lma26756 / my_bt_ig_store

bt-ig-store

IG markets store for Backtrader

Warning UNDER Development

Currently integration is very limited. Only streaming is working.

Requires

1 - trading_ig

A lightweight Python library that can be used to get live data from IG Markets REST and STREAM API

• https://github.com/ig-python/ig-markets-api-python-library

2 - Backtrader

Python Backtesting library for trading strategies

• https://github.com/mementum/backtrader
• https://www.backtrader.com

3 - Pandas.

• http://pandas.pydata.org/

Current Functionality

• Basic instrument streaming
• Performs the open position check when initialized to track existing positions
• Opening and closing of simple Market orders using the self.buy() and self.close() is now supported.
• Set IG currency code as a store initialization parameter (Default GBP).
• Stop order creation and cancellation supported.
• Limit order creation and cancellation supported.
• expiry, guaranteed_stop, time_in_force, and good_till_date parameters
• New: Improved streamer setup. Can use the same streamer for multiple get_instruments rather than creating multiple streamers
• New: Manual pull of cash and value
• New: Account cash and value live streaming
• FIX: Level Set during order creation caused MARKET Orders to be rejected can now all be passed as key word arguments during order creation and handled appropriately. Defaults are used where no kwarg is passed.

Known Issues

See the issues tab: https://github.com/Dave-Vallance/bt-ig-store/issues

Value for header {Version: 2} must be of type str or bytes, not <class 'int'>

This issue is documented in the issues tab. If you see it, you should make sure you have the latest trading_ig module code.

Streaming Example

import backtrader as bt
from datetime import datetime
import logging
from bt_ig import IGStore
from bt_ig import IGData


api_key = 'INSERT YOUR API KEY'
usr = 'INSERT YOUR USERNAME'
pwd = 'INSERT YOU PASSWORD'
acc = "INSERT YOUR ACC NUM"

class IGTest(bt.Strategy):
    '''
    Simple strat to test IGStore.
    '''
    def __init__(self):
        pass

    def next(self):
        dt = self.datetime.datetime()
        bar = len(self)
        print('{}: O: {} H: {} L: {} C:{}'.format(dt, self.data.open[0],
                        self.data.high[0],self.data.low[0],self.data.close[0]))


        if bar == 1:
            print('Testing Get Cash!')
            cash = self.broker.getcash()
            print("Current Cash: {}".format(cash))

            print('Testing Get Value!')
            value = self.broker.getvalue()
            print("Current Value: {}".format(value))

        if bar == 2:
            print('Testing Simple Order!')
            pos = self.broker.getposition(self.data)
            self.buy(size=5)
        if bar == 3:
            print('Closing Order')
            pos = self.broker.getposition(self.data)
            print('Open Position Size = {}'.format(pos.size))
            cOrd = self.close()
            print('Closing Order Size = {}'.format(cOrd.size))

            # CHECK CASH AND EQUITY ARE AUTMATICALLY BEING UPDATED
            cash = self.broker.getcash()
            value = self.broker.getvalue()
            print("Current Cash: {}".format(cash))
            print("Current Value: {}".format(value))

        if bar == 4:
            print('Testing Limit Order')
            limit_price = self.data.close[0] * 0.9 #Buy better price 10% lower
            self.limit_ord = self.buy(exectype=bt.Order.Limit, price=limit_price, size=5)

        if bar == 5:
            print('Cancelling Limit Order')
            self.cancel(self.limit_ord)

        if bar ==6:
            print('Testing Stop Order')
            stop_price = self.data.close[0] * 0.9 #buy at a worse price 10% lower
            self.stop_ord = self.buy(exectype=bt.Order.Limit, price=stop_price, size=5)

        if bar == 7:
            print('Cancelling Stop Order')
            self.cancel(self.stop_ord)

        if bar == 8:
            print("Test Finished")
            self.env.runstop()


    def notify_order(self,order):
        if order.status == order.Rejected:
            print('Order Rejected')


#Logging - Uncomment to see ig_trading library logs
#logging.basicConfig(level=logging.DEBUG)

tframes = dict(
    seconds = bt.TimeFrame.Seconds,
    minutes=bt.TimeFrame.Minutes,
    daily=bt.TimeFrame.Days,
    weekly=bt.TimeFrame.Weeks,
    monthly=bt.TimeFrame.Months)

#Create an instance of cerebro
cerebro = bt.Cerebro()

#Setup IG
igs = IGStore(usr=usr, pwd=pwd, token=api_key, account=sbet)
broker = igs.getbroker()
cerebro.setbroker(broker)


data = igs.getdata(dataname='CS.D.GBPUSD.TODAY.IP')
#Replay the data in forward test envirnoment so we can act quicker
cerebro.resampledata(data, timeframe=tframes['seconds'], compression=15, name='GBP_USD')

#Add our strategy
cerebro.addstrategy(IGTest)

# Run over everything
cerebro.run()