GitHub - PaulDoreeDesign/Backtrader-MQL5-API: Python Backtrader - Metaquotes MQL5

Development state: first stable release.

Working in production on Debian 10.

About the Project

This is the Backtrader part of the project. MQL5 side of this project is located here: MQL5 - JSON - API

In development:

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Installation

pip install backtrader
pip 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

import backtrader as bt
from mt5.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.Minutes,
                     fromdate=start_date, compression=1) #, historical=True)

cerebro.adddata(data)
cerebro.run(stdstats=False)
cerebro.plot(style='candlestick', volume=False)

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.