• Integrated Charting, data feed and brokering in a single platform

  For more information visit:www.visualchart.com

Requirements

• VisualChart 6

• Windows - the one VisualChart is running on

• comtypes fork:https://github.com/mementum/comtypes

  Install it with:pip installhttps://github.com/mementum/comtypes/archive/master.zip

  TheVisual Chart API is based onCOM.

  The currentcomtypes main branch doesn’t support unpacking ofVT_ARRAYS ofVT_RECORD. And this is used byVisual Chart

  Pull Request #104 hasbeen submitted but not yet integrated. As soon as it is integrated, themain branch can be used.

• pytz (optional but really recommended)

  To make sure each and every data is returned in the market time.

  This is true for most markets but some are really an exception (GlobalIndices being a good example)

  Time Management insideVisual Chart and its relation with the deliveredtimes overCOM is complex and havingpytz tends to simplify things.

Sample Code

The sources contain a full sample under:

• samples/vctest/vctest.py

The sample cannot cover every possible use case but it tries to provide broadinsight and should highlight that there is no real difference when it comes touse the backtesting module or the live data module

One thing could be pin-pointed:

• The sample waits for adata.LIVE data status notification before any trading activity takes place.

  This would probably is something to consider in any live strategy

VCStore - the store

The store is the keystone of the live data feed/trade support, providing alayer of adaptation between theCOM API and the needs of a data feedand a broker proxy.

• Providesaccess to getting abroker instance with the method:

  • VCStore.getbroker(*args, **kwargs)

• Provides access to getterdata feed instances

  • VCStore.getedata(*args, **kwargs)

  In this case many of the**kwargs are common to data feeds likedataname,fromdate,todate,sessionstart,sessionend,timeframe,compression

  The data may provide other params. Check the reference below.

TheVCStore will try to:

• Automatically locateVisualChart in the system using theWindows Registry

  • If found, the installation directory will be scanned for theCOM DLLs to create theCOMtypelibs and be able to instantiate the appropriate objects

  • If not found, then an attempt will be made with known and hardcodedCLSIDs to do the same.

Other responsibilities of theVCStore:

• Keeping general track of the connectivity status ofVisual Chart to the server

VCData feeds

General

The data feed offered byVisual Chart has some interesting properties:

• Resampling is done by the platform

  Not in all cases:Seconds is not supported and has still to be done bybacktrader

  As such and only when doing something with seconds would the end user needto do:

  vcstore=bt.stores.VCStore()vcstore.getdata(dataname='015ES',timeframe=bt.TimeFrame.Ticks)cerebro.resampledata(data,timeframe=bt.TimeFrame.Seconds,compression=5)

  In all other cases it is enough with:

  vcstore=bt.stores.VCStore()data=vcstore.getdata(dataname='015ES',timeframe=bt.TimeFrame.Minutes,compression=2)cerebro.addata(data)

The data will calculate atimeoffset internally by comparing the internalequipment clock and theticks delivered by the platform in order todeliver theautomatically resampled bars as early as possible if no new ticksare coming in.

Instantiating the data:

• Pass the symbol seen on the top-left side ofVisualChart without spaces. For example:

  • ES-Mini is displayed as001 ES. Instantiate it as:

  data=vcstore.getdata(dataname='001ES',...)

  • EuroStoxx 50 is displayed as015 ES. Instantiate it as:

  data=vcstore.getdata(dataname='015ES',...)

Time management

The time management follow the general rules ofbacktrader

• Give the time inMarket time, to make sure the code is not dependent on DST transitions happening at different times and making local time not reliable for time comparisons.

This works for most markets inVisual Chart but some specific management isdone for some markets:

• Datas in the exchange096 which is namedInternational Indices.

  These are theoretically reported to be in the timezoneEurope/Londonbut tests have revealed this seems to be partially true and some internalmanagement is in place to cover for it.

The use of realtimezones for time management can be enabled by passing theparameterusetimezones=True. This tries to usepytz if available. It isnot needed, as for most markets the internal time offsets provided byVisualChart allow for the seamless conversion to the market time.

In any case it would seem to be pointless to report the096.DJI inEurope/London time when it is actually located inUS/Eastern. Assuchbacktrader will report it in the later. In that case the use ofpytz is more than recommended.

List ofInternational Indices for which the outputtimezone is defined inVCDATA:

'096.FTSE': 'Europe/London','096.FTEU3': 'Europe/London','096.MIB30': 'Europe/Berlin','096.SSMI': 'Europe/Berlin','096.HSI': 'Asia/Hong_Kong','096.BVSP': 'America/Sao_Paulo','096.MERVAL': 'America/Argentina/Buenos_Aires','096.DJI': 'US/Eastern','096.IXIC': 'US/Eastern','096.NDX': 'US/Eastern',

Small time problem

Passingfromdate ortodate with a giventime of day rather than thedefault00:00:00 seems to create a filter in theCOM API and bars for anydays will only be delivered after the given time.

As such:

• Please pass onlyfull dates toVCData as in:

  data=vcstore.getdata(dataname='001ES',fromdate=datetime(2016,5,15))

  And not::

  data = vcstore.getdata(dataname=‘001ES’, fromdate=datetime(2016, 5, 15, 8, 30))

Backfilling time lengths

If nofromdate is specified by the end user, the platform willautomatically try to backfill and the carry on with live data. The backfillingis timeframe dependent and is:

• Ticks,MicroSeconds,Seconds:1 Day

  The same for the 3 timeframes given thatSeconds andMicroSeconds arenot directly supported byVisual Chart and are done through resampling ofTicks

• Minutes:2 Days

• Days:1 year

• Weeks:2 years

• Months:5 years

• Months:20 years

The defined backfilling periods are multiplied by the requestedcompression,that is: if thetimeframe isMinutes and thecompression is 5 the finalbackfilling period will be:2 days * 5 -> 10 days

Trading the data

Visual Chart offerscontinuous futures. No manual management is neededand the future of your choice can be tracked without interruption. This is anadvantage and presents a small challenge:

• ES-Mini is001ES, but the actual trading asset (ex: Sep-2016) isESU16.

To overcome this and allow a strategy to track thecontinuous future andtrade on thereal asset the following can be specified during datainstantiation:

data=vcstore.getdata(dataname='001ES',tradename='ESU16')

Trades will happen onESU16, but the data feed will be frm001ES (thedata is the same 3 months long)

Other parameters

• qcheck (default:0.5 seconds) controls the frequency to wake up to talk to the internal resampler/replayer to avoid late delivery of bars.

  The following logic will be applied to used this parameter:

  • If internalresampling/replaying is detected, the value will be used as it is.

  • If no internalresampling/replaying is detected, the data feed will not wake up, because there is nothing to report to.

  The data feed will still wake up to check theVisual Chart built-inresampler, but this is automatically controlled.

Data Notifications

The data feed will report the current status via one or more of the following(check theCerebro andStrategy reference)

• Cerebro.notify_data (if overriden)n

• A callback addded withCerebro.adddatacb

• Strategy.notify_data (if overriden)

An example inside thestrategy:

classVCStrategy(bt.Strategy):defnotify_data(self,data,status,*args,**kwargs):ifstatus==data.LIVE:# the data has switched to live data# do somethingpass

The following notifications will be sent following changes in the system:

• CONNECTED

  Sent on successful initial connection

• DISCONNECTED

  In this case retrieving the data is no longer possible and the data willindicate the system nothing can be done. Possible conditions:

  • Wrong contract specified

  • Interruption during historical download

  • Number of reconnection attempts to TWS exceeded

• CONNBROKEN

  Connectivity has been lost to either TWS or to the data farms. The datafeed will try (via the store) to reconnect and backfill, when needed, andresume operations

• NOTSUBSCRIBED

  Contract and connection are ok, but the data cannot be retrieved due tolack of permissions.

  The data will indicate to the system that it cannot retrieve the data

• DELAYED

  Signaled to indicate that ahistorical/backfilling operation are inprogress and the data being processed by the strategy is not real-time data

• LIVE

  Signaled to indicate that the data to be processed from this point onwardsby thestrategy is real-time data

Developers ofstrategies should consider which actions to undertake in caseslike when a disconnection takes place or when receivingdelayed data.

VCBroker - Trading Live

Using the broker

To use theVCBroker, the standard broker simulation instance created bycerebro has to be replaced.

Using theStore model (preferred):

importbacktraderasbtcerebro=bt.Cerebro()vcstore=bt.stores.VCStore()cerebro.broker=vcstore.getbroker()# or cerebro.setbroker(...)

Broker Parameters

Be it directly or overgetbroker theVCBroker broker supports noparameters. This is because the broker is just a proxy to the a realBroker. And what the real broker gives, shall not be taken away.

Restrictions

Position

Visual Chart reportsopen positions. This could be used most of the timeto control the actual position, but a final event indicating aPosition hasbeen closed is missing.

That makes it compulsory forbacktrader to keep full accounting of thePosition and separate from any previous existing position in your account

Commission

TheCOM trading interface doesn’t report commissions. There is no chance forbacktrader to make and educated guess, unless:

• Thebroker is instantiated with aCommission instance indicating which commissions do actually take place.

Trading with it

Account

Visual Chart supports several accounts at the same time in one broker. Thechosen account can be controlled with the parameter:

• account (default:None)

  VisualChart supports several accounts simultaneously on the broker. Ifthe defaultNone is in place the 1^st account in the ComTraderAccounts collection will be used.

  If an account name is provided, theAccounts collection will bechecked and used if present

Opperations

There is no change with regards to the standar usage. Just use the methodsavailable in the strategy (see theStrategy reference for a fullexplanation)

• buy

• sell

• close

• cancel

Order objects returned

• StandardbacktraderOrder objects

Order Execution Types

Visual Chart supports the minimum order execution types needed bybacktrader and as such, anyhing which is backtested can go live.

As such the order execution types are limited to the ones available in thebroker simulation:

• Order.Market

• Order.Close

• Order.Limit

• Order.Stop (when theStop is triggered aMarket order follows)

• Order.StopLimit (when theStop is triggered aLimit order follows)

Order Validity

The same validity notion available during backtesting (withvalid tobuy andsell) is available and with the same meaning. As such, thevalid parameter is translated as follows forVisual Chart Orders for thefollowing values:

• None translates toGood Til Cancelled

  Because no validity has been specified it is understood that the order mustbe valid until cancelled

• datetime/date translates toGood Til Date

  Note

  Beware:Visual Chart does only support “full dates” and thetime part is discarded.

• timedelta(x) translates toGood Til Date (heretimedelta(x) != timedelta())

  Note

  Beware:Visual Chart does only supportfull dates and thetime part is discarded.

  This is interpreted as a signal to have an order be valid fromnow +timedelta(x)

• timedelta() or 0 translates toSession

  A value has been passed (instead ofNone) but isNull and isinterpreted as an order valid for the currentday (session)

Notifications

The standardOrder status will be notified to astrategy over the methodnotify_order (if overridden)

• Submitted - the order has been sent to TWS

• Accepted - the order has been placed

• Rejected - order placement failed or was cancelled by the system during its lifetime

• Partial - a partial execution has taken place

• Completed - the order has been fully executed

• Canceled (orCancelled)

• Expired - Not reported as of yet. An heuristic would be needed to distinguish this status fromCancelled

Reference

VCStore

class backtrader.stores.VCStore()

Singleton class wrapping an ibpy ibConnection instance.

The parameters can also be specified in the classes which use this store,likeVCData andVCBroker

VCBroker

class backtrader.brokers.VCBroker(**kwargs)

Broker implementation for VisualChart.

This class maps the orders/positions from VisualChart to theinternal API ofbacktrader.

Params:

• account (default: None)

  VisualChart supports several accounts simultaneously on the broker. Ifthe defaultNone is in place the 1^st account in the ComTraderAccounts collection will be used.

  If an account name is provided, theAccounts collection will bechecked and used if present

• commission (default: None)

  An object will be autogenerated if no commission-scheme is passed asparameter

  See the notes below for further explanations

Notes

• Position

VisualChart reports “OpenPositions” updates through the ComTrader interface but only when the position has a “size”. An update to indicate a position has moved to ZERO is reported by the absence of such position. This forces to keep accounting of the positions by looking at the execution events, just like the simulation broker does

• Commission

The ComTrader interface of VisualChart does not report commissions and as such the auto-generated CommissionInfo object cannot use non-existent commissions to properly account for them. In order to support commissions acommission parameter has to be passed with the appropriate commission schemes.

The documentation on Commission Schemes details how to do this

• Expiration Timing

The ComTrader interface (or is it the comtypes module?) discardstime information fromdatetime objects and expiration dates are always full dates.

• Expiration Reporting

At the moment no heuristic is in place to determine when a cancelled order has been cancelled due to expiration. And therefore expired orders are reported as cancelled.

VCData

class backtrader.feeds.VCData(**kwargs)

VisualChart Data Feed.

Params:

• qcheck (default:0.5) Default timeout for waking up to let a resampler/replayer that the current bar can be check for due delivery

  The value is only used if a resampling/replaying filter has beeninserted in the data

• historical (default:False) If notodate parameter is supplied (defined in the base class), this will force a historical only download if set toTrue

  Iftodate is supplied the same effect is achieved

• milliseconds (default:True) The bars constructed byVisual Chart have this aspect: HH:MM:59.999000

  If this parameter isTrue a millisecond will be added to this timeto make it look like: HH::MM + 1:00.000000

• tradename (default:None) Continous futures cannot be traded but are ideal for data tracking. If this parameter is supplied it will be the name of the current future which will be the trading asset. Example:

  • 001ES -> ES-Mini continuous supplied asdataname

  • ESU16 -> ES-Mini 2016-09. If this is supplied intradename it will be the trading asset.

• usetimezones (default:True) For most markets the time offset information provided byVisual Chart allows for datetime to be converted to market time (backtrader choice for representation)

  Some markets are special (096) and need special internal coverageand timezone support to display in the user expected market time.

  If this parameter is set toTrue importingpytz will beattempted to use timezones (default)

  Disabling it will remove timezone usage (may help if the load isexcesive)