mygs / btg-hb-api

BTGPactual Home Broker 3rd party api

This is a Python api to connect with BTGPactual Web Home Broker. This api enables users to develop their own tools to support theirs trading strategies.

Configuration keys

Create config.json file, just like bellow:

{
  "SYMBOLS": ["?????"],
  "ACCOUNT": "?????",
  "TKNWF": "?????",
  "ENDPOINT": "wss://webfeeder.btgpactual.com/ws?reconnect="
}

replace "?????" accordingly:

KEY	VALUE
SYMBOLS	Symbols to be monitored
ACCOUNT	Your BTG account number
TKNWF	Web Home Broker Token
ENDPOINT	Websocket URL

AggregatedBookType example

BID #	BID QTY	BID $	ASK $	ASK QTY	ASK #
1	100.0	98.45	98.5	200.0	2
1	3000.0	98.43	98.54	3500.0	1
...	...	...	...	...	...
3	300.0	98.25	98.7	900.0	4
1	100.0	98.24	98.75	400.0	4

BusinessBookType example

QTY	PRICE	BUY	TIME	SELL	AGRESSOR
700	22.39	40	Mar 7, 2021 6:11:23 PM	3	I
1000	22.39	40	Mar 7, 2021 6:11:23 PM	1099	I
...	...	...	...	...	...
3000	22.39	40	Mar 7, 2021 6:11:23 PM	386	I
1500	22.39	40	Mar 7, 2021 6:11:23 PM	1099	I

AggregatedBookAnalytics

ANALYTIC	RESULT
Bid/Ask Spread $	0.040
Book depth	15
Book Imbalance	-0.016
Balance Ask %	0.508
Weighted Ask $	22.736
Best Ask $	22.42
Weighted Price $	22.474
Weighted Mid Price $	22.400
Middle Price $	22.400
Best Bid $	22.38
Weighted Bid $	22.209
Balance Bid %	0.492

Broker ranking example

BROKER_ID	BROKER_NAME	NET	QTY	AGRESSOR
8	UBS Brasil. CCTVM	18747882.0	2765200	2301
3	XP INVESTIMENTOS CCTVM S.A	-52130499.0	2330000	2925
13	MERRILL LYNCH S.A. CTVM	-25250738.0	2119500	614
120	BRASIL PLURAL	-1282870.0	1462400	1454
1618	IDEAL	9834157.0	1289700	1266
45	CREDIT SUISSE BRASIL S.A. CTVM	91518926.0	1216700	4122
85	BTG PACTUAL CTVM S.A	41743156.0	1074500	1004
40	MORGAN STANLEY D. W. CTVM S.A.	-32823650.0	971200	859
77	CITIGROUP	-55768921.0	865100	693
72	BRADESCO S.A. CTVM	-10668241.0	630900	634
114	ITAU CV S/A	-25425228.0	542300	1246
308	CLEAR CTVM LTDA	-121657.0	480100	1579
386	OCTO CTVM S/A	-3119380.0	384400	733
39	AGORA CTVM S.A.	-1111680.0	269000	256
238	GOLDMAN SACHS DO BRASIL CTVM	6045594.0	191400	371
27	SANTANDER S.A. CCT	-4072337.0	177200	106
129	PLANNER CV S.A	15209280.0	177100	221
23	NECTON	10825699.0	145800	187
16	J. P. MORGAN CCVM S.A.	-557135.0	134100	144
1982	MODAL DTVM	1203867.0	127800	380

Widgets for Limit Order Book statistics

Troubleshooting

• update TKNWF token and restart connection

{'message': 'Usuário não autorizado ou token inválido.', 'code': 111}

Reference

• Manual - Manual de Integração e Funcionalidade
• Manual BTG Homebroker
• Paper - The information content of an open limit-order book
• Thesis - Statistical Arbitrage Using Limit Order Book Imbalance
• Paper - A stochastic model for order book dynamics
• Article - Four ways to quantify synchrony between time series data
• SGX-Full-OrderBook-Tick-Data-Trading-Strategy - Modeling High-Frequency Limit Order Book Dynamics Using Machine Learning *448Project- High Freq Price Movement Strategy
• LOB *Herd behavior and aggregate fluctuations in financial markets
• Top Python trading packages for 2021
• Automating Stock Investing Technical Analysis With Python