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Gunther-SchulzGunther-Schulz
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add support for ASK quotes for CASH assets (mementum#395)
Co-authored-by: Gunther Schulz <[email protected]>
1 parent edba801 commit 28be6ea

3 files changed

Lines changed: 121 additions & 3 deletions

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‎backtrader/feeds/ibdata.py‎

Lines changed: 3 additions & 1 deletion
Original file line numberDiff line numberDiff line change
@@ -113,6 +113,8 @@ class IBData(with_metaclass(MetaIBData, DataBase)):
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- 'BID' for CASH assets
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- 'TRADES' for any other
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Use 'ASK' for the Ask quote of cash assets
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Check the IB API docs if another value is wished
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- ``rtbar`` (default: ``False``)
@@ -412,7 +414,7 @@ def reqdata(self):
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return
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if self._usertvol:
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self.qlive = self.ib.reqMktData(self.contract)
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self.qlive = self.ib.reqMktData(self.contract, self.p.what)
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else:
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self.qlive = self.ib.reqRealTimeBars(self.contract)
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‎backtrader/stores/ibstore.py‎

Lines changed: 6 additions & 2 deletions
Original file line numberDiff line numberDiff line change
@@ -759,6 +759,8 @@ def reqHistoricalData(self, contract, enddate, duration, barsize,
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self.iscash[tickerId] = True
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if not what:
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what = 'BID' # TRADES doesn't work
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elif what is 'ASK':
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self.iscash[tickerId] = 2
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else:
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what = what or 'TRADES'
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@@ -827,7 +829,7 @@ def cancelRealTimeBars(self, q):
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self.cancelQueue(q, True)
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830-
def reqMktData(self, contract):
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def reqMktData(self, contract, what=None):
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'''Creates a MarketData subscription
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Params:
@@ -843,7 +845,9 @@ def reqMktData(self, contract):
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if contract.m_secType in ['CASH', 'CFD']:
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self.iscash[tickerId] = True
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ticks = '' # cash markets do not get RTVOLUME
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if what is 'ASK':
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self.iscash[tickerId] = 2
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# q.put(None) # to kickstart backfilling
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# Can request 233 also for cash ... nothing will arrive
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self.conn.reqMktData(tickerId, contract, bytes(ticks), False)

‎samples/ib-cash-bid-ask/ib-cash-bid-ask.py‎

Lines changed: 112 additions & 0 deletions
Original file line numberDiff line numberDiff line change
@@ -0,0 +1,112 @@
1+
#!/usr/bin/env python
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# -*- coding: utf-8; py-indent-offset:4 -*-
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###############################################################################
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#
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# Copyright (C) 2018 Daniel Rodriguez
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#
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# This program is free software: you can redistribute it and/or modify
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# it under the terms of the GNU General Public License as published by
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# the Free Software Foundation, either version 3 of the License, or
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# (at your option) any later version.
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#
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# This program is distributed in the hope that it will be useful,
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# but WITHOUT ANY WARRANTY; without even the implied warranty of
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# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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# GNU General Public License for more details.
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#
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# You should have received a copy of the GNU General Public License
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# along with this program. If not, see <http://www.gnu.org/licenses/>.
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#
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###############################################################################
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# When setting the parameter "what='ASK'" the quoted price for Ask will be used from the incoming messages (field 2) instead of the default Bid price (field 1).
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# BID: <tickPrice tickerId=16777217, field=1, price=1.11582, canAutoExecute=1>
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# ASK: <tickPrice tickerId=16777219, field=2, price=1.11583, canAutoExecute=1>
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from __future__ import (absolute_import, division, print_function,
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unicode_literals)
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import backtrader as bt
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import datetime
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class St(bt.Strategy):
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def logdata(self):
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txt = []
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txt.append('{}'.format(len(self)))
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txt.append('{}'.format(self.data.datetime.datetime(0).isoformat()))
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txt.append(' open BID: ' + '{}'.format(self.datas[0].open[0]))
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txt.append(' open ASK: ' + '{}'.format(self.datas[1].open[0]))
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txt.append(' high BID: ' + '{}'.format(self.datas[0].high[0]))
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txt.append(' high ASK: ' + '{}'.format(self.datas[1].high[0]))
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txt.append(' low BID: ' + '{}'.format(self.datas[0].low[0]))
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txt.append(' low ASK: ' + '{}'.format(self.datas[1].low[0]))
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txt.append(' close BID: ' + '{}'.format(self.datas[0].close[0]))
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txt.append(' close ASK: ' + '{}'.format(self.datas[1].close[0]))
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txt.append(' volume: ' + '{:.2f}'.format(self.data.volume[0]))
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print(','.join(txt))
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data_live = False
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def notify_data(self, data, status, *args, **kwargs):
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print('*' * 5, 'DATA NOTIF:', data._getstatusname(status), *args)
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if self.datas[0]._laststatus == self.datas[0].LIVE and self.datas[1]._laststatus == self.datas[1].LIVE:
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self.data_live = True
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# def notify_order(self, order):
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# if order.status == order.Completed:
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# buysell = 'BUY ' if order.isbuy() else 'SELL'
60+
# txt = '{} {}@{}'.format(buysell, order.executed.size,
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# order.executed.price)
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# print(txt)
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# bought = 0
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# sold = 0
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def next(self):
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self.logdata()
69+
if not self.data_live:
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return
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72+
# if not self.bought:
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# self.bought = len(self) # keep entry bar
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# self.buy()
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# elif not self.sold:
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# if len(self) == (self.bought + 3):
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# self.sell()
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ib_symbol = 'EUR.USD-CASH-IDEALPRO'
81+
compression = 5
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def run(args=None):
84+
cerebro = bt.Cerebro(stdstats=False)
85+
store = bt.stores.IBStore(port=7497,
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# _debug=True
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)
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data0 = store.getdata(dataname=ib_symbol,
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timeframe=bt.TimeFrame.Ticks,
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)
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cerebro.resampledata(data0,
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timeframe=bt.TimeFrame.Seconds,
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compression=compression
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)
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data1 = store.getdata(dataname=ib_symbol,
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timeframe=bt.TimeFrame.Ticks,
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what='ASK'
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)
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cerebro.resampledata(data1,
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timeframe=bt.TimeFrame.Seconds,
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compression=compression
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)
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cerebro.broker = store.getbroker()
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cerebro.addstrategy(St)
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cerebro.run()
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if __name__ == '__main__':
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run()

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