InteractiveBrokersExchange

An exchange for trading using the Interactive Brokers API.

Class Parameters

  • base_instrument
    • The exchange symbol of the instrument to store/measure value in.
  • dtype
    • A type or str corresponding to the dtype of the observation_space.
  • feature_pipeline
    • A pipeline of feature transformations for transforming observations.

Properties and Setters

  • base_instrument
    • The exchange symbol of the instrument to store/measure value in.
  • dtype
    • A type or str corresponding to the dtype of the observation_space.
  • feature_pipeline
    • A pipeline of feature transformations for transforming observations.
  • base_precision
    • The floating point precision of the base instrument.
  • instrument_precision
    • The floating point precision of the instrument to be traded.
  • initial_balance
    • The initial balance of the base symbol on the exchange.
  • balance
    • The current balance of the base symbol on the exchange.
  • portfolio
    • The current balance of each symbol on the exchange (non-positive balances excluded).
  • trades
    • A list of trades made on the exchange since the last reset.
  • performance
    • The performance of the active account on the exchange since the last reset.
  • generated_space
    • The initial shape of the observations generated by the exchange, before feature transformations.
  • observation_columns
    • The list of column names of the observation data frame generated by the exchange, before feature transformations.
  • observation_space
    • The final shape of the observations generated by the exchange, after feature transformations.
  • net_worth
    • Calculate the net worth of the active account on the exchange.
  • profit_loss_percent
    • Calculate the percentage change in net worth since the last reset.
  • has_next_observation
    • If False, the exchange’s data source has run out of observations.
    • Resetting the exchange may be necessary to continue generating observations.

Functions

Below are the functions that the Exchange uses to effectively operate.

Private

  • _create_observation_generator
    • …

Public

  • has_next_observation
    • Return the reward corresponding to the selected risk-adjusted return metric.
  • next_observation
    • Generate the next observation from the exchange.
  • instrument_balance
    • The current balance of the specified symbol on the exchange, denoted in the base instrument.
  • current_price
    • The current price of an instrument on the exchange, denoted in the base instrument.
  • execute_trade
    • Execute a trade on the exchange, accounting for slippage.
  • reset
    • Reset the feature pipeline, initial balance, trades, performance, and any other temporary stateful data.

Use Cases

Use Case #1: Initiating Interactive Broker

We generate the price history when

from tensortrade.exchanges.live import InteractiveBrokersExchange

exchange = InteractiveBrokersExchange(base_instrument='BTC', timeframe='1h')