Interactive Brokers EFS

[biswar]

Hi

I would like to get a script that does automated trading with IBor esignal papertrading without the use of Dynaorder. Does anyone out there have a script that i could use, I can fill in the strategy part myself, and if possible the script has some sort of trade managment. Like checking if order placed and is there, stops not neccasary as i can code that.


Thanks in advance

[Doji3333]

How about these..

Here is the IB Code for esignal (without DO)

var IBtrade = new IBBroker;
var DefEntryContracts = 300;

// system variables - do not change !!
var currentTrendDirection = 0;
var nLastRawTime  = 0;
var BLBarOffset  = 0;
var OpenContracts = 0;
var vHour;
var vMin;
var vSec;
var vDay;
var vMonth;


function preMain() {
    setStudyTitle("PT Example");
    setCursorLabelName(false);
    setPriceStudy(true);
}

function main() {

//  Get Time Variables 
  var vTime = new Date();
  vTime = getValue("Time", 0);
  vHour = vTime.getHours();
  vMin = vTime.getMinutes();
  vSec = vTime.getSeconds();
  vDay = vTime.getDate();
  vMonth = vTime.getMonth() +1;
  
//  completed bar
 if (getValue("rawtime", 0) != nLastRawTime) {
     nLastRawTime = getValue("rawtime", 0);
     BLBarOffset += 1;

//  New Buy Signal
    if ((currentTrendDirection <=0) && 
        (high(-1) > high(-2)) ) {
       if (OpenContracts > 0) {
        //Close existing open SHORT Trade
       IBtrade.Buy(getSymbol(),OpenContracts,IBBroker.MARKET);
         OpenContracts = 0;
       }
    IBtrade.Buy(getSymbol(),DefEntryContracts,IBBroker.MARKET);
       drawShapeRelative(0, high(), Shape.UPARROW, null, Color.lime, Shape.ONTOP, getValue("rawtime")+"LE");
         OpenContracts = DefEntryContracts;
       currentTrendDirection = 1;
    }

//  New Sell Signal
    if ((currentTrendDirection >=0) && 
        (low(-1) > low(-2)) ) {
       if (OpenContracts > 0) {
        //Close existing open LONG Trade
    IBtrade.Sell(getSymbol(),OpenContracts,IBBroker.MARKET);
         OpenContracts = 0;
       }
    IBtrade.Sell(getSymbol(),DefEntryContracts,IBBroker.MARKET);
       drawShapeRelative(0, high(), Shape.DOWNARROW, null, Color.red, Shape.ONTOP, getValue("rawtime")+"SE");
         OpenContracts = DefEntryContracts;
       currentTrendDirection = -1;
    }

 } //  end if Completed Bar

 return;
} 

Here is the Paper Trader Code

var PTtrade = new PaperTradeBroker;
var DefEntryContracts = 300;

// system variables - do not change !!
var currentTrendDirection = 0;
var nLastRawTime  = 0;
var BLBarOffset  = 0;
var OpenContracts = 0;
var vHour;
var vMin;
var vSec;
var vDay;
var vMonth;


function preMain() {
    setStudyTitle("PT Example");
    setCursorLabelName(false);
    setPriceStudy(true);
}

function main() {

//  Get Time Variables 
  var vTime = new Date();
  vTime = getValue("Time", 0);
  vHour = vTime.getHours();
  vMin = vTime.getMinutes();
  vSec = vTime.getSeconds();
  vDay = vTime.getDate();
  vMonth = vTime.getMonth() +1;
  
//  completed bar
 if (getValue("rawtime", 0) != nLastRawTime) {
     nLastRawTime = getValue("rawtime", 0);
     BLBarOffset += 1;

//  New Buy Signal
    if ((currentTrendDirection <=0) && 
        (high(-1) > high(-2)) ) {
       if (OpenContracts > 0) {
        //Close existing open SHORT Trade
         PTtrade.Buy(getSymbol(),OpenContracts,PaperTradeBroker.MARKET);
         OpenContracts = 0;
       }
         PTtrade.Buy(getSymbol(),DefEntryContracts,PaperTradeBroker.MARKET);
       drawShapeRelative(0, high(), Shape.UPARROW, null, Color.lime, Shape.ONTOP, getValue("rawtime")+"LE");
         OpenContracts = DefEntryContracts;
       currentTrendDirection = 1;
    }

//  New Sell Signal
    if ((currentTrendDirection >=0) && 
        (low(-1) > low(-2)) ) {
       if (OpenContracts > 0) {
        //Close existing open LONG Trade
         PTtrade.Buy(getSymbol(),(0-OpenContracts),PaperTradeBroker.MARKET);
         OpenContracts = 0;
       }
         PTtrade.Sell(getSymbol(),(0-DefEntryContracts),PaperTradeBroker.MARKET);
       drawShapeRelative(0, high(), Shape.DOWNARROW, null, Color.red, Shape.ONTOP, getValue("rawtime")+"SE");
         OpenContracts = DefEntryContracts;
       currentTrendDirection = -1;
    }

 } //  end if Completed Bar

 return;
} 

[Doji3333]

oops...

forgot to add one CRITICAL item to this code (after reviewing it...

you need to add....

if (getCurrentBarIndex() == 0) { after the BLBarOffset += 1; statement.

You don't want to have this code execute orders on historical bars...

so, here are the revised versions...

var IBtrade = new IBBroker;
var DefEntryContracts = 300;

// system variables - do not change !!
var currentTrendDirection = 0;
var nLastRawTime  = 0;
var BLBarOffset  = 0;
var OpenContracts = 0;
var vHour;
var vMin;
var vSec;
var vDay;
var vMonth;


function preMain() {
    setStudyTitle("PT Example");
    setCursorLabelName(false);
    setPriceStudy(true);
}

function main() {

//  Get Time Variables 
  var vTime = new Date();
  vTime = getValue("Time", 0);
  vHour = vTime.getHours();
  vMin = vTime.getMinutes();
  vSec = vTime.getSeconds();
  vDay = vTime.getDate();
  vMonth = vTime.getMonth() +1;
  
//  completed bar
 if (getValue("rawtime", 0) != nLastRawTime) {
     nLastRawTime = getValue("rawtime", 0);
     BLBarOffset += 1;

//  if current RT bar
  if (getCurrentBarIndex() == 0) { 

//  New Buy Signal
    if ((currentTrendDirection <=0) && 
        (high(-1) > high(-2)) ) {
       if (OpenContracts > 0) {
        //Close existing open SHORT Trade
       IBtrade.Buy(getSymbol(),OpenContracts,IBBroker.MARKET);
         OpenContracts = 0;
       }
    IBtrade.Buy(getSymbol(),DefEntryContracts,IBBroker.MARKET);
       drawShapeRelative(0, high(), Shape.UPARROW, null, Color.lime, Shape.ONTOP, getValue("rawtime")+"LE");
         OpenContracts = DefEntryContracts;
       currentTrendDirection = 1;
    }

//  New Sell Signal
    if ((currentTrendDirection >=0) && 
        (low(-1) > low(-2)) ) {
       if (OpenContracts > 0) {
        //Close existing open LONG Trade
    IBtrade.Sell(getSymbol(),OpenContracts,IBBroker.MARKET);
         OpenContracts = 0;
       }
    IBtrade.Sell(getSymbol(),DefEntryContracts,IBBroker.MARKET);
       drawShapeRelative(0, high(), Shape.DOWNARROW, null, Color.red, Shape.ONTOP, getValue("rawtime")+"SE");
         OpenContracts = DefEntryContracts;
       currentTrendDirection = -1;
    }
  
   } // end if getcurrentbarindex == 0
 } //  end if Completed Bar

 return;
} 

Now for the PT code..

var PTtrade = new PaperTradeBroker;
var DefEntryContracts = 300;

// system variables - do not change !!
var currentTrendDirection = 0;
var nLastRawTime  = 0;
var BLBarOffset  = 0;
var OpenContracts = 0;
var vHour;
var vMin;
var vSec;
var vDay;
var vMonth;


function preMain() {
    setStudyTitle("PT Example");
    setCursorLabelName(false);
    setPriceStudy(true);
}

function main() {

//  Get Time Variables 
  var vTime = new Date();
  vTime = getValue("Time", 0);
  vHour = vTime.getHours();
  vMin = vTime.getMinutes();
  vSec = vTime.getSeconds();
  vDay = vTime.getDate();
  vMonth = vTime.getMonth() +1;
  
//  completed bar
 if (getValue("rawtime", 0) != nLastRawTime) {
     nLastRawTime = getValue("rawtime", 0);
     BLBarOffset += 1;

//  current RT bar
  if (getCurrentBarIndex() == 0) {

//  New Buy Signal
    if ((currentTrendDirection <=0) && 
        (high(-1) > high(-2)) ) {
       if (OpenContracts > 0) {
        //Close existing open SHORT Trade
         PTtrade.Buy(getSymbol(),OpenContracts,PaperTradeBroker.MARKET);
         OpenContracts = 0;
       }
         PTtrade. Buy(getSymbol(),DefEntryContracts,PaperTradeBroker.MARKET);
       drawShapeRelative(0, high(), Shape.UPARROW, null, Color.lime, Shape.ONTOP, getValue("rawtime")+"LE");
         OpenContracts = DefEntryContracts;
       currentTrendDirection = 1;
    }

//  New Sell Signal
    if ((currentTrendDirection >=0) && 
        (low(-1) > low(-2)) ) {
       if (OpenContracts > 0) {
        //Close existing open LONG Trade
         PTtrade.Buy(getSymbol(),(0-OpenContracts),PaperTradeBroker.MARKET);
         OpenContracts = 0;
       }
         PTtrade.Sell(getSymbol(),(0-DefEntryContracts),PaperTradeBroker.MARKET);
       drawShapeRelative(0, high(), Shape.DOWNARROW, null, Color.red, Shape.ONTOP, getValue("rawtime")+"SE");
         OpenContracts = DefEntryContracts;
       currentTrendDirection = -1;
    }

  } // end if getCurrentBarIndex() == 0

 } //  end if Completed Bar

 return;
} 

Bugs are part of a developers life - sorry about that.

B

[biswar]

Thats great !!!... Thanks Doji

[biswar]

IB

Forgot to mention a couple oof things

1. Place Stop when new short or long taken
2. move stop to breakeven after reduced
3. cancle stop when trade is over.

Could you also add these in to your sample script pleae

thanks

[rugosoft]

are other order formats possible

Reading your code i was wondering if other order formats such as limit ,trail ,stoplimit etc were also possible ?. Where do i find more documentation about this code?

Thanks,

Ruurd.

[Doji3333]

Solutions...

In EFS (using the IB Broker plug-in), you have to do some of this manually... I'll also add some control variables...

StrategyisInTrade
StrategyisShort
StrategyisLong

Stops....
In doing so, you have to assume an entry price (because there is not way to retrieve it from the IBBroker module) and then track the price (current price) to see if it breaches your stop level.

PTs....
Are handled the same way - testing every close() for a price breach.

Moving Stops..
I use control variables to handle this. In this case, I created "StopMovedToBE" to be our control variable. I set it to false when a trade (entry) is executed, then test for the conditions to move the stop and set it to true after the system moves the stop. Thus, it will only allow this to happen ONCE.

Now, if you wanted to create a multiple-stage stop moving system, you would use numbers to count the stages of the stop system and not true/false variables. For example, you would have Stage#1, #2, #3, #4 for the stops and increment the stage counter each time an action is taken.

If you were using something like DO, you could place these orders (stop and PT) as LIMIT orders and check to see when they get filled. But because of the use or the IBBroker module, you have to do it like I'm showing.

If you have any other questions, please let me know.

B

Here is an example...

var IBtrade = new IBBroker;
var DefEntryContracts = 300;
var vStopLevel1 = 2.0;
var vPTLevel1 = 2.0;
var StopBELevel = 1.50;

// system variables - do not change !!
var currentTrendDirection = 0;
var nLastRawTime  = 0;
var BLBarOffset  = 0;
var OpenContracts = 0;

var nEntryPrice;
var nPTPrice;
var nStopPrice;
var StopMovedToBE = false;
var vHour;
var vMin;
var vSec;
var vDay;
var vMonth;

var StrategyisInTrade = false;
var StrategyisShort = false;
var StrategyisLong = false;


function preMain() {
    setStudyTitle("PT Example");
    setCursorLabelName(false);
    setPriceStudy(true);
}

function main() {

//  Get Time Variables 
  var vTime = new Date();
  vTime = getValue("Time", 0);
  vHour = vTime.getHours();
  vMin = vTime.getMinutes();
  vSec = vTime.getSeconds();
  vDay = vTime.getDate();
  vMonth = vTime.getMonth() +1;
  
//  completed bar
 if (getValue("rawtime", 0) != nLastRawTime) {
     nLastRawTime = getValue("rawtime", 0);
     BLBarOffset += 1;

//  if current RT bar
  if (getCurrentBarIndex() == 0) { 

//  New Buy Signal
    if ((currentTrendDirection <=0) && 
        (high(-1) > high(-2)) ) {
       if (OpenContracts > 0) {
        //Close existing open SHORT Trade
       IBtrade.Buy(getSymbol(),OpenContracts,IBBroker.MARKET);
         OpenContracts = 0;
       }
    IBtrade.Buy(getSymbol(),DefEntryContracts,IBBroker.MARKET);
       drawShapeRelative(0, high(), Shape.UPARROW, null, Color.lime, Shape.ONTOP, getValue("rawtime")+"LE");
         OpenContracts = DefEntryContracts;
        nEntryPrice = close();
        nStopPrice = nEntryPrice-vStopLevel1 ;
        nPTPrice = nEntryPrice+vPTLevel1 ;
       currentTrendDirection = 1;
       StopMovedToBE = false;
       StrategyisInTrade = true;
       StrategyisShort = false;
       StrategyisLong = true;
    }

//  New Sell Signal
    if ((currentTrendDirection >=0) && 
        (low(-1) > low(-2)) ) {
       if (OpenContracts > 0) {
        //Close existing open LONG Trade
    IBtrade.Sell(getSymbol(),OpenContracts,IBBroker.MARKET);
         OpenContracts = 0;
       }
    IBtrade.Sell(getSymbol(),DefEntryContracts,IBBroker.MARKET);
       drawShapeRelative(0, high(), Shape.DOWNARROW, null, Color.red, Shape.ONTOP, getValue("rawtime")+"SE");
         OpenContracts = DefEntryContracts;
        nEntryPrice = close();
        nStopPrice = nEntryPrice+vStopLevel1 ;
        nPTPrice = nEntryPrice-vPTLevel1 ;
       currentTrendDirection = -1;
       StopMovedToBE = false;
       StrategyisInTrade = true;
       StrategyisShort = true;
       StrategyisLong = false;
    }
  
   } // end if getcurrentbarindex == 0
 } //  end if Completed Bar


//---------------------------------------------------
//----  Allow moving of stop to breakeven
//---------------------------------------------------
if ((StrategyisInTrade) && (!StopMovedToBE)) {
  if ((StrategyisLong) && (close() > (nEntryPrice+StopBELevel) ) ){
    nStopPrice = nEntryPrice;
    StopMovedToBE = true;
  }
  if ((StrategyisShort) && (close() < (nEntryPrice-StopBELevel) ) ){
    nStopPrice = nEntryPrice;
    StopMovedToBE = true;
  }
}
//---------------------------------------------------
//----  END Allow moving of stop to breakeven
//---------------------------------------------------


//--------------------------------------------------------
//---------------  outside completed bar loop
//---------------  check for stops and PTs
//--------------------------------------------------------
if (StrategyisInTrade) {
  if (StrategyisShort) {
   //  Check Stops
    if (close() > nStopPrice) {
    //  Stopped out of a short trade
        //Close existing open SHORT Trade
       IBtrade.Buy(getSymbol(),OpenContracts,IBBroker.MARKET);
         OpenContracts = 0;
       StrategyisInTrade = false;
       StrategyisShort = false;
       StrategyisLong = false;
    }

   //  Check PTs
    if (close() < nPTPrice) {
    //  Hit our short trade PT
        //Close existing open SHORT Trade
       IBtrade.Buy(getSymbol(),OpenContracts,IBBroker.MARKET);
         OpenContracts = 0;
       StrategyisInTrade = false;
       StrategyisShort = false;
       StrategyisLong = false;
    }
  } // end if (StrategyisShort)

  if (StrategyisLong) {
   //  Check Stops
    if (close() < nStopPrice) {
    //  Stopped out of a long trade
        //Close existing open LONG Trade
       IBtrade.Sell(getSymbol(),(0-OpenContracts),IBBroker.MARKET);
         OpenContracts = 0;
       StrategyisInTrade = false;
       StrategyisShort = false;
       StrategyisLong = false;
    }

   //  Check PTs
    if (close() > nPTPrice) {
    //  Hit our long trade PT
        //Close existing open LONG Trade
       IBtrade.Sell(getSymbol(),(0-OpenContracts),IBBroker.MARKET);
         OpenContracts = 0;
       StrategyisInTrade = false;
       StrategyisShort = false;
       StrategyisLong = false;
    }
  } // end if (StrategyisLong)

}  // end if (StrategyisInTrade) 
//---- END ---------------------------------------------
//---------------  outside completed bar loop
//---------------  check for stops and PTs
//--------------------------------------------------------

 return;
} 

[Doji3333]

Rugosoft...

The technical docs can be found in the DOCS directory (within the esignal directory). There are other types of orders, but because there is currently no way to cancel the limit orders, I would suggest using my methods for trading.

You could also look into www.dynaorder.com as another solution.

B

[biswar]

IB

Thanks doji

Ive used bracket trader, which seems to half work the preset targets and stops seem to flaw it(unless im doing soemthing wrong when i try to change the stops.

I gonna try tsim+, any help here would be appreciated

[Doji3333]

I have not worked with either..

I have worked with DynaOrder, NINJA TRADER and esignal Broker Modules. I have not tried all of the other packages.

I, personally, like DO. It takes a little getting used to, but once you figure it out, you can do a whole lot with it (plus I guess it helps to have programming skills). Do is basically designed by programmers for programmers.

B

[tinker70]

Re: Solutions...

I realize this is an ancient thread, but I was wondering if the quoted code is a bug, albeit benign:

function main() {
//  Get Time Variables 
  var vTime = new Date();
  vTime = getValue("Time", 0); 

The code first sets vTime to a new Date object, and then immediately overwrites that with the return from getValue(). Yes, it's benign (I think), and could be safely rewritten as:

function main() {
// Get Time Variables
   var vTime = getValue("Time", 0); 

Or am I missing something?

Thanks.

[biswar]

wow this thread is very ancient,
yep what you have there will work, no prob