Interactive Brokers Steps

To prepare for live trading with Interactive Brokers, the following steps are required:

• Collect listings from IBKR
• Create realtime database
• Specify an exchange when submitting orders

Collect listings from IBKR

To place orders and/or collect real-time data through Interactive Brokers, it is necessary to collect securities master listings from Interactive Brokers. It is not sufficient to have collected the listings from another vendor; specific IBKR fields must be present in the securities master database in order to allow QuantRocket to communite with the IBKR API.

First, start IB Gateway:

from quantrocket.ibg import start_gateways
start_gateways(wait=True)

{'ibg1': {'status': 'running'}}

Then collect the listings for all US stocks:

from quantrocket.master import collect_ibkr_listings
collect_ibkr_listings(
    exchanges=['NASDAQ', 'NYSE', 'AMEX', 'BATS', 'ARCA'], 
    sec_types=['STK']) # or STK and ETF if you need ETFs

{'status': 'the IBKR listing details will be collected asynchronously'}

Monitor flightlog for completion, which may take several hours. (You can continue with the setup process while waiting for the listings collection to finish.)

Real-time database

Next, create the real-time database. These steps simply create the database. Real-time data collection will be initiated from the Zipline strategy code. First, create the tick database:

from quantrocket.realtime import create_ibkr_tick_db
create_ibkr_tick_db(
    "us-stk-tick", 
    fields=["LastPrice", "Volume"],
    # specifying a universe is required, but we will override this when initiating data 
    # collection in the Zipline strategy, so the universe need not exist
    universes="us-stk"  
)

{'status': 'successfully created tick database us-stk-tick'}

Then create the 1-minute aggregate database derived from the tick database:

from quantrocket.realtime import create_agg_db
create_agg_db(
    "us-stk-tick-1min", 
    tick_db_code="us-stk-tick", 
    bar_size="1m", 
    fields={"LastPrice": ["Open","High","Low","Close"], "Volume":["Close"]})

{'status': 'successfully created aggregate database us-stk-tick-1min from tick database us-stk-tick'}

Note in the above function call we use the close of Volume to obtain the volume data. This contrasts to some real-time data providers where instead of the Volume field we would use the sum of LastSize to get volume. The before_trading_start() function in the Zipline algo uses LastSizeSum in the real-time database call, so we must update the code so that it uses VolumeClose instead of LastSizeSum.

Find the following block of code in the sell-gap.py file and change LastSizeSum to VolumeClose:

# ...and point Zipline to the derived aggregate db
algo.set_realtime_db(
    "us-stk-tick-1min",
    fields={
        "close": "LastPriceClose",
        "open": "LastPriceOpen",
        "high": "LastPriceHigh",
        "low": "LastPriceLow",
        "volume": "LastSizeSum"}) # for IBKR real-time data, use VolumeClose

Specify an exchange

Unlike some brokers, Interactive Brokers requires that you specify an exchange when submitting orders. In the sell-gap.py file, find the block of code where orders are placed and add the exchange param, for example exchange="SMART":

algo.order_value(
    asset,
    context.target_value_per_position,
    style=MarketOrder(exchange="SMART")
)

Repeat this step for the block of code that places orders to close positions.

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Next Up

Part 8: Account Allocation and Scheduling