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Speaker: Dr. Hui LiutradingwithIB.com | [email protected]
28th September, 2016
Trading with Interactive Brokers using Python
Agenda
• Advantages of Interactive Brokers• Advantages of Python for trading• IBridgePy– Installation– Connecting to IB– PythonXY and Spider IDE– Real time quotes– Historical data– Place orders– An example code of moving average crossing
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Advantages of Interactive Brokers
• IB API to automate trading• Low trading cost• Global markets access• Variety of products: stocks, options, futures,
forex, bonds, ETFs and CFDs
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Advantages of Interactive Brokers
• Easy to learn• Availability of variety of modules• Open source
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
IBridgePy
Are you looking for a simple tool to trade with Interactive Brokers API using
Python, instead of using IBPy or Quantopian?• Python tool to trade with Interactive Brokers– Flexible– Easy to use– Privacy
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Installation• Follow the link to download IBridgePy to your local
folder and unzip it. Then you will see file structures like that
• You are good to run your trading algo! Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Connecting to IB• You need have at least a demo account at Interactive Brokers to try your
algo. • Download either TWS or IB Gateway to feed your needs
TWS will give you much more information about markets and interactive ways to communicate with IB
IB Gateway is the better choise if IB-everyday-retart is a concern for you
• Check ‘IB API’• Input your credentials and click ‘Login’
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Connecting to IB (2)• In IB Gateway, -> Configure -> Settings
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
PythonXY
• Python(x,y) is a free scientific and engineering development software for numerical computations, data analysis and data visualization based on Python programming language, Qt graphical user interfaces and Spyder interactive scientific development environment.
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Prepare IDE• ‘View’-> ‘Panes’-> Check ‘Editor’ and ‘Console’• Add the folder to the Python Path by clicking ‘Tools’ -> ‘PYTHONPATH manager’
-> ‘Add path’ -> choose the folder where you unzip IBridgePy.• Then, click ‘Close’ to accept it.• It is preferred to restart the Spider IDE to make sure the Python path is
effective.
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Run a sample code• Open RUN_ME.py in Spider IDE by clicking ‘File’-> ‘Open’• You may see Spider show up like the following
You may edit your code here
You will see results here
• To run the python code, click the green triangle or ‘F5’
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Code structure
• "initialize()" is an built-in method to claim variables.• It will only be run once
• "handle_data()" is also an built-in method where trading decision is made• Two inputs are given here (context, data). "Context" contains the variables
claimed in initialize(). "data" is the live feed received either daily or minutely.
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Closer look at RUN_ME.py
• Line 16~ line 19: You may choose one algo that you want to execute by commenting out others
• Line 20: You account code at IB• Line 21: How often the function of handle_data(context, data), 60 means
to run it every minute and 1 means to run it every second. • Line 22: There are 4 levels to show results
– ERROR: only show error messages– INFO: typical users will use it to know the results of your algo– DEBUG: you may know more info when you debug your algo– NOTSET: You will see tremendous info if you really want to know what
is going onSpeaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Three corner stones
• Real time price• Historical data• Place order
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Ask for real time quotes
• When you need a real time price, simply call a build-in function of show_real_time_price
• For most of US stocks and ETF, you can simply put ‘AAPL’ for apple instead of ‘STK, AAPL, USD’
• For Forex, Future and Options, more info is needed to specify. For example, – 'FUT,ES,USD,201503‘– ‘OPT,AAPL,USD,20150702,133,P,100’– ‘CASH, EUR, USD’
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Ask for historical data from IB• Request_data is used to ask all kinds of data form IB server• To ask for historical data from IB, a parameter “historyData” need to be
specified.
– Selecting the instrument for which the historical data needs to be obtained, in the above example, SPY, an ETF tracking S&P500 index
– Fixing the granularity (time gap), ‘1 day’– The period of go-back, ’50 D’ means go back 50 days from today.– The retrieved historical data are saved in a pandas dataframe that are
saved at hist, an attribute of the DataClass, saved in a dictionary called data
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Ask for historical data from IB (2)• Of course you may request historical data from IB from other time period,
at other frequencies• The request format is defined by IB
https://www.interactivebrokers.com/en/software/api/api.htm
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Ask for historical data from IB (3)
• Request multiple historical data at once
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Place orders
• Place market orders: order(symbol(‘SPY’), 100)– Place an market– The target security is SPY– The action is to BUY 100 shares when n > 0– Negative number means SELL, -100 = SELL 100 shares– order_target(symbol(‘SPY’), 100) will adjust positions based on your
holding positions by either BUY or SELL until you hold 100 shares• Place Limit/Stop orders
– order(symbol(‘SPY’), 100, LimitOrder(213.42)) place a limit order to BUY 100 shares of SPY at price = $213.42 per share
– order(symbol(‘SPY’), -100, StopOrder(213.42)) place a stop order to SELL 100 shares of SPY at price = $213.42 per share
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Place orders (2)
• It is highly recommended to follow up on the status of the order you placed by order_status_monitor()
– orderId is the unique identity of your order requests– For market orders, you should expect ‘Filled’ as the ending point of
your order request, which means the orders have been executed at IB– For limit and stop orders, the expected status is ‘Submitted’, which
means the orders have been accepted by IB and waiting for executions– For high liquidity securities, it won’t take too long ( a few seconds ) to
complete the transactions.
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
Thank You!If you need help, WE are here !
We have highly experienced in implementing various trading algorithms quickly
Speaker: Dr. Hui Liu (tradingwithIB.com | [email protected])
SINGAPORE30 Cecil Street, #19-08,Prudential Tower,Singapore – 049712Phone: +65-9057-8301
INDIAA-309, Boomerang,Chandivali Farm Road, Powai,Mumbai - 400 072Phone: +91-22-61691400
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