Created
January 24, 2019 17:12
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| from qtpylib.algo import Algo | |
| from qtpylib import futures | |
| class DebugPosition(Algo): | |
| def on_start(self): | |
| self.counter = 0 | |
| self.counter_at_entry = 0 | |
| def on_fill(self, instrument, order): | |
| pass | |
| def on_quote(self, instrument): | |
| pass | |
| def on_orderbook(self, instrument): | |
| pass | |
| def on_tick(self, instrument): | |
| pass | |
| def on_bar(self, instrument): | |
| positions = instrument.get_positions() | |
| if not instrument.pending_orders and positions["position"] == 0: | |
| print('BUY pos:{} counter:{}'.format(positions['position'], self.counter)) | |
| instrument.buy(1) | |
| self.counter_at_entry = self.counter | |
| elif positions["position"] != 0 and self.counter > self.counter_at_entry + 5: | |
| print('SELL pos:{} counter:{}'.format(positions['position'], self.counter)) | |
| instrument.exit() | |
| else: | |
| print('NOACTION pos:{} counter:{}'.format(positions['position'], self.counter)) | |
| self.counter += 1 | |
| if __name__ == "__main__": | |
| ACTIVE_MONTH = '201903' | |
| if not ACTIVE_MONTH: | |
| print('Getting active contract') | |
| ACTIVE_MONTH = futures.get_active_contract("ES") | |
| print("Active month for ES is:", ACTIVE_MONTH) | |
| # 5 min bars | |
| strategy = DebugPosition(instruments = [ ("ES", "FUT", "GLOBEX", "USD", ACTIVE_MONTH, 0.0, "") ], | |
| resolution = "5T", | |
| preload = "1D", | |
| bar_window = 50, | |
| ibport = 7497, | |
| blotter='MainBlotter') | |
| strategy.run() |
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