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View pythonIBAPIexample1.py
# Gist example of IB wrapper ...
#
# Download API from http://interactivebrokers.github.io/#
#
# Install python API code /IBJts/source/pythonclient $ python3 setup.py install
#
# Note: The test cases, and the documentation refer to a python package called IBApi,
# but the actual package is called ibapi. Go figure.
#
# Get the latest version of the gateway:
View temp.py
from systems.provided.futures_chapter15.basesystem import *
sys = futures_system()
config = sys.config
del(config.instrument_weights) # ensures all instruments are used equally weighted
config.forecast_weights=dict(ewmac16_64=0.333, ewmac32_128=0.333, ewmac64_256=0.3333)
config.use_forecast_div_mult_estimates=True
config.use_instrument_div_mult_estimates=True
config.use_forecast_scale_estimates=False
system = futures_system(config=config)
acc = system.accounts.portfolio()
View handcrafting_test_implementation.py
"""
Get some data to test the handcrafting method
"""
from sysdata.csv.csv_sim_futures_data import csvFuturesSimData
from syscore.handcrafting import Portfolio
import pandas as pd
data=csvFuturesSimData()
code_list = ['BOBL', 'BUND', 'US10', 'US20', 'KR3','KR10','EDOLLAR', 'CORN', 'CRUDE_W', 'GAS_US']
View handcrafting.py
"""
Implement the handcrafting method
This is 'self contained code' which requires wrapping before using in pysystemtrade
"""
## CAVEATS:
## Uses weekly returns (resample needed first)
## Doesn't deal with missing assets
@robcarver17
robcarver17 / temp.py
Created Jul 6, 2017
ibAPIexample2.py
View temp.py
# Gist example of IB wrapper ...
#
# Download API from http://interactivebrokers.github.io/#
#
# Install python API code /IBJts/source/pythonclient $ python3 setup.py install
#
# Note: The test cases, and the documentation refer to a python package called IBApi,
# but the actual package is called ibapi. Go figure.
#
# Get the latest version of the gateway:
View contractstrade.py
from syslogdiag.ourlogging import logger
from math import copysign
def contracts_trade(total_trades, pos_priced, pos_forward, rolling=False):
"""
Given actual contracts decide what to trade
Note at this stage contracts are identified in as PRICE, FORWARD
Any rogue contracts not in that space would have been signalled / weeded out by now
@robcarver17
robcarver17 / temp.py
Created Sep 13, 2017
currency quotes
View temp.py
# Gist example of IB wrapper ...
#
# Download API from http://interactivebrokers.github.io/#
#
# Install python API code /IBJts/source/pythonclient $ python3 setup.py install
#
# Note: The test cases, and the documentation refer to a python package called IBApi,
# but the actual package is called ibapi. Go figure.
#
# Get the latest version of the gateway:
View Create a bunch of trading rules for skew and kurtosis
import numpy as np
from systems.provided.futures_chapter15.basesystem import *
import numpy as np
from syscore.algos import robust_vol_calc
## test kurtosis AND skew with trading rules
View IBaccountupdatenativepython.py
# Gist example of IB wrapper ...
#
# Download API from http://interactivebrokers.github.io/#
#
# Install python API code /IBJts/source/pythonclient $ python3 setup.py install
#
# Note: The test cases, and the documentation refer to a python package called IBApi,
# but the actual package is called ibapi. Go figure.
#
# Get the latest version of the gateway:
View temp.py
# Gist example of IB wrapper ...
#
# Download API from http://interactivebrokers.github.io/#
#
# Install python API code /IBJts/source/pythonclient $ python3 setup.py install
#
# Note: The test cases, and the documentation refer to a python package called IBApi,
# but the actual package is called ibapi. Go figure.
#
# Get the latest version of the gateway:
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