DTB

Deployable Trading Bot (Interactive Brokers)

Version 1.0.3

Description

This Virtual Machine (VM) is set up to automate the execution of quantstrat trading strategies. The VM establishes a connection to the Interactive Brokers Trader Gateway, and trades your selected strategy. The execution platform is fully automated and will start, stop, shutdown, restart, and handle exceptions.

Please note that this repo is the /home/algo/ directory of the accompanying VM. The primary purpose of this repo is to serve as dev version control. One needs to launch the VM either on AWS or locally to use the functionality described hereinafter.

Features

Debian 8 Virtual Machine;
IBController systemd daemon controls IB Gateway start, shutdown, and restart;
Multiple account support, a singular 'DTB' can handle multiple Interactive Broker gateway instances, with each user(strategy) sandbox'ed into it's own environment; and
'trade.R' R execution and trade.py Python of trading strategies.

Installation

Download the latest version of the VM;

Default passwords are: {[user: root, password: root], [user: algo, password: algo]} 2a. Install the VM on an AWS server or; 2b. Launch the VM locally using either VirtualBox or VM Ware;

SSH into the VM; e.g., autossh -X algo@192.168.56.3; and
Place your algorithm into the /home/algo/projects/ directory, making sure that /home/algo/projects/algorithm/lib has the RScript 'trade.R'.
Run 'init' to initalize the strategy

Usage

From the user's home directoy first initialize the algorithm. In this example, the user's name is 'algo':

cd /home/algo/
sudo ./init

This will initalize the VM for trading based upon specified arguments. See the below section 'Arguments' for available parameters. It is very important to choose robust user and root passwords. Otherwise your passwords and intellectual property will be at considerable risk to otherwise preventable security vulnerabilities.

To manually start and stop the algorithm use start or stop, respectively.

sudo ./start --name pair_trade --strategy GOOGL_and_AAPL
sudo ./stop

If you are running running multiple strategies on a singular instance; you need to configure each user with its own Interactive Brokers Gateway and configure the ibcontrollerd (daemon) appropriately. See below for details:

useradd algo2 -aG algo
./home/algo2/install/ibgateway-latest-standalone-linux-x64.sh
nano touch ibcontroller.ib 
mv ibonctroller
systemctl --user enable ibcontrollerd
systemctl --user start ibcontrollerd
systemctl --user status ibcontrollerd

Arguments

Required Arguments

Argument	Description
`--account`	Interactive Brokers account name
`--password`	Interactive Brokers account password
`--strategy`	The specified name of the quantstrat strategy

Configurable Arguments

Argument	Description
`--mode`	Either 'live' or 'paper' trading mode [default='paper']
`--port`	API port number to connect to Interactive Brokers Gateway/TWS [default='4003']
`--name`	The specifed name of the algorithm [default=""]
`--file`	Either to print to terminal screen: ['stdin', 'stdout', 'stderr'] or whether to log messages to a specified file [default='stdin']
`--bars`	The specified periodicity of OHLC price data; ['1week', '1day', '1hour', '30mins', '15mins', '5mins', '3mins', '1min', '30sec', '5sec'] [default='1day']
`--back_fill`	The amount of data to backfill when initalizing the algorithim. This is helpful when one has moving averages (or similar) that need 'n' number of periods to calculate averages. Backfill must be specified in the form 'nS' where the last character may be any one of 'S' (seconds), 'D' (days), 'W' (weeks), 'M' (months), and 'Y' (year). Interactive Brokers limits historical data requests up to 1 year. [default='1Y']
`--exchange`	The desired exchange (market) exchange [default=NYSE]
`--exchange_open`	The (local) time of exchange (market) open [default="09:30:00"]
`--exchange_close`	The (local) time of exchange (market) close [default="16:00:00"]
`--broker`	The desired broker [default='ib']

Examples

sudo ./init 			\
--account john_doe 		\
--password pass123 		\
--name momentum 		\
--strategy 60month		\
--mode paper

sudo ./stop

sudo ./start 			\
--name momentum 		\
--strategy 60month 		\
--mode live

Author(s)

Nathan Matare

License

GNU 2

This file is free software: you may copy, redistribute and/or modify it
under the terms of the GNU General Public License as published by the
Free Software Foundation, either version 2 of the License, or (at your
option) any later version.

This file is distributed in the hope that it will be useful, but
WITHOUT ANY WARRANTY; without even the implied warranty of
MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
General Public License for more details.

You should have received a copy of the GNU General Public License
along with this program. If not, see http://www.gnu.org/licenses/.

nmatare / dtb

DTB