# coding=utf-8 import os import time import traceback import logging # noinspection PyUnresolvedReferences from BasicPyLib.BasicTools import roundToMinTick, get_system_info from Config.config_defs import UserConfig # noinspection PyUnresolvedReferences from IBridgePy.IbridgepyTools import superSymbol, check_user_sys_compatibility from IBridgePy.MarketManagerBase import MarketManager, setup_services, setup_backtest_account_init_info # noinspection PyUnresolvedReferences from IBridgePy.OrderTypes import MarketOrder, StopOrder, LimitOrder, StopLimitOrder, TrailStopLimitOrder, \ TrailStopOrder, MarketOnCloseOrder from IBridgePy.Trader import Trader from IBridgePy.constants import LiveBacktest, DataProviderName, LogLevel, TraderRunMode # noinspection PyUnresolvedReferences from IBridgePy.quantopian import date_rules, time_rules, calendars from broker_client_factory.CustomErrors import CustomError from broker_client_factory.CustomErrors import ErrorCode check_user_sys_compatibility() def test_me(fileName, userManualInput, userConfig=None): if not userConfig: userConfig = UserConfig.get_config('BACKTEST') # print(__name__ + '::test_me: id of userConfig=%s' % (id(userConfig),)) userConfig = _build_config(userConfig, userManualInput, fileName) _finally_run(userConfig, LiveBacktest.BACKTEST) def _helper(userConfig, userManualInput, fileName): userConfig = _build_config(userConfig, userManualInput, fileName) if userConfig.projectConfig.brokerServiceName != userConfig.projectConfig.dataProviderName: print('!!! Data provider is %s but the broker service is %s. They are NOT same. !!!' % (userConfig.projectConfig.dataProviderName, userConfig.projectConfig.brokerServiceName)) userConfig = _setup_dataProviderService(userConfig) _finally_run(userConfig, LiveBacktest.LIVE) def run_me_at_robinhood(fileName, userManualInput, userConfig=None): if not userConfig: userConfig = UserConfig.get_config('ROBINHOOD') _helper(userConfig, userManualInput, fileName) def run_me_at_td_ameritrade(fileName, userManualInput, userConfig=None): if not userConfig: userConfig = UserConfig.get_config('TD') _helper(userConfig, userManualInput, fileName) def run_me_at_HFT(fileName, userManualInput): userConfig = UserConfig.get_config('HFT') userConfig.traderConfig.runMode = TraderRunMode.HFT # Prevent that runMode is overridden by settings.py _helper(userConfig, userManualInput, fileName) def run_me(fileName, userManualInput, userConfig=None): logging.debug(f'{__name__}::run_me') run_init = True if userConfig is None: userConfig = UserConfig.get_config('IB') userConfig = _build_config(userConfig, userManualInput, fileName) if userConfig.projectConfig.brokerServiceName != userConfig.projectConfig.dataProviderName: print('!!! Data provider is %s but the broker service is %s. They are NOT same. !!!' % (userConfig.projectConfig.dataProviderName, userConfig.projectConfig.brokerServiceName)) userConfig = _setup_dataProviderService(userConfig) autoReconnectPremium = userConfig.projectConfig.autoReconnectPremium c = MarketManager(userConfig) while True: try: c.run(run_init=run_init) break except CustomError as e: if e.error_code in [509, 504, 502, 10141, ErrorCode.ERR_LOST_HEART_BEAT.code] and autoReconnectPremium: # errorCode:509 errorId:-1 errorMessage=Exception caught while reading socket - Broken pipe # errorCode=509 errorMessage=Exception caught while reading socket - Connection reset by peer -- Reason: Invoke connectWrapper() when there is connection already. # errorCode=509 errorMessage=Exception caught while reading socket - Connection reset by peer -- Reason 1: IB Gateway was turned off suddenly # errorCode:10141 errorId:-1 errorMessage=Paper trading disclaimer must first be accepted for API connection. # errorCode:509 errorId:-1 errorMessage=Exception caught while reading socket - Connection reset by peer # errorCode:509 errorId:-1 errorMessage=Exception caught while reading socket - Function not implemented # errorCode:502 errorId:-1 errorMessage=Couldn't connect to TWS. Confirm that "Enable ActiveX and Socket Clients" is enabled on the TWS "Configure->API" menu. # errorCode=504 errorMessage=Not connected print('IBridgePy will sleep 10 seconds and reconnect again.') run_init = False time.sleep(10) userConfig.brokerClient.disconnectWrapper() userConfig.brokerClient = userConfig.brokerClientFactory.get_brokerClient_by_userConfig(userConfig, check_cache=False) else: break except (RuntimeError, Exception) as err: print(f'If you need help, please send email to IBridgePy@gmail.com. Terminate IBridgePy because error={err} {traceback.print_exc()}') break c.terminate() def _setup_dataProviderService(userConfig): dataProviderName = userConfig.projectConfig.dataProviderName if dataProviderName == DataProviderName.TD: userConfigDataProvider = UserConfig.get_config('TD') elif dataProviderName == DataProviderName.IB: userConfigDataProvider = UserConfig.get_config('IB') elif dataProviderName == DataProviderName.ROBINHOOD: userConfigDataProvider = UserConfig.get_config('ROBINHOOD') elif dataProviderName in [DataProviderName.RANDOM, DataProviderName.LOCAL_FILE]: userConfigDataProvider = UserConfig.get_config('LOCAL') else: raise RuntimeError('cannot handle userConfig.projectConfig.dataProviderName=%s' % (dataProviderName,)) userConfigDataProvider.projectConfig.logLevel = LogLevel.ERROR userConfigDataProvider.projectConfig.dataProviderName = dataProviderName # Do NOT delete. This is not necessary because settings.py is applied but just make sure it is effective userConfigDataProvider.brokerClientFactory = userConfig.brokerClientFactory # userConfig.brokerClientFactory is used as a singleton manager so that userConfigDataProvider will not create extra copy of brokerClients userConfigDataProvider.timeGeneratorFactory = userConfig.timeGeneratorFactory # make sure timeGenerator is singleton userConfigDataProvider = setup_services(userConfigDataProvider, None) userConfigDataProvider.dataProviderService.setAsDataProviderService() # set brokerService instance as a dataProviderService instance userConfigDataProvider.dataProviderService.getBrokerClient().setAsDataProviderClient() userConfig.trader.dataProviderService = userConfigDataProvider.dataProviderService # use the created dataProviderService as the dataProviderService of the trader userConfig.dataProviderService = userConfigDataProvider.dataProviderService # use the created dataProviderService as the dataProviderService of the main userConfig return userConfig # noinspection DuplicatedCode def _build_config(userConfig, userManualInput=None, fileName=None): """ :param userConfig: Config::config_defs::UserConfig :param userManualInput: a dictionary, key=variable name, value= variable value, Should be provided by global() or local() :param fileName: the current strategy file name :return: modified userConfig """ logging.debug(f'{__name__}::_build_config') # print(userManualInput) # exit() # print(userConfig) trader = Trader() # To setup trader, trader.update_from_userConfig is needed # the following must happen before globals().update(locals()) cancel_all_orders = trader.cancel_all_orders cancel_order = trader.cancel_order close_all_positions = trader.close_all_positions close_all_positions_except = trader.close_all_positions_except count_positions = trader.count_positions create_order = trader.create_order display_all = trader.display_all display_orderStatus = trader.display_orderStatus display_positions = trader.display_positions end = trader.setWantToEnd get_5_second_real_time_bar = trader.get_5_second_real_time_bar get_datetime = trader.get_datetime get_all_open_orders = trader.get_all_open_orders get_all_orders = trader.get_all_orders get_all_positions = trader.get_all_positions get_contract_details = trader.get_contract_details get_ibpy_expiry_in_days = trader.get_ibpy_expiry_in_days get_open_orders = trader.get_open_orders get_option_info = trader.get_option_info get_order = trader.get_order get_order_status = trader.get_order_status get_position = trader.get_position get_scanner_results = trader.get_scanner_results get_TD_access_token_expiry_in_days = trader.get_TD_access_token_expiry_in_days hold_any_position = trader.hold_any_position isEarlyClose = trader.isEarlyClose isTradingDay = trader.isTradingDay modify_order = trader.modify_order order = trader.order order_status_monitor = trader.order_status_monitor order_target = trader.order_target order_target_percent = trader.order_target_percent order_target_value = trader.order_target_value order_percent = trader.order_percent order_value = trader.order_value place_combination_orders = trader.place_combination_orders place_order_with_stoploss = trader.place_order_with_stoploss place_order_with_stoploss_takeprofit = trader.place_order_with_stoploss_takeprofit place_order_with_takeprofit = trader.place_order_with_takeprofit request_historical_data = trader.request_historical_data rebalance_portfolio = trader.rebalance_portfolio record = trader.record schedule_function = trader.schedule_function send_email = trader.send_email show_account_info = trader.show_account_info show_real_time_price = trader.show_real_time_price show_real_time_size = trader.show_real_time_size show_timestamp = trader.show_timestamp symbol = trader.symbol symbols = trader.symbols # open function in py2 and py3 are different. # UnicodeDecodeError: 'charmap' codec can't decode byte 0x9d in position 1035: character maps to (Question id : 728) # The root cause of the above error is that some strange characters show up in the imported files. # Only happens in Windows Py3 because open in py3 does not use default utf-8 decoder but it uses the default encoder set by windows. # The solution is not to use strange characters. if fileName: # It is fine without fileName. It will be used in testing framework fullFileName = os.path.join(userConfig.projectConfig.rootFolderPath, 'Strategies', fileName) with open(fullFileName) as f: script = f.read() # noinspection PyRedundantParentheses code_block = compile(script, fullFileName, 'exec') exec(code_block) # print(globals()) # print(locals()) # If without this line, handle_data and initialize would be local variables # but the IBridgePy build-in functions, such as cancel_all_orders, order_target and get_positions, are all global variables # If without this line, error jumps out. # NameError: global name 'cancel_all_orders' is not defined # update is to merger two dictionaries globals().update(locals()) if userManualInput: locals().update(userManualInput) # setup_service happens inside here. # After this line, all instances should be ready to use in userConfig userConfig.prepare_userConfig_with_trader(trader, locals()) # print(userConfig) # exit() return userConfig def _finally_run(userConfig, liveOrTest, run_init=True): if liveOrTest == LiveBacktest.LIVE: c = MarketManager(userConfig) c.run(run_init=run_init) c.terminate() elif liveOrTest == LiveBacktest.BACKTEST: c = MarketManager(userConfig) setup_backtest_account_init_info(userConfig) c.ingest_historical_data(userConfig.projectConfig.histIngestionPlan) c.run(run_init=run_init) c.terminate()