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Interactive Brokers in Python with backtrader
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#!/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() |
Hi I got an AttributeError: 'module' object has no attribute 'IBStore'
update: I found it is caused by anaconda envs. after reinstalled envs and bagcktrader, it works
How did you solve this? I have the same problem no matter what environment I use, Pycharm, VS code, jupyterlab, or Python IDE...
Hi I got an AttributeError: 'module' object has no attribute 'IBStore'
update: I found it is caused by anaconda envs. after reinstalled envs and bagcktrader, it worksHow did you solve this? I have the same problem no matter what environment I use, Pycharm, VS code, jupyterlab, or Python IDE...
I am the same. I am using Conda, I have backtrader and IBPY2 successfully installed and I still get this error. Any other solutions?
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hi guys, when I set cerebro.addsizer(bt.sizers.PercentSizer, percents=90), I got below error:
TypeError: error() takes 2 positional arguments but 4 were given
`Traceback (most recent call last):
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/ext/EClientSocket.py", line 970, in placeOrder
self.send(order.m_displaySize)
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/lib/overloading.py", line 82, in call
return func(*args)
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/ext/EClientSocket.py", line 1765, in send_3
self.send(str(val))
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/lib/overloading.py", line 82, in call
return func(*args)
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/ext/EClientSocket.py", line 1754, in send_1
self.m_dos.write(val)
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/lib/init.py", line 152, in write
send(pack('!c', char))
BrokenPipeError: [Errno 32] Broken pipe
During handling of the above exception, another exception occurred:
Traceback (most recent call last):
File "/Users/me/quan/backtrader/ibtutorial.py", line 86, in
run()
File "/Users/me/quan/backtrader/ibtutorial.py", line 82, in run
cerebro.run()
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/cerebro.py", line 1127, in run
runstrat = self.runstrategies(iterstrat)
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/cerebro.py", line 1298, in runstrategies
self._runnext(runstrats)
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/cerebro.py", line 1630, in _runnext
strat._next()
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/strategy.py", line 347, in _next
super(Strategy, self)._next()
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/lineiterator.py", line 271, in _next
self.next()
File "/Users/me/quan/backtrader/ibtutorial.py", line 64, in next
self.buy()
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/strategy.py", line 939, in buy
**kwargs)
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/brokers/ibbroker.py", line 379, in buy
return self.submit(order)
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/brokers/ibbroker.py", line 337, in submit
self.ib.placeOrder(order.m_orderId, order.data.tradecontract, order)
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/backtrader/stores/ibstore.py", line 1286, in placeOrder
self.conn.placeOrder(orderid, contract, order)
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/lib/init.py", line 60, in inner
return func(*args, **kwds)
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/ext/EClientSocket.py", line 1155, in placeOrder
self.error_0(id, EClientErrors.FAIL_SEND_ORDER, str(e))
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/lib/init.py", line 60, in inner
return func(*args, **kwds)
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/ext/EClientSocket.py", line 1709, in error_0
self.m_anyWrapper.error(id, errorCode, errorMsg)
File "/Users/me/anaconda3/envs/backtr/lib/python3.5/site-packages/ib/lib/overloading.py", line 82, in call
return func(*args)
TypeError: error() takes 2 positional arguments but 4 were given`