IB Algo Trader

Algorithmic trading application for Interactive Brokers

Description

This application includes a complete framework for algorithmic trading using Interactive Brokers and Python. The wrapper library ib-insync is used to allow Python to communicate with the local TWS application. Features include:

• Connecting to TWS from the client
• Fetching data for various contract types (examples below)
  • Contract(conId=270639)
  • Stock('AMD', 'SMART', 'USD')
  • Stock('INTC', 'SMART', 'USD', primaryExchange='NASDAQ')
  • Forex('EURUSD')
  • CFD('IBUS30')
  • Future('ES', '20180921', 'GLOBEX')
  • Option('SPY', '20170721', 240, 'C', 'SMART')
  • Bond(secIdType='ISIN', secId='US03076KAA60')
  • Crypto('BTC', 'PAXOS', 'USD')
• Order management (Placing orders, modifying orders, cancelling orders)
• Reading account information such as net liquidity, available funds, margin cushion, etc.

Getting Started

Dependencies

• Python 3
• IB Trader Workstation (TWS)
• ib-insync

pip install -r requirements.txt

Installing

• In TWS,
  • File > Global Configuration > API > Settings > Enable ActiveX and Socket Clients
  • File > Global Configuration > API > Settings > Disable Read-Only API
  • Socket port
    • 7496: Live trading account
    • 7497: Paper trading account
• Create strategy.py file in main directory
  • Define function strategy
    • Function input: Pandas Dataframe
    • Function output: 1 (Long signal), -1 (Short signal), 0 (No signal)

def strategy(df):
    ...
    if long_condition:
        return 1
    elif short_condition:
        return -1
    else:
        return 0

• Modify contracts.json file to set specific contracts to trade using the application
• Modify tf-dur.json file to set the OHLCV timeframe and how much data to read fetch for each contract

Executing program

python app.py