backtrader/ibtutorial.py

## ibtutorial.py
#!/usr/bin/env python
# -*- coding: utf-8; py-indent-offset:4 -*-
###############################################################################
#
# Copyright (C) 2018 Daniel Rodriguez
#
# This program is free software: you can redistribute it and/or modify
# it under the terms of the GNU General Public License as published by
# the Free Software Foundation, either version 3 of the License, or
# (at your option) any later version.
#
# This program is distributed in the hope that it will be useful,
# but WITHOUT ANY WARRANTY; without even the implied warranty of
# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
# GNU General Public License for more details.
#
# You should have received a copy of the GNU General Public License
# along with this program.  If not, see <http://www.gnu.org/licenses/>.
#
###############################################################################
from __future__ import (absolute_import, division, print_function,
                        unicode_literals)

import backtrader as bt


class St(bt.Strategy):
    def logdata(self):
        txt = []
        txt.append('{}'.format(len(self)))
        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))

    data_live = False

    def notify_data(self, data, status, *args, **kwargs):
        print('*' * 5, 'DATA NOTIF:', data._getstatusname(status), *args)
        if status == data.LIVE:
            self.data_live = True

    def notify_order(self, order):
        if order.status == order.Completed:
            buysell = 'BUY ' if order.isbuy() else 'SELL'
            txt = '{} {}@{}'.format(buysell, order.executed.size,
                                    order.executed.price)
            print(txt)

    bought = 0
    sold = 0

    def next(self):
        self.logdata()
        if not self.data_live:
            return

        if not self.bought:
            self.bought = len(self)  # keep entry bar
            self.buy()
        elif not self.sold:
            if len(self) == (self.bought + 3):
                self.sell()


def run(args=None):
    cerebro = bt.Cerebro(stdstats=False)
    store = bt.stores.IBStore(port=7497)

    data = store.getdata(dataname='TWTR', timeframe=bt.TimeFrame.Ticks)
    cerebro.resampledata(data, timeframe=bt.TimeFrame.Seconds, compression=10)

    cerebro.broker = store.getbroker()

    cerebro.addstrategy(St)
    cerebro.run()


if __name__ == '__main__':
    run()
	#!/usr/bin/env python
	# -- coding: utf-8; py-indent-offset:4 --
	###############################################################################
	#
	# Copyright (C) 2018 Daniel Rodriguez
	#
	# This program is free software: you can redistribute it and/or modify
	# it under the terms of the GNU General Public License as published by
	# the Free Software Foundation, either version 3 of the License, or
	# (at your option) any later version.
	#
	# This program is distributed in the hope that it will be useful,
	# but WITHOUT ANY WARRANTY; without even the implied warranty of
	# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
	# GNU General Public License for more details.
	#
	# You should have received a copy of the GNU General Public License
	# along with this program. If not, see <http://www.gnu.org/licenses/>.
	#
	###############################################################################
	from __future__ import (absolute_import, division, print_function,
	unicode_literals)

	import backtrader as bt


	class St(bt.Strategy):
	def logdata(self):
	txt = []
	txt.append('{}'.format(len(self)))
	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))

	data_live = False

	def notify_data(self, data, status, args, *kwargs):
	print('' 5, 'DATA NOTIF:', data._getstatusname(status), *args)
	if status == data.LIVE:
	self.data_live = True

	def notify_order(self, order):
	if order.status == order.Completed:
	buysell = 'BUY ' if order.isbuy() else 'SELL'
	txt = '{} {}@{}'.format(buysell, order.executed.size,
	order.executed.price)
	print(txt)

	bought = 0
	sold = 0

	def next(self):
	self.logdata()
	if not self.data_live:
	return

	if not self.bought:
	self.bought = len(self) # keep entry bar
	self.buy()
	elif not self.sold:
	if len(self) == (self.bought + 3):
	self.sell()


	def run(args=None):
	cerebro = bt.Cerebro(stdstats=False)
	store = bt.stores.IBStore(port=7497)

	data = store.getdata(dataname='TWTR', timeframe=bt.TimeFrame.Ticks)
	cerebro.resampledata(data, timeframe=bt.TimeFrame.Seconds, compression=10)

	cerebro.broker = store.getbroker()

	cerebro.addstrategy(St)
	cerebro.run()


	if __name__ == '__main__':
	run()