QuantConnect / Lean.Brokerages.InteractiveBrokers

InteractiveBrokers Brokerage Plugin

     

Introduction

This repository hosts the Interactive Brokers (IB) Brokerage Plugin Integration with the QuantConnect LEAN Algorithmic Trading Engine. LEAN is a brokerage agnostic operating system for quantitative finance. Thanks to open-source plugins such as this LEAN can route strategies to almost any market.

LEAN is maintained primarily by QuantConnect, a US based technology company hosting a cloud algorithmic trading platform. QuantConnect has successfully hosted more than 200,000 live algorithms since 2015, and trades more than $1B volume per month.

About Interactive Brokers

IB was founded by Thomas Peterffy in 1993 with the goal to "create technology to provide liquidity on better terms. Compete on price, speed, size, diversity of global products and advanced trading tools". IB provides access to trading Equities, ETFs, Options, Futures, Future Options, Forex, Gold, Warrants, Bonds, and Mutual Funds for clients in over 200 countries and territories with no minimum deposit. IB also provides paper trading, a trading platform, and educational services.

For more information about the IB brokerage, see the QuantConnect-IB Integration Page.

Using the Brokerage Plugin

Deploying IB with VSCode User Interace

You can deploy using a visual interface in the QuantConnect cloud. For instructions, see the QuantConnect-IB Integration Page.

In the QuantConnect Cloud Platform, you can harness the QuantConnect Live Data Feed, the IB Live Data Feed, or both. For most users, this is substantially cheaper and easier than self-hosting.

Deploying IB with LEAN CLI

Follow these steps to start local live trading with the IB brokerage:

1. Open a terminal in your CLI root directory.

2. Run lean live "<projectName>" to start a live deployment wizard for the project in ./<projectName> and then enter the brokerage number.

   $ lean live "My Project"
   Select a brokerage:
   1) Paper Trading
   2) Interactive Brokers
   3) Tradier
   4) OANDA
   5) Bitfinex
   6) Coinbase Pro
   7) Binance
   8) Zerodha
   9) Samco
   10) Terminal Link
   11) Atreyu
   12) Trading Technologies
   13) Kraken
   14) FTX 
   Enter an option: 
   

3. Enter the number of the organization that has a subscription for the IB module.

   $ lean live "My Project"
   Select the organization with the Interactive Brokers module subscription:
   1) Organization 1
   2) Organization 2
   3) Organization 3
   Enter an option: 1
   

4. Set up IB Key Security via IBKR Mobile. For instructions, see IB Key Security via IBKR Mobile on the IB website.

5. Go back to the terminal and enter your IB username, account id, and password.

   $ lean live "My Project"
   Username: trader777
   Account id: DU1234567
   Account password: ****************
   

6. Enter the number of the data feed to use and then follow the steps required for the data connection.

   $ lean live "My Project"
   Select a data feed:
   1) Interactive Brokers
   2) Tradier
   3) Oanda
   4) Bitfinex
   5) Coinbase Pro
   6) Binance
   7) Zerodha
   8) Samco
   9) Terminal Link
   10) Trading Technologies
   11) Kraken
   12) FTX
   13) IQFeed
   14) Polygon Data Feed
   15) Custom data only
   To enter multiple options, separate them with comma.:
   

   If you select IQFeed, see IQFeed for set up instructions.
   If you select Polygon Data Feed, see Polygon for set up instructions.

7. Enter whether you want to enable delayed market data.

   $ lean live "My Project"
   Enable delayed market data? [yes/no]: 
   

   This property configures the behavior when your algorithm attempts to subscribe to market data for which you don't have a market data subscription on Interactive Brokers. When enabled, your algorithm continues running using delayed market data. When disabled, live trading will stop and LEAN will shut down.

8. View the result in the <projectName>/live/<timestamp> directory. Results are stored in real-time in JSON format. You can save results to a different directory by providing the --output <path> option in step 2.

If you already have a live environment configured in your Lean configuration file, you can skip the interactive wizard by providing the --environment <value> option in step 2. The value of this option must be the name of an environment which has live-mode set to true.

Account Types

The IB API does not support the IBKR LITE plan. You need an IBKR PRO plan. Individual and Financial Advisor (FA) accounts are available. IB supports cash and margin accounts.

Order Types and Asset Classes

The following table describes the order types that IB supports. For specific details about each order type, refer to the IB documentation.

Order Type	IB Documentation Page
MarketOrder	Market Orders
LimitOrder	Limit Orders
LimitIfTouchedOrder	Limit if Touched Orders
StopMarketOrder	Stop Orders
StopLimitOrder	Stop-Limit Orders
TrailingStopOrder	Trailing Stop Orders
MarketOnOpenOrder	Market-on-Open (MOO) Orders
MarketOnCloseOrder	Market-on-Close (MOC) Orders
ExerciseOption	Options Exercise

Downloading Data

For local deployment, the algorithm needs to download the following datasets:

• US Equities Security Master provided by QuantConnect
• US Equities
• US Coarse Universe
• US Equity Options
• FOREX Data
• US Futures Security Master
• US Futures
• US Future Options
• US Cash Indices
• US Index Options

Brokerage Model

Lean models the brokerage behavior for backtesting purposes. The margin model is used in live trading to avoid placing orders that will be rejected due to insufficient buying power.

You can set the Brokerage Model with the following statements

SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash);
SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Margin);

Read Documentation

Fees

We model the order fees of IB for each asset class. For information about each asset class, see Fees.

Margin

We model buying power and margin calls to ensure your algorithm stays within the margin requirements.

Read Documentation

Buying Power

In the US, IB allows up to 2x leverage on Equity trades for margin accounts. In other countries, IB may offer different amounts of leverage. To figure out how much leverage you can access, check with your local legislation or contact an IB representative. We model the US version of IB leverage by default.

Margin Calls

Regulation T margin rules apply. When the amount of margin remaining in your portfolio drops below 5% of the total portfolio value, you receive a warning. When the amount of margin remaining in your portfolio drops to zero or goes negative, the portfolio sorts the generated margin call orders by their unrealized profit and executes each order synchronously until your portfolio is within the margin requirements.

Pattern Day Trading

If all of the following statements are true, you are classified as a pattern day trader:

• You reside in the United States.
• You trade in a margin account.
• You execute 4+ intraday US Equity trades within 5 business days.
• Your intraday US Equity trades represent more than 6% of your total trades.

Pattern day traders must maintain a minimum equity of $25,000 in their margin account to continue trading. For more information about pattern day trading, see Am I a Pattern Day Trader? on the FINRA website.

The PatternDayTradingMarginModel doesn't enforce minimum equity rules and doesn't limit your trades, but it adjusts your available leverage based on the market state. During regular market hours, you can use up to 4x leverage. During extended market hours, you can use up to 2x leverage.

security.MarginModel = new PatternDayTradingMarginModel();

In live trading, if you have less than $25,000 in your account and you try to open a 4th day trade for an Equity asset in a 5 business day period, you'll get the following error message:

Message: 201 - Order rejected - reason:Potential Pattern Day Trade. A potential pattern day trader error message means that an account has less than the SEC required USD 25,000 minimum Net Liquidation Value AND the number of available day trades (3) has already been used within the last 5 days.. You need to maintain an account balance of at least USD 25,000 if you wish to day trade. If you do not, we restrict you to no more than 3 day trades within any 5 business day period as a 4th trade would create a violation.. This order rejection serves to prevent you from opening a 4th trade and possibly closing it today. Please refer to our Knowledge Base for further details.

Slippage

Orders through IB do not experience slippage in backtests. In paper trading and live trading, your orders may experience slippage.

Fills

We fill market orders immediately and completely in backtests. In live trading, if the quantity of your market orders exceeds the quantity available at the top of the order book, your orders are filled according to what is available in the order book.

Settlements

If you trade with a margin account, trades settle immediately. If you trade with a cash account, Equity trades settle 3 days after the transaction date (T+3) and Option trades settle on the business day following the transaction (T+1).

Deposits and Withdraws

You can deposit and withdraw cash from your brokerage account while you run an algorithm that's connected to the account. We sync the algorithm's cash holdings with the cash holdings in your brokerage account every day at 7:45 AM Eastern Time (ET).

     

     

LEAN Engine is an open-source algorithmic trading engine built for easy strategy research, backtesting, and live trading. We integrate with common data providers and brokerages, so you can quickly deploy algorithmic trading strategies.

The core of the LEAN Engine is written in C#, but it operates seamlessly on Linux, Mac and Windows operating systems. To use it, you can write algorithms in Python 3.8 or C#. QuantConnect maintains the LEAN project and uses it to drive the web-based algorithmic trading platform on the website.

Contributions

Contributions are warmly very welcomed but we ask you to read the existing code to see how it is formatted, commented and ensure contributions match the existing style. All code submissions must include accompanying tests. Please see the contributor guide lines.

Code of Conduct

We ask that our users adhere to the community code of conduct to ensure QuantConnect remains a safe, healthy environment for high quality quantitative trading discussions.

License Model

Licensed under the Apache License, Version 2.0 (the "License"); you may not use this file except in compliance with the License. You may obtain a copy of the License at

http://www.apache.org/licenses/LICENSE-2.0

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.