Ib portfolio

.travis.yml

@@ -1,9 +1,11 @@
 sudo: false
 
 language: python
+python:
+  - "3.4"
+  - "3.5"
 
 env:
-  - PYTHON=2.7 PANDAS=0.18.0
   - PYTHON=3.4 PANDAS=0.18.0
   - PYTHON=3.5 PANDAS=0.18.0
 
@@ -14,6 +16,10 @@ env:
 #        - env: PYTHON=2.7 PANDAS=0.11.0
 
 install:
+  - wget http://interactivebrokers.github.io/downloads/twsapi_macunix.973.02.zip
+  - unzip twsapi_macunix.973.02.zip
+  - pip install IBJts/source/pythonclient/
+
   - pip install -qq flake8
   # You may want to periodically update this, although the conda update
   # conda line below will keep everything up-to-date.  We do this

examples/buy_and_hold_historic_ib.py

@@ -0,0 +1,103 @@
+import datetime
+
+from qstrader import settings
+from qstrader.strategy.base import AbstractStrategy
+from qstrader.event import SignalEvent, EventType
+from qstrader.compat import queue
+from qstrader.trading_session import TradingSession
+from qstrader.service.ib import IBService
+from qstrader.price_handler.ib_bar import IBBarPriceHandler
+from ibapi.contract import Contract
+
+
+class BuyAndHoldStrategy(AbstractStrategy):
+    """
+    A testing strategy that simply purchases (longs) any asset that
+    matches what was passed in on initialization and
+    then holds until the completion of a backtest.
+    """
+    def __init__(
+        self, tickers, events_queue,
+        base_quantity=100
+    ):
+        self.tickers = tickers
+        self.invested = dict.fromkeys(tickers)
+        self.events_queue = events_queue
+        self.base_quantity = base_quantity
+
+    def calculate_signals(self, event):
+        if (
+            event.type in [EventType.BAR, EventType.TICK] and
+            event.ticker in self.tickers
+        ):
+            if not self.invested[event.ticker]:
+                signal = SignalEvent(
+                    event.ticker, "BOT",
+                    suggested_quantity=self.base_quantity
+                )
+                self.events_queue.put(signal)
+                self.invested[event.ticker] = True
+
+
+def run(config, testing, tickers, filename):
+    # Backtest information
+    title = ['Buy and Hold Historic IB Example']
+    initial_equity = 10000.0
+    events_queue = queue.Queue()
+
+    # Set up IBService
+    ib_service = IBService()
+    ib_service.connect("127.0.0.1", 4001, 0)  # TODO from config
+    ib_service.start()
+
+    # Set up IB Contract objects for the PriceHandler
+    # MORE INFO: https://www.interactivebrokers.com/en/?f=%2Fen%2Fgeneral%2Fcontact%2FtipsContractsDatabaseSearch.php%3Fib_entity%3Dllc
+    symbols = ["CBA", "BHP", "STO", "FMG", "WOW", "WES"]
+    contracts = []
+    for symbol in symbols:
+        contract = Contract()
+        contract.exchange = "SMART"
+        contract.symbol = symbol
+        contract.secType = "STK"
+        contract.currency = "AUD"
+        contracts.append(contract)
+
+    # Set up the IB PriceHandler. Want 5 day's of minute bars, up to yesterday.
+    # Look at IB Documentation for possible values.
+    end_date = datetime.datetime.now() - datetime.timedelta(days=1)
+    price_handler = IBBarPriceHandler(
+        ib_service, events_queue, contracts, config,
+        "historic", end_date, hist_duration="5 D", barsize="1 min"
+    )
+
+    # Use the Buy and Hold Strategy
+    strategy = BuyAndHoldStrategy(tickers, events_queue)
+
+    # Start/End TODO redundant -- only required for default (Yahoo) price handler.
+    start_date = datetime.datetime(2000, 1, 1)
+    end_date = datetime.datetime(2014, 1, 1)
+
+    # Set up the backtest
+    backtest = TradingSession(
+        config, strategy, tickers,
+        initial_equity, start_date, end_date,
+        events_queue, price_handler=price_handler, title=title
+    )
+    results = backtest.start_trading(testing=testing)
+
+    # Disconnect from services
+    ib_service.stop_event.set()
+    ib_service.join()
+
+    return results
+
+
+if __name__ == "__main__":
+    # Configuration data
+    testing = False
+    config = settings.from_file(
+        settings.DEFAULT_CONFIG_FILENAME, testing
+    )
+    tickers = ["CBA", "BHP", "STO", "FMG", "WOW", "WES"]
+    filename = None
+    run(config, testing, tickers, filename)

examples/buy_and_hold_live_ib.py

@@ -0,0 +1,136 @@
+import datetime
+
+from qstrader.price_parser import PriceParser
+from qstrader import settings
+from qstrader.strategy.base import Strategies, AbstractStrategy
+from qstrader.event import SignalEvent, EventType
+from qstrader.compat import queue
+from qstrader.trading_session import TradingSession
+from qstrader.service.ib import IBService
+from qstrader.price_handler.ib_bar import IBBarPriceHandler
+from ibapi.contract import Contract
+
+
+class DisplayStrategy(AbstractStrategy):
+    """
+    A strategy which display ticks / bars
+    params:
+        n = 10000
+        n_window = 5
+    """
+    def __init__(self, n=100, n_window=5):
+        self.n = n
+        self.n_window = n_window
+        self.i = 0
+
+    def calculate_signals(self, event):
+        if event.type in [EventType.TICK, EventType.BAR]:
+            # Format the event for human display
+            if event.type == EventType.BAR:
+                event.open_price = PriceParser.display(event.open_price)
+                event.high_price = PriceParser.display(event.high_price)
+                event.low_price = PriceParser.display(event.low_price)
+                event.close_price = PriceParser.display(event.close_price)
+                event.adj_close_price = PriceParser.display(event.adj_close_price)
+            else:  # event.type == EventType.TICK
+                event.bid = PriceParser.display(event.bid)
+                event.ask = PriceParser.display(event.ask)
+
+            if self.i % self.n in range(self.n_window):
+                print("%d %s" % (self.i, event))
+            self.i += 1
+
+
+class BuyAndHoldStrategy(AbstractStrategy):
+    """
+    A testing strategy that simply purchases (longs) any asset that
+    matches what was passed in on initialization and
+    then holds until the completion of a backtest.
+    """
+    def __init__(
+        self, tickers, events_queue,
+        base_quantity=100
+    ):
+        self.tickers = tickers
+        self.invested = dict.fromkeys(tickers)
+        self.events_queue = events_queue
+        self.base_quantity = base_quantity
+
+    def calculate_signals(self, event):
+        if (
+            event.type in [EventType.BAR, EventType.TICK] and
+            event.ticker in self.tickers
+        ):
+            if not self.invested[event.ticker]:
+                signal = SignalEvent(
+                    event.ticker, "BOT",
+                    suggested_quantity=self.base_quantity
+                )
+                self.events_queue.put(signal)
+                self.invested[event.ticker] = True
+
+
+def run(config, testing, tickers, filename):
+    # Backtest information
+    title = ['Buy and Hold Live IB Example -- 5 Sec Bars']
+    initial_equity = 10000.0
+    events_queue = queue.Queue()
+
+    # Set up IBService
+    ib_service = IBService()
+    ib_service.connect("127.0.0.1", 4001, 0)  # TODO from config
+    ib_service.start()
+
+    # Set up IB Contract objects for the PriceHandler
+    # MORE INFO: https://www.interactivebrokers.com/en/?f=%2Fen%2Fgeneral%2Fcontact%2FtipsContractsDatabaseSearch.php%3Fib_entity%3Dllc
+    symbols = ["CBA", "BHP", "STO", "FMG", "WOW", "WES"]
+    contracts = []
+    for symbol in symbols:
+        contract = Contract()
+        contract.exchange = "SMART"
+        contract.symbol = symbol
+        contract.secType = "STK"
+        contract.currency = "AUD"
+        contracts.append(contract)
+
+    # Set up the IB PriceHandler. Want 5 day's of minute bars, up to yesterday.
+    # Look at IB Documentation for possible values.
+    end_date = datetime.datetime.now() - datetime.timedelta(days=1)
+    price_handler = IBBarPriceHandler(
+        ib_service, events_queue, contracts, config,
+        "live"
+    )
+
+    # Use the Buy and Hold Strategy
+    strategy = Strategies(BuyAndHoldStrategy(tickers, events_queue), DisplayStrategy(n=20))
+
+    # Start/End TODO redundant -- only required for default (Yahoo) price handler.
+    start_date = datetime.datetime(2000, 1, 1)
+    end_date = datetime.datetime(2014, 1, 1)
+
+    # Set up the backtest
+    session = TradingSession(
+        config, strategy, tickers,
+        initial_equity, start_date, end_date,
+        events_queue, session_type="live",
+        end_session_time=datetime.datetime.now() + datetime.timedelta(minutes=10),
+        price_handler=price_handler, title=title
+    )
+    results = session.start_trading(testing=testing)
+
+    # Disconnect from services
+    ib_service.stop_event.set()
+    ib_service.join()
+
+    return results
+
+
+if __name__ == "__main__":
+    # Configuration data
+    testing = False
+    config = settings.from_file(
+        settings.DEFAULT_CONFIG_FILENAME, testing
+    )
+    tickers = ["CBA", "BHP", "STO", "FMG", "WOW", "WES"]
+    filename = None
+    run(config, testing, tickers, filename)

qstrader/compliance/example.py

@@ -40,7 +40,7 @@ def __init__(self, config):
             "commission"
         ]
         fname = os.path.expanduser(os.path.join(self.config.OUTPUT_DIR, self.csv_filename))
-        with open(fname, 'a') as csvfile:
+        with open(fname, 'a+') as csvfile:
             writer = csv.DictWriter(csvfile, fieldnames=fieldnames)
             writer.writeheader()
 
@@ -49,7 +49,7 @@ def record_trade(self, fill):
         Append all details about the FillEvent to the CSV trade log.
         """
         fname = os.path.expanduser(os.path.join(self.config.OUTPUT_DIR, self.csv_filename))
-        with open(fname, 'a') as csvfile:
+        with open(fname, 'a+') as csvfile:
             writer = csv.writer(csvfile)
             writer.writerow([
                 fill.timestamp, fill.ticker,

qstrader/ib_portfolio.py

@@ -0,0 +1,46 @@
+import time
+from .position import Position
+from .portfolio import Portfolio
+
+class IBPortfolio(Portfolio):
+    def __init__(self, ib_service, price_handler, cash):
+        """
+        On creation, the IB Portfolio will request all current portfolio details
+        from the IB API.
+
+        WORK PROCESS:
+            * Subclass the existing Portfolio implementation, override init() only
+            * Bootstrap the portfolio by requesting current positions from IB
+            * Decide where we handle OrderStatus() events (guessing ExecutionHandler)
+        """
+        Portfolio.__init__(self, price_handler, cash)
+        self.ib_service = ib_service
+
+        # Bootstrap the portfolio by loading data from IB.
+        self.ib_service.reqAccountUpdates(True, "")
+        time.sleep(5)  # Ugly, but no way to implement future/promise with IB's response?
+        while not self.ib_service.portfolioUpdatesQueue.empty():
+            # Create the position
+            portfolioUpdate = self.ib_service.portfolioUpdatesQueue.get(False)
+            contract = portfolioUpdate[0]
+            contract.exchange = contract.primaryExchange
+            position = Position(
+                "BOT" if portfolioUpdate[1] > 0 else "SLD",
+                contract.symbol, portfolioUpdate[1], 0, 0, 0, 0
+            )
+            # Override some of the position variables
+            if portfolioUpdate[1] > 0:
+                position.buys = portfolioUpdate[1]  ## TODO Confirm correct
+            else:
+                position.sells = portfolioUpdate[1] ## TODO Confirm correct
+            position.quantity = portfolioUpdate[1]
+            position.init_price = portfolioUpdate[4]
+            position.realised_pnl = portfolioUpdate[6]
+            position.unrealized_pnl = portfolioUpdate[5]
+            position.market_value = portfolioUpdate[3]
+
+            # Add the position to the QSTrader portfolio
+            self.positions[contract.symbol] = position
+
+            # Subscribe the PriceHandler to this position so we get updates on value.
+            self.price_handler._subscribe_contract(contract)