I am trying my hand at making my first algo-bot and decided to go with IB and use their api. I have followed Jacob Aramral's youtube series about making a bot and pretty much followed along and added tweaks along the way to make the logic performed how I wanted. After trying to run the code, I kept getting errors about not being able to connect. So, I just copied his code and tried to run that (https://github.com/Jake0303/InteractiveBrokersPythonBot/blob/main/InteractiveBrokersPythonBot.py). It connects to TWS (and I assume IB servers) and I can enter a ticker symbol and get real time data, but it wouldn't make trades. I then tweaked Jacob's code to basically make trades at every candle (just because it was reading my paper account and I wanted to see any trades be made), but when the criteria is met (last close higher than the close of the candle before) no trade is made. I'm starting to get a little discouraged, so hopefully someone can help me out. I also tried copying the intro guide here to try and get TWS to make a trade, but still no luck. If anyone can see what I'm doing wrong and can help me get it fixed, I would be grateful.
I have my IBpro account funded with play money and have subscribed to 'US Equity and Options Add-On Streaming Bundle' and the 'US Securities Snapshot and Futures Value Bundle' subscriptions. For the paper account, I use 7497 as the socket port, checked the Active X and socket clients, and disabled read-only API.I believe that's all I needed to enable to allow the API to make trades for me (aside from having a functional code, lol). Here is the code that should work. I would be curious if it work for other and places trades. Also, I have included a snip of the monitor once the code is ran. Any help is appreciated!
#Imports
import ibapi
from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
from ibapi.order import *
import ta
import numpy as np
import pandas as pd
import pytz
import math
from datetime import datetime, timedelta
import threading
import time
#Vars
orderId = 1
#Class for Interactive Brokers Connection
class IBApi(EWrapper,EClient):
def __init__(self):
EClient.__init__(self, self)
# Historical Backtest Data
def historicalData(self, reqId, bar):
try:
bot.on_bar_update(reqId,bar,False)
except Exception as e:
print(e)
# On Realtime Bar after historical data finishes
def historicalDataUpdate(self, reqId, bar):
try:
bot.on_bar_update(reqId,bar,True)
except Exception as e:
print(e)
# On Historical Data End
def historicalDataEnd(self, reqId, start, end):
print(reqId)
# Get next order id we can use
def nextValidId(self, nextorderId):
global orderId
orderId = nextorderId
# Listen for realtime bars
def realtimeBar(self, reqId, time, open_, high, low, close,volume, wap, count):
super().realtimeBar(reqId, time, open_, high, low, close, volume, wap, count)
try:
bot.on_bar_update(reqId, time, open_, high, low, close, volume, wap, count)
except Exception as e:
print(e)
def error(self, id, errorCode, errorMsg):
print(errorCode)
print(errorMsg)
#Bar Object
class Bar:
open = 0
low = 0
high = 0
close = 0
volume = 0
date = datetime.now()
def __init__(self):
self.open = 0
self.low = 0
self.high = 0
self.close = 0
self.volume = 0
self.date = datetime.now()
#Bot Logic
class Bot:
ib = None
barsize = 1
currentBar = Bar()
bars = []
reqId = 1
global orderId
smaPeriod = 50
symbol = ""
initialbartime = datetime.now().astimezone(pytz.timezone("America/New_York"))
def __init__(self):
#Connect to IB on init
self.ib = IBApi()
self.ib.connect("127.0.0.1", 7497,221)
ib_thread = threading.Thread(target=self.run_loop, daemon=True)
ib_thread.start()
time.sleep(1)
currentBar = Bar()
#Get symbol info
self.symbol = input("Enter the symbol you want to trade : ")
#Get bar size
self.barsize = int(input("Enter the barsize you want to trade in minutes : "))
mintext = " min"
if (int(self.barsize) > 1):
mintext = " mins"
queryTime = (datetime.now().astimezone(pytz.timezone("America/New_York"))-timedelta(days=1)).replace(hour=16,minute=0,second=0,microsecond=0).strftime("%Y%m%d %H:%M:%S")
#Create our IB Contract Object
contract = Contract()
contract.symbol = self.symbol.upper()
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
self.ib.reqIds(-1)
# Request Market Data
#self.ib.reqRealTimeBars(0, contract, 5, "TRADES", 1, [])
self.ib.reqHistoricalData(self.reqId,contract,"","2 D",str(self.barsize)+mintext,"TRADES",1,1,True,[])
#Listen to socket in seperate thread
def run_loop(self):
self.ib.run()
#Bracet Order Setup
def bracketOrder(self, parentOrderId, action, quantity, profitTarget, stopLoss):
#Initial Entry
#Create our IB Contract Object
contract = Contract()
contract.symbol = self.symbol.upper()
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
# Create Parent Order / Initial Entry
parent = Order()
parent.orderId = parentOrderId
parent.orderType = "MKT"
parent.action = action
parent.totalQuantity = quantity
parent.transmit = False
# Profit Target
profitTargetOrder = Order()
profitTargetOrder.orderId = parent.orderId+1
profitTargetOrder.orderType = "LMT"
profitTargetOrder.action = "SELL"
profitTargetOrder.totalQuantity = quantity
profitTargetOrder.lmtPrice = round(profitTarget,2)
profitTargetOrder.parentId = parentOrderId
profitTargetOrder.transmit = False
# Stop Loss
stopLossOrder = Order()
stopLossOrder.orderId = parent.orderId+2
stopLossOrder.orderType = "STP"
stopLossOrder.action = "SELL"
stopLossOrder.totalQuantity = quantity
stopLossOrder.parentId = parentOrderId
stopLossOrder.auxPrice = round(stopLoss,2)
stopLossOrder.transmit = True
bracketOrders = [parent, profitTargetOrder, stopLossOrder]
return bracketOrders
#Pass realtime bar data back to our bot object
def on_bar_update(self, reqId, bar,realtime):
global orderId
#Historical Data to catch up
if (realtime == False):
self.bars.append(bar)
else:
bartime = datetime.strptime(bar.date,"%Y%m%d %H:%M:%S").astimezone(pytz.timezone("America/New_York"))
minutes_diff = (bartime-self.initialbartime).total_seconds() / 60.0
self.currentBar.date = bartime
lastBar = self.bars[len(self.bars)-1]
#On Bar Close
if (minutes_diff > 0 and math.floor(minutes_diff) % self.barsize == 0):
self.initialbartime = bartime
#Entry - If we have a higher high, a higher low and we cross the 50 SMA Buy
#1.) SMA
closes = []
for bar in self.bars:
closes.append(bar.close)
self.close_array = pd.Series(np.asarray(closes))
self.sma = ta.trend.sma(self.close_array,self.smaPeriod,True)
print("SMA : " + str(self.sma[len(self.sma)-1]))
#2.) Calculate Higher Highs and Lows
lastLow = self.bars[len(self.bars)-1].low
lastHigh = self.bars[len(self.bars)-1].high
lastClose = self.bars[len(self.bars)-1].close
# Check Criteria
if (bar.close > lastHigh
and self.currentBar.low > lastLow
and bar.close > str(self.sma[len(self.sma)-1])
and lastClose < str(self.sma[len(self.sma)-2])):
#Bracket Order 2% Profit Target 1% Stop Loss
profitTarget = bar.close*1.02
stopLoss = bar.close*0.99
quantity = 1
bracket = self.bracketOrder(orderId,"BUY",quantity, profitTarget, stopLoss)
contract = Contract()
contract.symbol = self.symbol.upper()
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
#Place Bracket Order
for o in bracket:
o.ocaGroup = "OCA_"+str(orderId)
self.ib.placeOrder(o.orderId,contract,o)
orderId += 3
#Bar closed append
self.currentBar.close = bar.close
print("New bar!")
self.bars.append(self.currentBar)
self.currentBar = Bar()
self.currentBar.open = bar.open
#Build realtime bar
if (self.currentBar.open == 0):
self.currentBar.open = bar.open
if (self.currentBar.high == 0 or bar.high > self.currentBar.high):
self.currentBar.high = bar.high
if (self.currentBar.low == 0 or bar.low < self.currentBar.low):
self.currentBar.low = bar.low
#Start Bot
bot = Bot()
Made a few adjustments, including a message when criteria is not met. Should get you started
#Imports
import ibapi
from ibapi.client import EClient
from ibapi.wrapper import EWrapper
from ibapi.contract import Contract
from ibapi.order import *
import pandas as pd
import pytz
import math
from datetime import datetime, timedelta
import threading
import time
#Vars
orderId = 1
#Class for Interactive Brokers Connection
class IBApi(EWrapper,EClient):
def __init__(self):
EClient.__init__(self, self)
# Historical Backtest Data
def historicalData(self, reqId, bar):
try:
myBar = Bar()
myBar.open = bar.open
myBar.low = bar.low
myBar.high = bar.high
myBar.close = bar.close
myBar.volume = bar.volume
myBar.date = pytz.timezone("America/New_York").localize(datetime.strptime(bar.date[:17], "%Y%m%d %H:%M:%S"))
bot.on_bar_update(reqId,myBar,False)
except Exception as e:
print("historicalData Ex: ",e)
# On Historical Data End
def historicalDataEnd(self, reqId, start, end):
try:
print("\nHistorical data recieved: ",start," to ",end)
print("Waiting for next bar close....")
contract = Contract()
contract.symbol = bot.symbol.upper()
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
bot.ib.reqRealTimeBars(2, contract, 5, "TRADES", False, [])
except Exception as e:
print("historicalDataEnd Ex: ",e)
# Get next order id we can use
def nextValidId(self, nextorderId):
global orderId
orderId = nextorderId
# Listen for realtime bars
def realtimeBar(self, reqId, time, open_, high, low, close,volume, wap, count):
super().realtimeBar(reqId, time, open_, high, low, close, volume, wap, count)
bar = Bar()
bar.open = open_
bar.low = low
bar.high = high
bar.close = close
bar.volume = volume
bar.date = datetime.fromtimestamp(time, pytz.timezone("America/New_York"))
bot.on_bar_update(reqId, bar, True)
def error(self, id, errorCode, errorMsg, advOrdRej): # Depending on API version advOrdRej may not be required
print(errorCode,": ",errorMsg)
#Bar Object
class Bar:
open = 0
low = 0
high = 0
close = 0
volume = 0
date = datetime.now()
def __init__(self):
self.open = 0
self.low = 0
self.high = 0
self.close = 0
self.volume = 0
self.date = datetime.now()
#Bot Logic
class Bot:
ib = None
barsize = 1
currentBar = Bar()
bars = []
reqId = 1
global orderId
smaPeriod = 50
symbol = ""
nextBarTime = 0
def __init__(self):
#Connect to IB on init
self.ib = IBApi()
self.ib.connect("127.0.0.1", 7497,221)
ib_thread = threading.Thread(target=self.run_loop, daemon=True)
ib_thread.start()
time.sleep(1)
currentBar = Bar()
#Get symbol info
self.symbol = input("Enter the symbol you want to trade : ")
#Get bar size
self.barsize = int(input("Enter the barsize you want to trade in minutes : "))
mintext = " min"
if (int(self.barsize) > 1):
mintext = " mins"
secs = 60 * self.barsize * 200 # barcount to retrieve
queryTime = (datetime.now().astimezone(pytz.timezone("America/New_York"))-timedelta(seconds=secs)).strftime("%Y%m%d %H:%M:%S")
#Create our IB Contract Object
contract = Contract()
contract.symbol = self.symbol.upper()
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
self.ib.reqIds(-1)
# Request History
self.ib.reqHistoricalData(1,contract,"",str(secs)+" S",str(self.barsize)+mintext,"TRADES",0,1,False,[])
#Listen to socket in seperate thread
def run_loop(self):
self.ib.run()
#Bracet Order Setup
def bracketOrder(self, parentOrderId, action, quantity, profitTarget, stopLoss):
#Initial Entry
#Create our IB Contract Object
contract = Contract()
contract.symbol = self.symbol.upper()
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
# Create Parent Order / Initial Entry
parent = Order()
parent.orderId = parentOrderId
parent.orderType = "MKT"
parent.action = action
parent.totalQuantity = quantity
parent.transmit = False
# Profit Target
profitTargetOrder = Order()
profitTargetOrder.orderId = parent.orderId+1
profitTargetOrder.orderType = "LMT"
profitTargetOrder.action = "SELL"
profitTargetOrder.totalQuantity = quantity
profitTargetOrder.lmtPrice = round(profitTarget,2)
profitTargetOrder.parentId = parentOrderId
profitTargetOrder.transmit = False
# Stop Loss
stopLossOrder = Order()
stopLossOrder.orderId = parent.orderId+2
stopLossOrder.orderType = "STP"
stopLossOrder.action = "SELL"
stopLossOrder.totalQuantity = quantity
stopLossOrder.parentId = parentOrderId
stopLossOrder.auxPrice = round(stopLoss,2)
stopLossOrder.transmit = True
bracketOrders = [parent, profitTargetOrder, stopLossOrder]
return bracketOrders
#Pass realtime bar data back to our bot object
def on_bar_update(self, reqId, bar, realtime):
global orderId,nextBarTime,currentBar
try:
#Historical Data to catch up
if (realtime == False):
self.bars.append(bar)
self.nextBarTime = bar.date+timedelta(seconds=60 * self.barsize)
else:
if (bar.date >= self.nextBarTime):
#On Bar Close
self.bars.append(self.currentBar)
print("Bar Closed ",self.currentBar.date.strftime('%H:%M')," o:",self.currentBar.open," h:",self.currentBar.high," l:",self.currentBar.low," c:",self.currentBar.close)
# Calc SMA
closes = []
for bar in self.bars:
closes.append(bar.close)
numbers_series = pd.Series(closes)
windows = numbers_series.rolling(self.smaPeriod)
moving_averages = windows.mean()
sma = moving_averages.tolist()
# Calculate Higher Highs and Lows
lastLow = self.bars[len(self.bars)-1].low
lastHigh = self.bars[len(self.bars)-1].high
lastClose = self.bars[len(self.bars)-1].close
# Check Criteria
if (self.currentBar.close > lastHigh
and self.currentBar.low > lastLow
and self.currentBar.close > sma[len(sma)-1]
and lastClose < sma[len(sma)-2]):
print("Placing Order")
#Bracket Order 2% Profit Target 1% Stop Loss
profitTarget = bar.close*1.02
stopLoss = bar.close*0.99
quantity = 1
bracket = self.bracketOrder(orderId,"BUY",quantity, profitTarget, stopLoss)
contract = Contract()
contract.symbol = self.symbol.upper()
contract.secType = "STK"
contract.exchange = "SMART"
contract.currency = "USD"
#Place Bracket Order
for o in bracket:
o.ocaGroup = "OCA_"+str(orderId)
self.ib.placeOrder(o.orderId,contract,o)
orderId += 3
else:
if(self.currentBar.close <= lastHigh):
print("-- Criteria not met: 'self.currentBar.close > lastHigh' Close:",self.currentBar.close," lastHigh:",lastHigh)
if(self.currentBar.low <= lastLow):
print("-- Criteria not met: 'self.currentBar.low > lastLow' Low:",self.currentBar.close," lastLow:",lastLow)
if(self.currentBar.close <= sma[len(sma)-1]):
print("-- Criteria not met: 'self.currentBar.close > sma[len(sma)-1]' Close:",self.currentBar.close," sma:",sma[len(sma)-1])
if(lastClose >= sma[len(sma)-2]):
print("-- Criteria not met: 'lastClose < sma[len(sma)-2]' lastClose:",lastClose," sma:",sma[len(sma)-2])
# Create new bar
self.currentBar = Bar()
self.currentBar.open = bar.open
self.currentBar.high = bar.high
self.currentBar.low = bar.low
self.currentBar.close = bar.close
self.currentBar.date = self.nextBarTime #bar.date
self.nextBarTime += timedelta(seconds=60 * self.barsize)
else:
#Build realtime bar
if (self.currentBar.open == 0):
self.currentBar.open = bar.open
if (self.currentBar.high == 0 or bar.high > self.currentBar.high):
self.currentBar.high = bar.high
if (self.currentBar.low == 0 or bar.low < self.currentBar.low):
self.currentBar.low = bar.low
self.currentBar.close = bar.close
except Exception as e:
print("on_bar_update Ex: ",e)
#Start Bot
bot = Bot()