letianzj / quanttrader Goto Github PK

IB provide bothe OHLC for ASDK and BID price, this is useful to include the spread as part of the trading cost and avoid specific time or stock where spread can be prohibitive. Hence more realistic simulation and backtesting. How would the source code needs to be modified to that end? Happy to help if I am provided some pointers

Hello, I have looked for many python backtesting frameworks, none of them support option backtesting well.

All the df (DataFrame) mentioned below are with 1 minute precision (1 minute bars), since I'm backtesting for day trading.

Because for example like SPY there will be 3 expiring options every week (Monday, Wednesday, Friday). I will follow the steps below:

1. Add SPY 1 year 1 minute bar df to engine. (2021-06-30 ~ 2022-06-30 minutes bar).
2. Add a few SPY options expires at 2021-06-30 (For the sake of explanation, let's assume that 2021-06-30 is a Monday).
3. Start engine to start backtesting.
4. Until the 2021-06-30 last bar reach (2021-06-03 15:59, suppose my df is from 09:30 ~ 15:59 instead of 09:31 ~ 16:00), remove the Monday expiration options from engine.
5. Add SPY 2021-07-02 (Wednesday) expiration options df to engine. The engine is going on and reach 2021-07-01 09:30. So I can access the new options for backtesting.
6. Repeat 4~5 until reach 2022-06-30 15:59, all SPY minute bars depleted.

Is quanttrader supports my idea/strategy?

Hi there,

Is there any way to delay order execution so as to match the design of backtrader? I know the immediate execution mode is by design, just want to have some flexibility.

I noted line below in strategy_base.py

        def adjust_position(self, sym, size_from, size_to, timestamp=None):
                """
                use market order to adjust position
                :param sym:
                :param size_from:
                :param size_to:
                :param timestamp: used by backtest broker to get price on timestamp
                :return:
                """
                if size_from == size_to:
                        return
                o = OrderEvent()
                o.full_symbol = sym
                o.order_type = OrderType.MARKET
                o.order_size = size_to - size_from
                o.source = self.id  # identify source
                if timestamp is None:
                        o.create_time = datetime.now().strftime('%Y-%m-%d %H:%M:%S.%f')
                else:
                        o.create_time = timestamp

Is the timestamp arg intended for this?

Hi, I just found your repository and liked it a lot. It remembers me of my event trading system working in python and controlling MT5 in the background.

Just wanted to reach out and see if you would be interested in further investigating the trading quest. My focus is currently building trading processed where the pattern analysis is only the beginning (position sizing, hedging during high DD, pairs integration and integration of manual trading in case the software is lost).

Feel free to reach out if you are interested

I am following this tutorial:

https://www.youtube.com/watch?v=CrsrTxqiXNY

Using these samples:

https://github.com/letianzj/quanttrader/tree/master/examples

Here is my code:

https://github.com/HenryFBP/algorithmic-trading/tree/master/algotradingtest/algotradingtest/quanttradertest

And I cannot seem to get a strategy to run.

The quanttrader package downloads all my stocks and orders properly, but onTick never seems to get called when I click on Start_Strat button. Perhaps my config_live.yaml is incorrect? It was copied directly from the "examples" folder of this repo.

account: [redacted]
client_id: 0
host: 127.0.0.1
port: 7497
theme: dark
strategy:
  #---------- Strategy and params control -----------#
  # DoubleMovingAverageCrossStrategy:
  #   active: false
  #   capital: 10000
  #   params:
  #     n_fast_ma: 20
  #     n_slow_ma: 200
  #   symbols:
  #   - NGZ0 FUT NYMEX
  #---------- Strategy and params control -----------#
  DualTimeFrameStrategy:
    active: false
    capital: 10000
    params:
      start_time: '09:30:00'
      end_time: '16:14:58'
      bar_start_time: '09:00:00'
      bar_end_time: '16:15:00'
      lookback_5sec: 50
      lookback_15sec: 20
    symbols:
    - ESM1 FUT GLOBEX
  #---------- Strategy and params control -----------#
  # DualThrustStrategy:
  #   active: false
  #   capital: 10000
  #   params:
  #     G: 20
  #   symbols:
  #   - MESZ0 FUT GLOBEX
  #---------- Strategy and params control -----------#
  # MovingAverageCrossStrategy:
  #   active: false
  #   capital: 10000
  #   params:
  #     G: 20
  #   symbols:
  #   - CLZ0 FUT NYMEX
  #---------- Strategy and params control -----------#
  # ActiveBuySellStrengthStrategy:
  #   active: false
  #   capital: 10000
  #   params:
  #     strength_abs_threshold: 200
  #   symbols:
  #     - NQZ0 FUT GLOBEX
  #---------- Strategy, params control, and local risk control -----------#
  OrderPerIntervalStrategy:
    active: false
    capital: 50000
    order_start_time: '10:00:00'
    order_end_time: '16:15:00'
    params:
      tick_trigger_threshold: 6000
    single_trade_limit: 3
    symbols:
    - ESM1 FUT GLOBEX
    total_active_limit: 2
    total_cancel_limit: 5
    total_loss_limit: 5000
    total_trade_limit: 15
#---------- global risk control -----------#
total_active_limit: 3
total_cancel_limit: 10
total_loss_limit: 10000
total_trade_limit: 20

I ran the live_engine.py and started the strategy but tick data is not getting downloaded.

2021-04-09 23:03:53,245 - quanttrader.gui.ui_main_window - INFO - control: start_strategy 1

Log doesnot have any info after that.

Any help on this would be great.

In my config_live.yaml file with these specification

params:
  tick_trigger_threshold: 100
  single_trade_limit: 3
symbols:
  - QQQ STK SMART 360.50 360.00 380.00
  - AAPL STK SMART 175.10 174.75 173.23
  # desciption of each stock for OrderPerIntervalStrategy and their trigger levels
  # [sym] [STK] [Exc] [level1-long] [level2-long] [level3-short]
  # How do pass these individual stock parameter into OrderPerIntervalStrategy
  # if QQQ, current tick.lastPrice ==  360.50, make bracket order (with Mkt order, stopLost = currentPrice - 0.50, takeProfit = currentPrice + 0.75)  )
  # if AAPL, current tick.lastPrice ==  175.10, make bracket order (with Mkt order, stopLost = currentPrice - 0.50, takeProfit = currentPrice + 0.75)  )

What is modify order_per_interval.py to execute yaml specifications ?

Are there more strategies ? so to better understand the process

Thanks in advance

When trying to setup for local development:

cd quanttrader
pip install -e .
error in quanttrader setup command: 'python_requires' must be a string containing valid version specifiers; Invalid specifier: '>=3.7.*'