscription_account = Subscription(
mode="MERGE",
items=["ACCOUNT:" + accountId],
fields=["AVAILABLE_CASH"],
)
# #adapter="QUOTE_ADAPTER")
# Adding the "on_balance_update" function to Subscription
subscription_account.addlistener(on_account_update)
# Registering the Subscription
sub_key_account = ig_stream_service.ls_client.subscribe(
subscription_account)
heartbeat_items = ["TRADE:HB.U.HEARTBEAT.IP"]
heartbeat = Subscription(
mode='MERGE',
items=heartbeat_items,
fields=["HEARTBEAT"],
)
heartbeat.addlistener(on_heartbeat_update)
sub_heartbeat = ig_stream_service.ls_client.subscribe(heartbeat)
input("{0:-^80}\n".format("HIT CR TO UNSUBSCRIBE AND DISCONNECT FROM \
LIGHTSTREAMER"))
# Disconnecting
ig_stream_service.disconnect()
producer.flush()