Xignite Example

This goal of this example is to show how to put all the pieces together to paper trade a strategy using realtime feeds supplied by Xignite (https://www.xignite.com/).

This example assumes that you’re already familiar with the basic concepts presented in the Tutorial section.

The key things to highlight are:

1. We’re using pyalgotrade.strategy.BaseStrategy instead of pyalgotrade.strategy.BacktestingStrategy as the base class. This is not a backtest.
2. pyalgotrade.xignite.barfeed.LiveFeed is used to pull 5 minute bars directly from Xignite. In order to use this service you need to sign up for the XigniteGlobalRealTime API (https://www.xignite.com/product/global-real-time-stock-quote-data/) to get an API token.
3. As described in https://www.xignite.com/product/global-real-time-stock-quote-data/api/GetBar/, indentifiers are fully qualified identifiers for the security as determined by the IdentifierType parameter. You must include the exchange suffix.
4. You can only paper trade while the market is open.
5. The 5 minute bars are requested 60 seconds after the 5 minute window closes because data may not be immediately available.

from pyalgotrade import strategy
from pyalgotrade.bar import Frequency
from pyalgotrade.xignite import barfeed
from pyalgotrade.broker import backtesting
from pyalgotrade.technical import ma


class Strategy(strategy.BaseStrategy):
    def __init__(self, feed, brk):
        strategy.BaseStrategy.__init__(self, feed, brk)
        self.__sma = {}
        for instrument in feed.getRegisteredInstruments():
            self.__sma[instrument] = ma.SMA(feed[instrument].getCloseDataSeries(), 5)

    def onBars(self, bars):
        for instrument in bars.getInstruments():
            bar = bars[instrument]
            self.info("%s: Open: %s High: %s Low: %s Close: %s Volume: %s SMA: %s" % (instrument, bar.getOpen(), bar.getHigh(), bar.getLow(), bar.getClose(), bar.getVolume(), self.__sma[instrument][-1]))


def main():
    # Replace apiToken with your own API token.
    apiToken = "<YOUR API TOKEN HERE>"
    # indentifiers are fully qualified identifiers for the security and must include the exchange suffix.
    indentifiers = ["RIOl.CHIX", "HSBAl.CHIX"]
    # apiCallDelay is necessary because the bar may not be immediately available.
    apiCallDelay = 60

    feed = barfeed.LiveFeed(apiToken, indentifiers, Frequency.MINUTE*5, apiCallDelay)
    brk = backtesting.Broker(1000, feed)
    myStrategy = Strategy(feed, brk)
    myStrategy.run()

if __name__ == "__main__":
    main()

The output should look like this:

2014-03-28 09:31:01,389 strategy [INFO] HSBAl.CHIX: Open: 6.093 High: 6.102 Low: 6.093 Close: 6.101 Volume: 45635.0 SMA: None
2014-03-28 09:31:01,390 strategy [INFO] RIOl.CHIX: Open: 33.08 High: 33.08 Low: 33.065 Close: 33.07 Volume: 2303.0 SMA: None
2014-03-28 09:36:01,494 strategy [INFO] HSBAl.CHIX: Open: 6.102 High: 6.102 Low: 6.099 Close: 6.099 Volume: 21043.0 SMA: None
2014-03-28 09:36:01,495 strategy [INFO] RIOl.CHIX: Open: 33.075 High: 33.09 Low: 33.055 Close: 33.055 Volume: 2909.0 SMA: None
2014-03-28 09:41:01,885 strategy [INFO] HSBAl.CHIX: Open: 6.101 High: 6.101 Low: 6.097 Close: 6.097 Volume: 29075.0 SMA: None
2014-03-28 09:41:01,886 strategy [INFO] RIOl.CHIX: Open: 33.04 High: 33.04 Low: 33.005 Close: 33.005 Volume: 895.0 SMA: None
2014-03-28 09:46:00,943 strategy [INFO] HSBAl.CHIX: Open: 6.098 High: 6.098 Low: 6.093 Close: 6.094 Volume: 17955.0 SMA: None
2014-03-28 09:46:00,943 strategy [INFO] RIOl.CHIX: Open: 33.005 High: 33.035 Low: 32.995 Close: 32.995 Volume: 4052.0 SMA: None
2014-03-28 09:51:01,604 strategy [INFO] HSBAl.CHIX: Open: 6.093 High: 6.099 Low: 6.092 Close: 6.097 Volume: 28046.0 SMA: 6.0976
2014-03-28 09:51:01,604 strategy [INFO] RIOl.CHIX: Open: 32.99 High: 33.025 Low: 32.985 Close: 32.99 Volume: 2823.0 SMA: 33.023
2014-03-28 09:56:01,511 strategy [INFO] HSBAl.CHIX: Open: 6.099 High: 6.1 Low: 6.096 Close: 6.098 Volume: 19713.0 SMA: 6.097
2014-03-28 09:56:01,511 strategy [INFO] RIOl.CHIX: Open: 32.98 High: 33.01 Low: 32.96 Close: 33.01 Volume: 1545.0 SMA: 33.011
.
.
.

When apiCallDelay is not long enough, or when there is no data at all, you may receive the following error message:

xignite [ERROR] No ticks available for Symbol:RIOl.CHIX from 3/28/2014 1:10:00 PM to 3/28/2014 1:11:00 PM.