Python Backtrader - Metaquotes MQL5 - API
Development state: first stable release.
Working in production on Debian 10.
Table of Contents
About the Project
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
Installation
pip install backtraderpip install pyzmq- Check if the ports are free to use. (default:
15555,15556,15557,15558)
Documentation
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])Usage
Live trading example
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)Download CSV data
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)Using MT5 Indicators and plotting to MT5 charts
MT5 Indicators
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.
Plotting indicators to MT5 charts
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.
License
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.