Use alpaca instead of ibkr.
This commit is contained in:
jarno committed
1 parent
a699bfc0fb
commit
fddcc9190a
10 files changed
+692
-11
No files matched your search
Whitespace-only changes.
@@ -0,0 +1,107 @@
|
||||
{
|
||||
"cells": [
|
||||
{
|
||||
"cell_type": "markdown",
|
||||
"id": "cd849b8e",
|
||||
"metadata": {},
|
||||
"source": [
|
||||
"# IBKR scratch notebook\n",
|
||||
"\n",
|
||||
"This notebook is for quick manual testing of the IBKR gateway connection, portfolio lookup, and a simple SPY order flow.\n",
|
||||
"\n",
|
||||
"> Use this only with a paper-trading or test setup unless you explicitly intend to submit a live order.\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"id": "543426a2",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"import sys\n",
|
||||
"from pathlib import Path\n",
|
||||
"\n",
|
||||
"from ib_insync import IB, Stock\n",
|
||||
"\n",
|
||||
"# Allow the notebook to import local source code from the repository.\n",
|
||||
"repo_root = Path.cwd().resolve()\n",
|
||||
"if (repo_root / \"src\").exists():\n",
|
||||
" repo_root = repo_root\n",
|
||||
"else:\n",
|
||||
" repo_root = repo_root.parent\n",
|
||||
"\n",
|
||||
"src_path = repo_root / \"src\"\n",
|
||||
"if str(src_path) not in sys.path:\n",
|
||||
" sys.path.insert(0, str(src_path))\n",
|
||||
"\n",
|
||||
"from trading_bot.data.fetch_ibkr_daily import (\n",
|
||||
" IBKR_CLIENT_ID,\n",
|
||||
" IBKR_CONNECT_TIMEOUT_SECONDS,\n",
|
||||
" IBKR_HOST,\n",
|
||||
" IBKR_PORT,\n",
|
||||
")\n",
|
||||
"\n",
|
||||
"ib = IB()\n",
|
||||
"print(f\"Connecting to IBKR Gateway at {IBKR_HOST}:{IBKR_PORT} with client id {IBKR_CLIENT_ID}...\")\n",
|
||||
"ib.connect(IBKR_HOST, IBKR_PORT, clientId=IBKR_CLIENT_ID, timeout=IBKR_CONNECT_TIMEOUT_SECONDS)\n",
|
||||
"print(\"Connection established.\")\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"id": "ecdc721f",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"print(f\"Connected: {ib.isConnected()}\")\n",
|
||||
"print(f\"Client ID: {ib.clientId}\")\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"id": "10ebc240",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"portfolio = ib.portfolio()\n",
|
||||
"if not portfolio:\n",
|
||||
" print(\"No open portfolio positions were returned.\")\n",
|
||||
"else:\n",
|
||||
" for item in portfolio:\n",
|
||||
" print(\n",
|
||||
" f\"{item.contract.symbol}: position={item.position}, \"\n",
|
||||
" f\"market_value={item.marketValue}, unrealized_pnl={item.unrealizedPNL}\"\n",
|
||||
" )\n"
|
||||
]
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": null,
|
||||
"id": "fed654ec",
|
||||
"metadata": {},
|
||||
"outputs": [],
|
||||
"source": [
|
||||
"from ib_insync import MarketOrder\n",
|
||||
"\n",
|
||||
"contract = Stock(\"SPY\", \"SMART\", \"USD\")\n",
|
||||
"ib.qualifyContracts(contract)\n",
|
||||
"\n",
|
||||
"# Adjust the quantity as needed before running this cell.\n",
|
||||
"order = MarketOrder(\"BUY\", 1)\n",
|
||||
"trade = ib.placeOrder(contract, order)\n",
|
||||
"\n",
|
||||
"print(f\"Submitted order for {contract.symbol}: {trade}\")\n"
|
||||
]
|
||||
}
|
||||
],
|
||||
"metadata": {
|
||||
"language_info": {
|
||||
"name": "python"
|
||||
}
|
||||
},
|
||||
"nbformat": 4,
|
||||
"nbformat_minor": 5
|
||||
}
|
||||
@@ -1 +1 @@
|
||||
{"learner":{"attributes":{"best_iteration":"106","best_score":"0.6503985412626959","scikit_learn":"{\"_estimator_type\": \"classifier\"}"},"feature_names":["VIX_rank_20","TLT_ret_10","USO_ret_5","SPY_TLT_ratio_ret","SPY_ret_5","SPY_ret_20","SPY_dist_sma50"],"feature_types":["float","float","float","float","float","float","float"],"gradient_booster":{"model":{"cats":{"enc":[],"feature_segments":[],"sorted_idx":[]},"gbtree_model_param":{"num_parallel_tree":"1","num_trees":"127"},"iteration_indptr":[0,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,35,36,37,38,39,40,41,42,43,44,45,46,47,48,49,50,51,52,53,54,55,56,57,58,59,60,61,62,63,64,65,66,67,68,69,70,71,72,73,74,75,76,77,78,79,80,81,82,83,84,85,86,87,88,89,90,91,92,93,94,95,96,97,98,99,100,101,102,103,104,105,106,107,108,109,110,111,112,113,114,115,116,117,118,119,120,121,122,123,124,125,126,127],"tree_info":[0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0],"trees":[{"base_weights":[7.3463306E-2,8.789444E-3,3.3142633E-4],"categories":[],"categories_nodes":[],"categories_segments":[],"categories_sizes":[],"default_left":[0,0,0],"id":0,"left_children":[1,-1,-1],"loss_changes":[4.6537733E0,0E0,0E0],"parents":[2147483647,0,0],"right_children":[2,-1,-1],"split_conditions":[-7.246757E-2,8.789444E-3,3.3142633E-4],"split_indices":[6,0,0],"split_type":[0,0,0],"sum_hessian":[1.43189E2,5.834526E0,1.3735446E2],"tree_param":{"num_deleted":"0","num_feature":"7","num_nodes":"3","size_leaf_vector":"1"}},{"base_weights":[5.2948292E-2,2.6680832E-3,-2.1664707E-3],"categories":[],"categories_nodes":[],"categories_segments":[],"categories_sizes":[],"default_left":[0,0,0],"id":1,"left_children":[1,-1,-1],"loss_changes":[8.131979E0,0E0,0E0],"parents":[2147483647,0,0],"right_children":[2,-1,-1],"split_conditions":[1.1604869E-2,2.6680832E-3,-2.1664707E-3],"split_indices":[2,0,0],"split_type":[0,0,0],"sum_hessian":[1.3904129E2,7.754112E1,6.1500168E1],"tree_param":{"num_deleted":"0","num_feature":"7","num_nodes":"3","size_leaf_vector":"1"}},{"base_weights":[9.6368186E-2,-1.9420785E-3,5.8767013E-3],"categories":[],"categories_nodes":[],"categories_segments":[],"categories_sizes":[],"default_left":[0,0,0],"id":2,"left_children":[1,-1,-1],"loss_changes":[2.0382488E1,0E0,0E0],"parents":[2147483647,0,0],"right_children":[2,-1,-1],"split_conditions":[5.009951E-3,-1.9420785E-3,5.8767013E-3],"split_indices":[1,0,0],"split_type":[0,0,0],"sum_hessian":[1.4097447E2,8.89629E1,5.201158E1],"tree_param":{"num_deleted":"0","num_feature":"7","num_nodes":"3","size_leaf_vector":"1"}},{"base_weights":[8.344816E-2,9.74922E-3,-3.603597E-4],"categories":[],"categories_nodes":[],"categories_segments":[],"categories_sizes":[],"default_left":[0,0,0],"id":3,"left_children":[1,-1,-1],"loss_changes":[1.5568814E1,0E0,0E0],"parents":[2147483647,0,0],"right_children":[2,-1,-1],"split_conditions":[-2.858291E-2,9.74922E-3,-3.603597E-4],"split_indices":[3,0,0],"split_type":[0,0,0],"sum_hessian":[1.4483292E2,1.6271494E1,1.2856143E2],"tree_param":{"num_deleted":"0","num_feature":"7","num_nodes":"3","size_leaf_vector":"1"}},{"base_weights":[-5.6865238E-2,8.725172E-3,-1.3682331E-3],"categories":[],"categories_nodes":[],"categories_segments":[],"categories_sizes":[],"default_left":[0,0,0],"id":4,"left_children":[1,-1,-1],"loss_changes":[1.0937966E1,0E0,0E0],"parents":[2147483647,0,0],"right_children":[2,-1,-1],"split_conditions":[-3.6470924E-2,8.725172E-3,-1.3682331E-3],"split_indices":[3,0,0],"split_type":[0,0,0],"sum_hessian":[1.4458401E2,1.0668452E1,1.3391556E2],"tree_param":{"num_deleted":"0","num_feature":"7","num_nodes":"3","size_leaf_vector":"1"}},{"base_weights":[-7.7420166E-3,6.580296E-3,-8.8608864E-4],"categories":[],"categories_nodes":[],"categories_segments":[],"categories_sizes":[],"default_left":[0,0,0],"id":5,"left_children":[1,-1,-1],"loss_changes":[7.962295E0,0E0,0E0],"parents":[2147483647,0,0],"right_children":[2,-1,-1],"split_conditions":[-2.858291E-2,6.580296E-3,-8.8608864E-4],"split_indices":[3,0,0],"split_type":[0,0,0],"sum_hessian":[1.4580824E2,1.501917E1,1.3078908E2],"tree_param":{"num_deleted":"0","num_feature":"7","num_nodes":"3","size_leaf_vector":"1"}},{"base_weights":[-3.023059E-3,-2.3359256E-3,6.004986E-3],"categories":[],"categories_nodes":[],"categories_segments":[],"categories_sizes":[],"default_left":[0,0,0],"id":6,"left_children":[1,-1,-1],"loss_changes":[2.0299187E1,0E0,0E0],"parents":[2147483647,0,0],"right_children":[2,-1,-1],"split_conditions":[1.4175258E-2,-2.3359256E-3,6.004986E-3],"split_indices":[1,0,0],"split_type":[0,0,0],"sum_hessian":[1.4386798E2,1.0454178E2,3.9326202E1],"tree_param":{"num_deleted":"0","num_feature":"7","num_nodes":"3","size_leaf_vector":"1"}},{"base_weights":[2.8270172E-2,1.9563504E-3,-3.417803E-3],"categories"Line truncated
|
||||
{"learner":{"attributes":{"best_iteration":"41","best_score":"0.6593948980172475","scikit_learn":"{\"_estimator_type\": \"classifier\"}"},"feature_names":["VIX_rank_20","TLT_ret_10","USO_ret_5","SPY_TLT_ratio_ret","SPY_ret_5","SPY_ret_20","SPY_dist_sma50"],"feature_types":["float","float","float","float","float","float","float"],"gradient_booster":{"model":{"cats":{"enc":[],"feature_segments":[],"sorted_idx":[]},"gbtree_model_param":{"num_parallel_tree":"1","num_trees":"62"},"iteration_indptr":[0,1,2,3,4,5,6,7,8,9,10,11,12,13,14,15,16,17,18,19,20,21,22,23,24,25,26,27,28,29,30,31,32,33,34,35,36,37,38,39,40,41,42,43,44,45,46,47,48,49,50,51,52,53,54,55,56,57,58,59,60,61,62],"tree_info":[0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0,0],"trees":[{"base_weights":[1.1503149E-2,3.602216E-4,-1.4237287E-2],"categories":[],"categories_nodes":[],"categories_segments":[],"categories_sizes":[],"default_left":[0,0,0],"id":0,"left_children":[1,-1,-1],"loss_changes":[5.1499934E0,0E0,0E0],"parents":[2147483647,0,0],"right_children":[2,-1,-1],"split_conditions":[6.892705E-2,3.602216E-4,-1.4237287E-2],"split_indices":[6,0,0],"split_type":[0,0,0],"sum_hessian":[1.4388889E2,1.4243056E2,1.4583333E0],"tree_param":{"num_deleted":"0","num_feature":"7","num_nodes":"3","size_leaf_vector":"1"}},{"base_weights":[2.2381552E-2,2.2380585E-3,-2.9987623E-3],"categories":[],"categories_nodes":[],"categories_segments":[],"categories_sizes":[],"default_left":[0,0,0],"id":1,"left_children":[1,-1,-1],"loss_changes":[9.187705E0,0E0,0E0],"parents":[2147483647,0,0],"right_children":[2,-1,-1],"split_conditions":[1.4205446E-2,2.2380585E-3,-2.9987623E-3],"split_indices":[3,0,0],"split_type":[0,0,0],"sum_hessian":[1.3951015E2,8.603824E1,5.3471912E1],"tree_param":{"num_deleted":"0","num_feature":"7","num_nodes":"3","size_leaf_vector":"1"}},{"base_weights":[9.584328E-2,-1.7863275E-3,6.1051417E-3],"categories":[],"categories_nodes":[],"categories_segments":[],"categories_sizes":[],"default_left":[0,0,0],"id":2,"left_children":[1,-1,-1],"loss_changes":[2.0163263E1,0E0,0E0],"parents":[2147483647,0,0],"right_children":[2,-1,-1],"split_conditions":[7.100592E-3,-1.7863275E-3,6.1051417E-3],"split_indices":[1,0,0],"split_type":[0,0,0],"sum_hessian":[1.4096178E2,9.2359184E1,4.86026E1],"tree_param":{"num_deleted":"0","num_feature":"7","num_nodes":"3","size_leaf_vector":"1"}},{"base_weights":[4.7446564E-2,7.0196665E-3,-1.0298543E-3],"categories":[],"categories_nodes":[],"categories_segments":[],"categories_sizes":[],"default_left":[0,0,0],"id":3,"left_children":[1,-1,-1],"loss_changes":[1.4477959E1,0E0,0E0],"parents":[2147483647,0,0],"right_children":[2,-1,-1],"split_conditions":[-1.7963655E-2,7.0196665E-3,-1.0298543E-3],"split_indices":[3,0,0],"split_type":[0,0,0],"sum_hessian":[1.4530872E2,2.6470573E1,1.1883814E2],"tree_param":{"num_deleted":"0","num_feature":"7","num_nodes":"3","size_leaf_vector":"1"}},{"base_weights":[6.2338286E-3,3.326677E-3,-1.7981239E-3],"categories":[],"categories_nodes":[],"categories_segments":[],"categories_sizes":[],"default_left":[0,0,0],"id":4,"left_children":[1,-1,-1],"loss_changes":[8.945065E0,0E0,0E0],"parents":[2147483647,0,0],"right_children":[2,-1,-1],"split_conditions":[-1.1166078E-2,3.326677E-3,-1.7981239E-3],"split_indices":[2,0,0],"split_type":[0,0,0],"sum_hessian":[1.4530305E2,5.2463432E1,9.283963E1],"tree_param":{"num_deleted":"0","num_feature":"7","num_nodes":"3","size_leaf_vector":"1"}},{"base_weights":[-3.0314475E-2,6.923221E-3,-1.2672357E-3],"categories":[],"categories_nodes":[],"categories_segments":[],"categories_sizes":[],"default_left":[0,0,0],"id":5,"left_children":[1,-1,-1],"loss_changes":[1.0347677E1,0E0,0E0],"parents":[2147483647,0,0],"right_children":[2,-1,-1],"split_conditions":[-2.858291E-2,6.923221E-3,-1.2672357E-3],"split_indices":[3,0,0],"split_type":[0,0,0],"sum_hessian":[1.4626752E2,1.648944E1,1.2977808E2],"tree_param":{"num_deleted":"0","num_feature":"7","num_nodes":"3","size_leaf_vector":"1"}},{"base_weights":[2.5649436E-2,-3.922325E-3,4.0787407E-3],"categories":[],"categories_nodes":[],"categories_segments":[],"categories_sizes":[],"default_left":[0,0,0],"id":6,"left_children":[1,-1,-1],"loss_changes":[2.3413443E1,0E0,0E0],"parents":[2147483647,0,0],"right_children":[2,-1,-1],"split_conditions":[-8.8626295E-3,-3.922325E-3,4.0787407E-3],"split_indices":[1,0,0],"split_type":[0,0,0],"sum_hessian":[1.4458455E2,6.905801E1,7.5526535E1],"tree_param":{"num_deleted":"0","num_feature":"7","num_nodes":"3","size_leaf_vector":"1"}},{"base_weights":[-3.350957E-2,2.346545E-3,-3.7299043E-3],"categories":[],"categories_nodes":[],"categories_segments":[],"categories_sizes":[],"default_left":[0,0,0],"id":7,"left_children":[1,-1,-1],"loss_changes":[1.3207154E1,0E0,0E0],"parents":[2147483647,0,0],"right_children":[2,-1,-1],"split_conditions":[1.2120422E-2,2.346545E-3,-3.7299043E-3],"split_indices":[2,0,0],"split_type":[0,0,0],"sum_hessian":[1.431Line truncated
|
||||
@@ -1,5 +1,5 @@
|
||||
{
|
||||
"p_base": 0.5830346475507766,
|
||||
"p_base": 0.5833333333333334,
|
||||
"feature_cols": [
|
||||
"VIX_rank_20",
|
||||
"TLT_ret_10",
|
||||
@@ -9,5 +9,5 @@
|
||||
"SPY_ret_20",
|
||||
"SPY_dist_sma50"
|
||||
],
|
||||
"last_trained_date": "2026-07-17 00:00:00"
|
||||
"last_trained_date": "2026-07-24 00:00:00"
|
||||
}
|
||||
@@ -20,7 +20,7 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 1,
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
@@ -52,7 +52,8 @@
|
||||
"\n",
|
||||
"\n",
|
||||
"PROJECT_ROOT = find_project_root()\n",
|
||||
"RAW_DATA_DIR = PROJECT_ROOT / \"data\" / \"ibkr\" / \"daily\"\n",
|
||||
"#RAW_DATA_DIR = PROJECT_ROOT / \"data\" / \"ibkr\" / \"daily\"\n",
|
||||
"RAW_DATA_DIR = PROJECT_ROOT / \"data\" / \"alpaca\" / \"daily\"\n",
|
||||
"OUTPUT_PATH = PROJECT_ROOT / \"data\" / \"training\" / \"spy_direction_5d.parquet\"\n",
|
||||
"\n",
|
||||
"SPY_SYMBOL = \"SPY\"\n",
|
||||
@@ -233,7 +234,7 @@
|
||||
},
|
||||
{
|
||||
"cell_type": "code",
|
||||
"execution_count": 3,
|
||||
"execution_count": null,
|
||||
"metadata": {},
|
||||
"outputs": [
|
||||
{
|
||||
@@ -383,7 +384,7 @@
|
||||
"df[\"TLT_ret_10\"] = df[\"TLT_close\"].pct_change(10)\n",
|
||||
"df[\"USO_ret_5\"] = df[\"USO_close\"].pct_change(5)\n",
|
||||
"df[\"SPY_TLT_ratio_ret\"] = (df[\"SPY_close\"] / df[\"TLT_close\"]).pct_change(5)\n",
|
||||
"\n",
|
||||
"df_model\n",
|
||||
"spy_forward_close = df[\"SPY_close\"].shift(-5)\n",
|
||||
"df[\"spy_up_5d\"] = np.nan\n",
|
||||
"df.loc[spy_forward_close > df[\"SPY_close\"], \"spy_up_5d\"] = 1.0\n",
|
||||
|
||||
Reference in new issue
Block a user