Refine IB adapter

Author: faysou

examples/live/interactive_brokers/historical_download.py

@@ -54,6 +54,7 @@ async def main(
         primaryExchange="NASDAQ",
     )
     instrument_id = "TSLA.NASDAQ"
+    venue = "NASDAQ"
 
     client = HistoricInteractiveBrokersClient(host=host, port=port, client_id=5)
     await client.connect()
@@ -65,6 +66,7 @@ async def main(
     )
 
     bars = await client.request_bars(
+        venue=venue,
         bar_specifications=["1-HOUR-LAST", "30-MINUTE-MID"],
         start_date_time=datetime.datetime(2023, 11, 6, 9, 30),
         end_date_time=datetime.datetime(2023, 11, 6, 16, 30),
@@ -74,7 +76,8 @@ async def main(
     )
 
     trade_ticks = await client.request_ticks(
-        "TRADES",
+        venue=venue,
+        tick_type="TRADES",
         start_date_time=datetime.datetime(2023, 11, 6, 10, 0),
         end_date_time=datetime.datetime(2023, 11, 6, 10, 1),
         tz_name="America/New_York",
@@ -83,7 +86,8 @@ async def main(
     )
 
     quote_ticks = await client.request_ticks(
-        "BID_ASK",
+        venue=venue,
+        tick_type="BID_ASK",
         start_date_time=datetime.datetime(2023, 11, 6, 10, 0),
         end_date_time=datetime.datetime(2023, 11, 6, 10, 1),
         tz_name="America/New_York",

examples/live/interactive_brokers/with_databento_client.py

@@ -73,7 +73,7 @@
             ibg_client_id=1,
             account_id="DU123456",  # This must match with the IB Gateway/TWS node is connecting to
             instrument_provider=InteractiveBrokersInstrumentProviderConfig(
-                symbology_method=SymbologyMethod.DATABENTO,
+                symbology_method=SymbologyMethod.IB_SIMPLIFIED,
                 load_ids=frozenset(instrument_ids),
             ),
             routing=RoutingConfig(

examples/live/interactive_brokers/with_databento_instrument_id.py

@@ -0,0 +1,241 @@
+# ---
+# jupyter:
+#   jupytext:
+#     formats: ipynb,py:percent
+#     text_representation:
+#       extension: .py
+#       format_name: percent
+#       format_version: '1.3'
+#       jupytext_version: 1.17.1
+#   kernelspec:
+#     display_name: Python 3 (ipykernel)
+#     language: python
+#     name: python3
+# ---
+
+# %%
+
+# fmt: off
+from nautilus_trader.adapters.interactive_brokers.common import IB
+from nautilus_trader.adapters.interactive_brokers.common import IB_VENUE
+from nautilus_trader.adapters.interactive_brokers.config import InteractiveBrokersDataClientConfig
+from nautilus_trader.adapters.interactive_brokers.config import InteractiveBrokersExecClientConfig
+from nautilus_trader.adapters.interactive_brokers.config import InteractiveBrokersInstrumentProviderConfig
+from nautilus_trader.adapters.interactive_brokers.config import SymbologyMethod
+from nautilus_trader.adapters.interactive_brokers.factories import InteractiveBrokersLiveDataClientFactory
+from nautilus_trader.adapters.interactive_brokers.factories import InteractiveBrokersLiveExecClientFactory
+from nautilus_trader.common.enums import LogColor
+from nautilus_trader.config import LiveDataEngineConfig
+from nautilus_trader.config import LoggingConfig
+from nautilus_trader.config import RoutingConfig
+from nautilus_trader.config import TradingNodeConfig
+from nautilus_trader.live.node import TradingNode
+from nautilus_trader.model.data import Bar
+from nautilus_trader.model.data import BarType
+from nautilus_trader.model.enums import OrderSide
+from nautilus_trader.model.enums import TimeInForce
+from nautilus_trader.model.events import PositionOpened
+from nautilus_trader.model.identifiers import InstrumentId
+from nautilus_trader.trading.config import StrategyConfig
+from nautilus_trader.trading.strategy import Strategy
+
+
+# fmt: on
+
+
+class DemoStrategyConfig(StrategyConfig, frozen=True):
+    bar_type: BarType
+    instrument_id: InstrumentId
+
+
+class DemoStrategy(Strategy):
+    def __init__(self, config: DemoStrategyConfig):
+        super().__init__(config=config)
+
+        # Track if we've already placed an order
+        self.order_placed = False
+
+        # Track total bars seen
+        self.count_of_bars: int = 0
+        self.show_portfolio_at_bar: int | None = 0
+
+    def on_start(self):
+        """
+        Handle strategy start event.
+        """
+        self.request_instrument(self.config.instrument_id)
+        self.instrument = self.cache.instrument(self.config.instrument_id)
+
+        # Subscribe to market data
+        self.subscribe_bars(self.config.bar_type)
+
+        # Show initial portfolio state
+        self.show_portfolio_info("Portfolio state (Before trade)")
+
+    def on_bar(self, bar: Bar):
+        """
+        Handle new bar event.
+        """
+        # Increment total bars seen
+        self.count_of_bars += 1
+
+        # Show portfolio state if we reached target bar
+        if self.show_portfolio_at_bar == self.count_of_bars:
+            self.show_portfolio_info("Portfolio state (2 minutes after position opened)")
+
+        # Only place one order for demonstration
+        if not self.order_placed:
+            # Prepare values for order
+            last_price = bar.close
+            tick_size = self.instrument.price_increment
+            profit_price = self.instrument.make_price(last_price + (10 * tick_size))
+            stoploss_price = self.instrument.make_price(last_price - (10 * tick_size))
+
+            # Create BUY MARKET order with PT and SL (both 10 ticks)
+            bracket_order_list = self.order_factory.bracket(
+                instrument_id=self.config.instrument_id,
+                order_side=OrderSide.BUY,
+                quantity=self.instrument.make_qty(1),  # Trade size: 1 contract
+                time_in_force=TimeInForce.GTC,
+                tp_price=profit_price,
+                sl_trigger_price=stoploss_price,
+                entry_post_only=False,
+                tp_post_only=False,
+            )
+
+            # Submit order and remember it
+            self.submit_order_list(bracket_order_list)
+            self.order_placed = True
+            self.log.info(f"Submitted bracket order: {bracket_order_list}", color=LogColor.GREEN)
+
+    def on_position_opened(self, event: PositionOpened):
+        """
+        Handle position opened event.
+        """
+        # Log position details
+        self.log.info(f"Position opened: {event}", color=LogColor.GREEN)
+
+        # Show portfolio state when position is opened
+        self.show_portfolio_info("Portfolio state (In position):")
+
+        # Set target bar number for next portfolio display
+        self.show_portfolio_at_bar = self.count_of_bars + 2  # Show after 2 bars
+
+    def on_stop(self):
+        """
+        Handle strategy stop event.
+        """
+        # Show final portfolio state
+        self.show_portfolio_info("Portfolio state (After trade)")
+
+    def show_portfolio_info(self, intro_message: str = ""):
+        """
+        Display current portfolio information.
+        """
+        if intro_message:
+            self.log.info(f"====== {intro_message} ======")
+
+        # POSITION information
+        self.log.info("Portfolio -> Position information:", color=LogColor.BLUE)
+        is_flat = self.portfolio.is_flat(self.config.instrument_id)
+        self.log.info(f"Is flat: {is_flat}", color=LogColor.BLUE)
+
+        net_position = self.portfolio.net_position(self.config.instrument_id)
+        self.log.info(f"Net position: {net_position} contract(s)", color=LogColor.BLUE)
+
+        net_exposure = self.portfolio.net_exposure(self.config.instrument_id)
+        self.log.info(f"Net exposure: {net_exposure}", color=LogColor.BLUE)
+
+        # -----------------------------------------------------
+
+        # P&L information
+        self.log.info("Portfolio -> P&L information:", color=LogColor.YELLOW)
+
+        realized_pnl = self.portfolio.realized_pnl(self.config.instrument_id)
+        self.log.info(f"Realized P&L: {realized_pnl}", color=LogColor.YELLOW)
+
+        unrealized_pnl = self.portfolio.unrealized_pnl(self.config.instrument_id)
+        self.log.info(f"Unrealized P&L: {unrealized_pnl}", color=LogColor.YELLOW)
+
+        # -----------------------------------------------------
+
+        self.log.info("Portfolio -> Account information:", color=LogColor.CYAN)
+        margins_init = self.portfolio.margins_init(IB_VENUE)
+        self.log.info(f"Initial margin: {margins_init}", color=LogColor.CYAN)
+
+        margins_maint = self.portfolio.margins_maint(IB_VENUE)
+        self.log.info(f"Maintenance margin: {margins_maint}", color=LogColor.CYAN)
+
+        balances_locked = self.portfolio.balances_locked(IB_VENUE)
+        self.log.info(f"Locked balance: {balances_locked}", color=LogColor.CYAN)
+
+
+# %%
+instrument_provider = InteractiveBrokersInstrumentProviderConfig(
+    symbology_method=SymbologyMethod.IB_SIMPLIFIED,
+    convert_exchange_to_mic_venue=True,
+    # load_ids=frozenset(
+    #     [
+    #         "YMM5.XCBT",
+    #     ],
+    # ),
+)
+
+# Configure the trading node
+# IMPORTANT: you must use the imported IB string so this client works properly
+config_node = TradingNodeConfig(
+    trader_id="TESTER-001",
+    logging=LoggingConfig(log_level="INFO"),
+    data_clients={
+        IB: InteractiveBrokersDataClientConfig(
+            ibg_port=7497,
+            handle_revised_bars=False,
+            use_regular_trading_hours=False,
+            instrument_provider=instrument_provider,
+        ),
+    },
+    exec_clients={
+        IB: InteractiveBrokersExecClientConfig(
+            ibg_port=7497,
+            instrument_provider=instrument_provider,
+            routing=RoutingConfig(default=True),
+            account_id="DU187075",
+        ),
+    },
+    data_engine=LiveDataEngineConfig(
+        time_bars_timestamp_on_close=False,  # Will use opening time as `ts_event` (same as IB)
+        validate_data_sequence=True,  # Will make sure DataEngine discards any Bars received out of sequence
+    ),
+    timeout_connection=90.0,
+    timeout_reconciliation=5.0,
+    timeout_portfolio=5.0,
+    timeout_disconnection=5.0,
+    timeout_post_stop=2.0,
+)
+
+
+# Instantiate the node with a configuration
+node = TradingNode(config=config_node)
+
+# Instantiate your strategy
+instrument_id = "YMM5.XCBT"  # AAPL.XNAS
+
+strategy_config = DemoStrategyConfig(
+    bar_type=BarType.from_str(f"{instrument_id}-1-MINUTE-LAST-EXTERNAL"),
+    instrument_id=InstrumentId.from_str(instrument_id),
+)
+strategy = DemoStrategy(config=strategy_config)
+
+# Add your strategies and modules
+node.trader.add_strategy(strategy)
+
+# Register your client factories with the node (can take user-defined factories)
+node.add_data_client_factory(IB, InteractiveBrokersLiveDataClientFactory)
+node.add_exec_client_factory(IB, InteractiveBrokersLiveExecClientFactory)
+node.build()
+
+# %%
+node.run()
+
+# %%
+node.dispose()