New Forum

Visit the new forum at http://godelsmarket.com/bb

Monday, December 24, 2012

Simple Automated Trading System

I put together some Python code for an automated trading program for use with Interactive Brokers. It's very simple, but with a little ingenuity, could easily be expanded to include multiple contracts and various buying or selling triggers.

Sometimes it's nice to have a simple template to work from. Hope this helps someone get started with their very own automated execution program.

It uses the ibPy module and Python 2.7 (although it probably works on previous versions). I tried commenting the most important aspects.

What it does is send you a quote of the last price of the 'YM' 20130315 contract as long as that contract is between 13070 and 13100. Furthermore, (assuming you remove the '##'s) it will make a purchase if the contract is above 13083 and a sale if the contract is below 13082.

I recommend using a paper trading account while testing trade execution code. Also, the strategy within the code, if you were curious, has no quantitative backing. It's merely an example. The point is, you can add your own system in place of the one in the code.

I tried to comment on everything important in the code. If anything doesn't work or doesn't make sense, let me know! I'll try to reply quickly.

Here's the code:

from ib.ext.Contract import Contract
from ib.ext.Order import Order
from ib.opt import ibConnection, message
from time import sleep, strftime, localtime
from datetime import datetime

## Global variables
shares = 3
action = 'BUY' 
orderID = 30
last = 0
prev_last = 0
sym = 'YM'

## Contract Creation Function
def makeStkContract(sym):
    contract = Contract()
    contract.m_symbol = 'YM'
    contract.m_secType = 'FUT'
    contract.m_expiry = '20130315'
    contract.m_exchange = 'ECBOT'
    contract.m_currency = 'USD'
    return contract

## Order Creation Function
def makeStkOrder(shares,action):
    order = Order()
    order.m_minQty = shares
#    order.m_lmtPrice = limit_price
    order.m_orderType = 'MKT'
    order.m_totalQuantity = shares
    order.m_action = str(action).upper()
    return order

## Tick Handler
def my_tick_handler(msg):
    global last
    global prev_last
    #print msg
    if msg.field == 4:
        prev_last = last
        last = float(msg.price)
    print msg

##Connect
con = ibConnection()
con.register(my_tick_handler, message.TickSize, message.TickPrice)
con.connect()

## Make your contract
stkContract = makeStkContract(sym)
## Request tick data
con.reqMktData(orderID, stkContract, '', False)
sleep(1)
print last

## Prints last price as long as between 13070 and 13100
while (last > 13070 and last < 13100):
    print last

#### A possible execution plan. Remove '##' to initiate.
#### A paper trading account is recommended for testing and debugging trade execution code.
##    if (last > 13083):
##        action = 'BUY'
##        stkOrder = makeStkOrder(shares,action)
##        con.placeOrder(orderID,stkContract,stkOrder)
##    elif (last < 13082):
##        action = 'SELL'
##        stkOrder = makeStkOrder(shares,action)
##        con.placeOrder(orderID,stkContract,stkOrder)
    sleep(.5)

##Stop receiving tick values
con.cancelMktData(orderID)

##Disconnect from TWS
con.disconnect()

6 comments:

  1. I don't use Python. Is there a way to build this using Excel? Is strategy based on a logical rule that can be expressed using formula(s) in Excel? Thanks for sharing your work.

    ReplyDelete
  2. Hey Jim, sorry I missed this comment. There is a way to build this in Excel, but it is very different looking than the above code. I believe someone has a plugin that allows you to use Excel functions to do the trades. There is also a way to access Excel using the API download from IB. But, to get it to work like the above code would take a little more research on my part :) It's definitely possible, though.

    ReplyDelete
  3. Hi I really appreciate all the great content you have here. I am glad I cam across it!
    jonah engler silberman

    ReplyDelete
  4. I am satisfied that you simply shared this useful information with us.
    dow jones chart today

    ReplyDelete
  5. Hello Ya'll,

    For those of you who are interested in generating profits by FOREX autotrading,
    I would like to recommend a unique forex autotrading solution.

    It is called EA Builder and it allows you to create custom Forex Indicators and Trading Strategies.

    The tool includes many features such as:
    * Custom Arrows and Alerts
    * Automated Trading System
    * Trade Just About Anything
    * Alerts
    * Money Management


    LEARN MORE: EA Builder

    ReplyDelete