Add Sandbox example with InteractiveBrokers

examples/live/interactive_brokers/sandbox.py

@@ -0,0 +1,140 @@
+#!/usr/bin/env python3
+# -------------------------------------------------------------------------------------------------
+#  Copyright (C) 2015-2024 Nautech Systems Pty Ltd. All rights reserved.
+#  https://nautechsystems.io
+#
+#  Licensed under the GNU Lesser General Public License Version 3.0 (the "License");
+#  You may not use this file except in compliance with the License.
+#  You may obtain a copy of the License at https://www.gnu.org/licenses/lgpl-3.0.en.html
+#
+#  Unless required by applicable law or agreed to in writing, software
+#  distributed under the License is distributed on an "AS IS" BASIS,
+#  WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+#  See the License for the specific language governing permissions and
+#  limitations under the License.
+# -------------------------------------------------------------------------------------------------
+
+
+from decimal import Decimal
+
+# fmt: off
+from nautilus_trader.adapters.interactive_brokers.config import InteractiveBrokersDataClientConfig
+from nautilus_trader.adapters.interactive_brokers.config import InteractiveBrokersGatewayConfig
+from nautilus_trader.adapters.interactive_brokers.config import InteractiveBrokersInstrumentProviderConfig
+from nautilus_trader.adapters.interactive_brokers.factories import InteractiveBrokersLiveDataClientFactory
+from nautilus_trader.adapters.sandbox.config import SandboxExecutionClientConfig
+from nautilus_trader.adapters.sandbox.execution import SandboxExecutionClient
+from nautilus_trader.adapters.sandbox.factory import SandboxLiveExecClientFactory
+from nautilus_trader.config import LiveDataEngineConfig
+from nautilus_trader.config import LoggingConfig
+from nautilus_trader.config import TradingNodeConfig
+from nautilus_trader.examples.strategies.ema_cross import EMACross
+from nautilus_trader.examples.strategies.ema_cross import EMACrossConfig
+from nautilus_trader.live.node import TradingNode
+from nautilus_trader.model.data import BarType
+from nautilus_trader.persistence.catalog import ParquetDataCatalog
+
+
+# fmt: on
+
+# Load instruments from a Parquet catalog
+CATALOG_PATH = "/path/to/catalog"
+catalog = ParquetDataCatalog(CATALOG_PATH)
+SANDBOX_INSTRUMENTS = catalog.instruments(instrument_ids=["EUR/USD.IDEALPRO"])
+
+# Need to manually set instruments for sandbox exec client
+SandboxExecutionClient.INSTRUMENTS = (
+    SANDBOX_INSTRUMENTS  # <- ALL INSTRUMENTS MUST HAVE THE SAME VENUE
+)
+
+# Set up the Interactive Brokers gateway configuration, this is applicable only when using Docker.
+gateway = InteractiveBrokersGatewayConfig(
+    start=False,
+    username=None,
+    password=None,
+    trading_mode="paper",
+    read_only_api=True,
+)
+
+instrument_provider = InteractiveBrokersInstrumentProviderConfig(
+    build_futures_chain=False,
+    build_options_chain=False,
+    min_expiry_days=10,
+    max_expiry_days=60,
+    load_ids=frozenset(str(instrument.id) for instrument in SANDBOX_INSTRUMENTS),
+)
+
+# Set up the execution clients (required per venue)
+SANDBOX_VENUES = {str(instrument.venue) for instrument in SANDBOX_INSTRUMENTS}
+exec_clients = {}
+for venue in SANDBOX_VENUES:
+    exec_clients[venue] = SandboxExecutionClientConfig(
+        venue=venue,
+        currency="USD",
+        balance=1_000_000,
+        instrument_provider=instrument_provider,
+    )
+
+
+# Configure the trading node
+config_node = TradingNodeConfig(
+    trader_id="SANDBOX-001",
+    logging=LoggingConfig(log_level="INFO"),
+    data_clients={
+        "IB": InteractiveBrokersDataClientConfig(
+            ibg_host="127.0.0.1",
+            ibg_port=7497,
+            ibg_client_id=1,
+            use_regular_trading_hours=True,
+            instrument_provider=instrument_provider,
+            gateway=gateway,
+        ),
+    },
+    exec_clients=exec_clients,  # type: ignore
+    data_engine=LiveDataEngineConfig(
+        time_bars_timestamp_on_close=False,
+        validate_data_sequence=True,
+    ),
+    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 strategies
+strategies = {}
+for instrument in SANDBOX_INSTRUMENTS:
+    # Configure your strategy
+    strategy_config = EMACrossConfig(
+        instrument_id=instrument.id,
+        bar_type=BarType.from_str(f"{instrument.id}-30-SECOND-MID-EXTERNAL"),
+        trade_size=Decimal(100_000),
+        subscribe_quote_ticks=True,
+    )
+    # Instantiate your strategy
+    strategy = EMACross(config=strategy_config)
+    # Add your strategies and modules
+    node.trader.add_strategy(strategy)
+
+    strategies[str(instrument.id)] = strategy
+
+
+# Register client factories with the node
+for data_client in config_node.data_clients:
+    node.add_data_client_factory(data_client, InteractiveBrokersLiveDataClientFactory)
+for exec_client in config_node.exec_clients:
+    node.add_exec_client_factory(exec_client, SandboxLiveExecClientFactory)
+
+node.build()
+
+
+# Stop and dispose of the node with SIGINT/CTRL+C
+if __name__ == "__main__":
+    try:
+        node.run()
+    finally:
+        node.dispose()

nautilus_trader/examples/strategies/ema_cross.py

@@ -57,6 +57,10 @@ class EMACrossConfig(StrategyConfig, frozen=True):
         The fast EMA period.
     slow_ema_period : int, default 20
         The slow EMA period.
+    subscribe_trade_ticks : bool, default True
+        If trade ticks should be subscribed to.
+    subscribe_quote_ticks : bool, default False
+        If quote ticks should be subscribed to.
     close_positions_on_stop : bool, default True
         If all open positions should be closed on strategy stop.
     order_id_tag : str
@@ -73,6 +77,8 @@ class EMACrossConfig(StrategyConfig, frozen=True):
     trade_size: Decimal
     fast_ema_period: PositiveInt = 10
     slow_ema_period: PositiveInt = 20
+    subscribe_trade_ticks: bool = True
+    subscribe_quote_ticks: bool = False
     close_positions_on_stop: bool = True
 
 
@@ -135,8 +141,11 @@ def on_start(self) -> None:
 
         # Subscribe to live data
         self.subscribe_bars(self.bar_type)
-        # self.subscribe_quote_ticks(self.instrument_id)
-        self.subscribe_trade_ticks(self.instrument_id)
+        if self.config.subscribe_quote_ticks:
+            self.subscribe_quote_ticks(self.instrument_id)
+        if self.config.subscribe_trade_ticks:
+            self.subscribe_trade_ticks(self.instrument_id)
+
         # self.subscribe_ticker(self.instrument_id)  # For debugging
         # self.subscribe_order_book_deltas(self.instrument_id, depth=20)  # For debugging
         # self.subscribe_order_book_snapshots(self.instrument_id, depth=20)  # For debugging