Working in production on Debian 10.
This is the Backtrader part of the project. MQL5 side of this project is located here: MQL5 - JSON - API
In development:
- Upload data on reconnect
pip install backtraderpip install pyzmq- Check if the ports are free to use. (default:
15555,15556,15557,15558)
See MQL5 - JSON - API documentation for better understanding.
You can create market or pending order with the default backtrader command.
self.buy_order = self.buy(size=0.1, price=1.11, exectype=bt.Order.Limit)If you want to cancel it.
self.cancel(self.buy_order)When you use bracket orders, one order with stops will be created on the MQL5 side.
self.buy_order = self.buy_bracket(limitprice=1.13, stopprice=1.10, size=0.1, exectype=bt.Order.Market)If you want to cancel bracket orders, you shold cancel only the first one.
self.cancel(self.buy_order[0])import backtrader as bt
from backtradermt5.mt5store import MTraderStore
from datetime import datetime, timedelta
class SmaCross(bt.SignalStrategy):
def __init__(self):
self.buy_order = None
self.live_data = False
def next(self):
if self.buy_order is None:
self.buy_order = self.buy_bracket(limitprice=1.13, stopprice=1.10, size=0.1, exectype=bt.Order.Market)
if self.live_data:
cash = self.broker.getcash()
# Cancel order
if self.buy_order is not None:
self.cancel(self.buy_order[0])
else:
# Avoid checking the balance during a backfill. Otherwise, it will
# Slow things down.
cash = 'NA'
for data in self.datas:
print(f'{data.datetime.datetime()} - {data._name} | Cash {cash} | O: {data.open[0]} H: {data.high[0]} L: {data.low[0]} C: {data.close[0]} V:{data.volume[0]}')
def notify_data(self, data, status, *args, **kwargs):
dn = data._name
dt = datetime.now()
msg = f'Data Status: {data._getstatusname(status)}'
print(dt, dn, msg)
if data._getstatusname(status) == 'LIVE':
self.live_data = True
else:
self.live_data = False
cerebro = bt.Cerebro()
cerebro.addstrategy(SmaCross)
store = MTraderStore()
# comment next 2 lines to use backbroker for backtesting with MTraderStore
broker = store.getbroker(use_positions=True)
cerebro.setbroker(broker)
start_date = datetime.now() - timedelta(minutes=500)
data = store.getdata(dataname='EURUSD', timeframe=bt.TimeFrame.Ticks,
fromdate=start_date) #, useask=True, historical=True)
# the parameter "useask" will request the ask price insetad if the default bid price
cerebro.resampledata(data,
timeframe=bt.TimeFrame.Seconds,
compression=30
)
cerebro.run(stdstats=False)
cerebro.plot(style='candlestick', volume=False)You can instruct MT5 to download historical data as a CSV file. Files will be saved into the local Metatrader 5 Terminal installation folder:
[MT5 Terminal]/MQL/Files/Data
The example below downloads data for the past 6 months as tick data.
from datetime import datetime, timedelta
from backtradermql5.mt5store import MTraderStore
import backtrader as bt
store = MTraderStore(host='192.168.1.20') # Metatrader 5 running on a diffenet host
start_date = datetime.now() - timedelta(months=6)
cerebro = bt.Cerebro()
data2 = store.getdata(dataname='EURUSD',
timeframe=bt.TimeFrame.Ticks,
fromdate=start_date
)
cerebro.run(stdstats=False)You can use any MT5 indicator directly from Backtrader via the MTraderIndicator class.
def __init__(self, store):
self.mt5macd = getMTraderIndicator(
# MTraderStorestore instance
store,
# Data feed to run the indicator calculations on
self.datas[0],
# Set accessor(s) for the indicator output
("macd", "signal",),
# MT5 inidicator name
indicator="Examples/MACD",
# Indicator parameters.
# Any omitted values will use the defaults as defind by the indicator
params=[12, 26, 9, "PRICE_CLOSE"],
)()
def next(self):
print(f"MT5 indicator Examples/MACD: {self.mt5macd.signal[0]} {self.mt5macd.macd[0]}")
For a fully working and commented example of a Strategy refer to example.py.
This is an experimental feature and a work in progress! It WILL plot wrong data at this time.
You can open and draw directly to a chart in MT5 via the MTraderChart class.
def __init__(self, store):
self.bb = btind.BollingerBands(self.data)
chart = MTraderChart(self.datas[0], realtime=False)
indi0 = ChartIndicator(idx=0, shortname="Bollinger Bands")
indi0.addline(
bb.top,
style={
"linelabel": "Top",
"color": "clrBlue",
},
)
chart.addindicator(indi0)
For a fully working and commented example of a Strategy refer to example.py.
This program is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License as published by the Free Software Foundation, either version 3 of the License, or (at your option) any later version.
This program is distributed in the hope that it will be useful, but WITHOUT ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See LICENSE for more information.