Session Details: The session is perfect for beginners and professionals in the world of Automated trading with Python. The speaker will begin with brief overview about popular and existing web-based algorithmic trading platforms. The focus of the session would be on applicability of IBridgePy, which is an open-sourced software used to connect to Interactive Brokers C++ API for execution of python codes in live markets. Dr. Hui, author of this popular software will show how to use this free platform to trade your strategies and discuss the three cornerstones of IBridgePy: get real time quotes, grab historical data and place orders. Who should attend? - Automated trading enthusiasts - Python coders interested in financial markets - Interactive Brokers users - Those who are looking for automated execution solutions - Those who are curious about using Python for trading Guest Speaker Dr. Hui Liu Author, IBridgePy, an open sourced software to trade with Interactive Brokers Founder, Running River Investment LLC Dr. Hui’s major trading interests are US equities and Forex market. Running River Investment LLC is a private hedge fund specialized in development of automated trading strategies using Python. Hui is the author of IBridgePy, a famous Python trading platform that allows traders to implement their trading strategies quickly. Dr. Hui Liu obtained his bachelor degree and master degree in materials science and engineering from Tsinghua University, China and Ph.D from University of Virginia, U.S.A. His MBA was from Indiana University, U.S.A and his study interest at Indiana was quantitative analysis. Know more about EPAT™ by QuantInsti™ at http://www.quantinsti.com/epat/

1. Speaker: Dr. Hui Liu
tradingwithIB.com | IBridgePy@gmail.com
28th September, 2016
Trading with Interactive
Brokers using Python

2. Agenda
• Advantages of Interactive Brokers
• Advantages of Python for trading
• IBridgePy
– Installation
– Connecting to IB
– PythonXY and Spider IDE
– Real time quotes
– Historical data
– Place orders
– An example code of moving average crossing
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

3. Advantages of Interactive Brokers
• IB API to automate trading
• Low trading cost
• Global markets access
• Variety of products: stocks, options, futures,
forex, bonds, ETFs and CFDs
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

4. Advantages of Interactive Brokers
• Easy to learn
• Availability of variety of modules
• Open source
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

5. IBridgePy
Are you looking for a simple tool to trade with Interactive Brokers API using
Python, instead of using IBPy or Quantopian?
• Python tool to trade with Interactive Brokers
– Flexible
– Easy to use
– Privacy
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

6. Installation
• Follow the link to download IBridgePy to your
local folder and unzip it. Then you will see file
structures like that
• You are good to run your trading algo!
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

7. Connecting to IB
• You need have at least a demo account at Interactive Brokers to try your
algo.
• Download either TWS or IB Gateway to feed your needs
TWS will give you much more information about markets and
interactive ways to communicate with IB
IB Gateway is the better choise if IB-everyday-retart is a concern for
you
• Check ‘IB API’
• Input your credentials and click ‘Login’
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

8. Connecting to IB (2)
• In IB Gateway, -> Configure -> Settings
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

9. Connecting to IB (3)
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

10. PythonXY
• Python(x,y) is a free scientific and engineering
development software for numerical
computations, data analysis and data
visualization based on Python programming
language, Qt graphical user interfaces and Spyder
interactive scientific development environment.
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

11. Prepare IDE
• ‘View’-> ‘Panes’-> Check ‘Editor’ and ‘Console’
• Add the folder to the Python Path by clicking ‘Tools’ -> ‘PYTHONPATH manager’
-> ‘Add path’ -> choose the folder where you unzip IBridgePy.
• Then, click ‘Close’ to accept it.
• It is preferred to restart the Spider IDE to make sure the Python path is
effective.
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

12. Run a sample code
• Open RUN_ME.py in Spider IDE by clicking ‘File’-> ‘Open’
• You may see Spider show up like the following
You may
edit your
code here
You will
see results
here
• To run the python code, click the green triangle or ‘F5’
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

13. Code structure
• "initialize()" is an built-in method to claim variables.
• It will only be run once
• "handle_data()" is also an built-in method where trading decision is made
• Two inputs are given here (context, data). "Context" contains the variables
claimed in initialize(). "data" is the live feed received either daily or
minutely.
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

14. Run a sample code
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

15. Closer look at RUN_ME.py
• Line 16~ line 19: You may choose one algo that you want to execute by
commenting out others
• Line 20: You account code at IB
• Line 21: How often the function of handle_data(context, data), 60 means
to run it every minute and 1 means to run it every second.
• Line 22: There are 4 levels to show results
– ERROR: only show error messages
– INFO: typical users will use it to know the results of your algo
– DEBUG: you may know more info when you debug your algo
– NOTSET: You will see tremendous info if you really want to know what
is going on Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

16. Three corner stones
• Real time price
• Historical data
• Place order
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

17. Ask for real time quotes
• When you need a real time price, simply call a build-in function of
show_real_time_price
• For most of US stocks and ETF, you can simply put ‘AAPL’ for apple instead
of ‘STK, AAPL, USD’
• For Forex, Future and Options, more info is needed to specify. For
example,
– 'FUT,ES,USD,201503‘
– ‘OPT,AAPL,USD,20150702,133,P,100’
– ‘CASH, EUR, USD’
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

18. Ask for historical data from IB
• Request_data is used to ask all kinds of data form IB server
• To ask for historical data from IB, a parameter “historyData” need to be
specified.
– Selecting the instrument for which the historical data needs to be
obtained, in the above example, SPY, an ETF tracking S&P500 index
– Fixing the granularity (time gap), ‘1 day’
– The period of go-back, ’50 D’ means go back 50 days from today.
– The retrieved historical data are saved in a pandas dataframe that are
saved at hist, an attribute of the DataClass, saved in a dictionary called
data
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

19. Ask for historical data from IB (2)
• Of course you may request historical data from IB from other time period,
at other frequencies
• The request format is defined by IB
https://www.interactivebrokers.com/en/software/api/api.htm
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

20. Ask for historical data from IB (3)
• Request multiple historical data at once
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

21. Place orders
• Place market orders: order(symbol(‘SPY’), 100)
– Place an market
– The target security is SPY
– The action is to BUY 100 shares when n > 0
– Negative number means SELL, -100 = SELL 100 shares
– order_target(symbol(‘SPY’), 100) will adjust positions based on your
holding positions by either BUY or SELL until you hold 100 shares
• Place Limit/Stop orders
– order(symbol(‘SPY’), 100, LimitOrder(213.42)) place a limit order to
BUY 100 shares of SPY at price = $213.42 per share
– order(symbol(‘SPY’), -100, StopOrder(213.42)) place a stop order to
SELL 100 shares of SPY at price = $213.42 per share
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

22. Place orders (2)
• It is highly recommended to follow up on the status of the order you
placed by order_status_monitor()
– orderId is the unique identity of your order requests
– For market orders, you should expect ‘Filled’ as the ending point of
your order request, which means the orders have been executed at IB
– For limit and stop orders, the expected status is ‘Submitted’, which
means the orders have been accepted by IB and waiting for executions
– For high liquidity securities, it won’t take too long ( a few seconds ) to
complete the transactions.
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

23. Place orders (3)
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

24. Moving average crossing
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

25. Thank You!
If you need help, WE are here !
IBridgePy@gmail.com
tradingwithIB.com
We have highly experienced in implementing
various trading algorithms quickly
Speaker: Dr. Hui Liu (tradingwithIB.com | IBridgePy@gmail.com)

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