def __process_event(self, event):
logger.debug("[%s] %s" % (self.__class__.__name__, event))
if event.inst_id in self.ord_req_map:
for cl_ord_map in self.ord_req_map[event.inst_id].values():
for new_ord_req in cl_ord_map.values():
fill_info = self.fill_strategy.process_w_market_data(new_ord_req, event, False)
executed = self.execute(new_ord_req, fill_info)
def updateMktDepthL2(self, id, position, marketMaker, operation, side, price, size):
"""
TickerId id, int position, IBString marketMaker, int operation, int side, double price,
int size
"""
logger.debug("updateMktDepthL2, id=%s position=%s marketMaker=%s operation=%s side=%s price=%s size=%s", id,
position, marketMaker, operation, side, price, size)
def on_trade(self, trade):
logger.debug("[%s] %s" % (self.__class__.__name__, trade))
self.__trade_dict[trade.inst_id] = trade
self.get_series(trade.series_id()).add({"timestamp": trade.timestamp, "price": trade.price, "size": trade.size})
if self._is_realtime_persist():
self.store.save_trade(trade)
def tickOptionComputation(self, tickerId, tickType, impliedVol, delta, optPrice, gamma, vega, theta, undPrice):
"""
TickerId tickerId, TickType tickType, double impliedVol, double delta, double optPrice,
double pvDividend, double gamma, double vega, double theta, double undPrice
"""
logger.debug(
"tickOptionComputation, tickerId=%s tickType=%s simpliedVol=%s delta=%s optPrice=%s, gamma=%s, vega=%s, theta=%s, undPrice=%s",
tickerId, tickType, impliedVol, delta, optPrice, gamma, vega, theta, undPrice)
def scannerData(self, reqId, rank, contractDetails, distance, benchmark, projection, legsStr):
"""
int reqId, int rank, ContractDetails contractDetails, IBString const & distance,
IBString const & benchmark, IBString const & projection, IBString const & legsStr
"""
logger.debug(
"scannerData, reqId=%s, rank=%s, contractDetails=%s, distance=%s, benchmark=%s, projection=%s, legsStr=%s",
reqId, rank, contractDetails, distance, benchmark, projection, legsStr)
def realtimeBar(self, reqId, time, open, high, low, close, volume, wap, count):
"""
TickerId reqId, long time, double open, double high, double low, double close, long volume,
double wap, int count
"""
logger.debug("realtimeBar, reqId=%s time=%s open=%s high=%s low=%s close=%s volume=%s wap=%s count=%s", reqId,
time, open, high,
low, close, volume,
wap, count)
def on_new_ord_req(self, new_ord_req):
logger.debug("[%s] %s" % (self.__class__.__name__, new_ord_req))
self.clordid_ordid_map
self.__add_order(new_ord_req)
self.__send_exec_report(new_ord_req, 0, 0, OrdStatus.SUBMITTED)
fill_info = self.fill_strategy.process_new_order(new_ord_req)
executed = self.execute(new_ord_req, fill_info)
def updateMktDepthL2(self, id, position, marketMaker, operation, side,
price, size):
"""
TickerId id, int position, IBString marketMaker, int operation, int side, double price,
int size
"""
logger.debug(
"updateMktDepthL2, id=%s position=%s marketMaker=%s operation=%s side=%s price=%s size=%s",
id, position, marketMaker, operation, side, price, size)
def on_new_ord_req(self, new_ord_req):
logger.debug("[%s] %s" % (self.__class__.__name__, new_ord_req))
self.clordid_ordid_map
self.__add_order(new_ord_req)
self.__send_exec_report(new_ord_req, 0, 0, OrdStatus.SUBMITTED)
fill_info = self.fill_strategy.process_new_order(new_ord_req)
executed = self.execute(new_ord_req, fill_info)
def orderStatus(self, id, status, filled, remaining, avgFillPrice, permId,
parentId, lastFilledPrice, clientId, whyHeld):
"""
OrderId orderId, IBString const & status, int filled, int remaining, double avgFillPrice,
int permId, int parentId, double lastFillPrice, int clientId, IBString const & whyHeld
"""
logger.debug(
"orderStatus, id=%s, status=%s, filled=%s, remaining=%s, avgFillPrice=%s, permId=%s, parentId=%s, lastFilledPrice=%s, clientId=%s, whyHeld=%s",
id, status, filled, remaining, avgFillPrice, permId,
parentId, lastFilledPrice, clientId, whyHeld)
def on_quote(self, quote):
logger.debug("[%s] %s" % (self.__class__.__name__, quote))
self.__quote_dict[quote.inst_id] = quote
self.get_series(quote.series_id()).add(
{"timestamp": quote.timestamp, "bid": quote.bid, "ask": quote.ask, "bid_size": quote.bid_size,
"ask_size": quote.ask_size})
if self._is_realtime_persist():
self.store.save_quote(quote)
def updatePortfolio(self, contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL,
accountName):
"""
Contract contract, int position, double marketPrice, double marketValue, double averageCost,
double unrealizedPNL, double realizedPNL, IBString const & accountName
"""
logger.debug(
"updatePortfolio, contract=%s position=%s marketPrice=%s marketValue=%s averageCost=%s, unrealizedPNL=%s, realizedPNL=%s, accountName=%s",
contract, position, marketPrice, marketValue, averageCost, unrealizedPNL, realizedPNL,
accountName)
def scannerData(self, reqId, rank, contractDetails, distance, benchmark,
projection, legsStr):
"""
int reqId, int rank, ContractDetails contractDetails, IBString const & distance,
IBString const & benchmark, IBString const & projection, IBString const & legsStr
"""
logger.debug(
"scannerData, reqId=%s, rank=%s, contractDetails=%s, distance=%s, benchmark=%s, projection=%s, legsStr=%s",
reqId, rank, contractDetails, distance, benchmark, projection,
legsStr)
def historicalData(self, reqId, date, open, high, low, close, volume,
barCount, WAP, hasGaps):
"""
TickerId reqId, IBString const & date, double open, double high, double low, double close,
int volume, int barCount, double WAP, int hasGaps)
"""
logger.debug(
"historicalData, reqId=%s date=%s open=%s high=%s low=%s close=%s volume=%s barCount=%s WAP=%s hasGaps=%s",
reqId, date, open, high, low, close, volume, barCount, WAP,
hasGaps)
def orderStatus(self, id, status, filled, remaining, avgFillPrice, permId,
parentId, lastFilledPrice, clientId, whyHeld):
"""
OrderId orderId, IBString const & status, int filled, int remaining, double avgFillPrice,
int permId, int parentId, double lastFillPrice, int clientId, IBString const & whyHeld
"""
logger.debug(
"orderStatus, id=%s, status=%s, filled=%s, remaining=%s, avgFillPrice=%s, permId=%s, parentId=%s, lastFilledPrice=%s, clientId=%s, whyHeld=%s",
id, status, filled, remaining, avgFillPrice, permId, parentId,
lastFilledPrice, clientId, whyHeld)
def tickOptionComputation(self, tickerId, tickType, impliedVol, delta,
optPrice, gamma, vega, theta, undPrice):
"""
TickerId tickerId, TickType tickType, double impliedVol, double delta, double optPrice,
double pvDividend, double gamma, double vega, double theta, double undPrice
"""
logger.debug(
"tickOptionComputation, tickerId=%s tickType=%s simpliedVol=%s delta=%s optPrice=%s, gamma=%s, vega=%s, theta=%s, undPrice=%s",
tickerId, tickType, impliedVol, delta, optPrice, gamma, vega,
theta, undPrice)
def updatePortfolio(self, contract, position, marketPrice, marketValue,
averageCost, unrealizedPNL, realizedPNL, accountName):
"""
Contract contract, int position, double marketPrice, double marketValue, double averageCost,
double unrealizedPNL, double realizedPNL, IBString const & accountName
"""
logger.debug(
"updatePortfolio, contract=%s position=%s marketPrice=%s marketValue=%s averageCost=%s, unrealizedPNL=%s, realizedPNL=%s, accountName=%s",
contract, position, marketPrice, marketValue, averageCost,
unrealizedPNL, realizedPNL, accountName)
def on_new_ord_req(self, new_ord_req):
logger.debug("[%s] %s" % (self.__class__.__name__, new_ord_req))
ord_id = self.get_next_order_id()
self.ord_req_reg.add_ord_req(ord_id, new_ord_req)
ib_order = self.model_factory.create_ib_order(new_ord_req)
contract = self.model_factory.create_ib_contract(new_ord_req.inst_id)
self.tws.placeOrder(ord_id, contract, ib_order)
def on_ord_cancel_req(self, ord_cancel_req):
logger.debug("[%s] %s" % (self.__class__.__name__, ord_cancel_req))
ord_id = self.ord_req_reg.get_ord_id(cl_id=ord_cancel_req.cl_id, cl_ord_id=ord_cancel_req.cl_ord_id)
if ord_id:
self.tws.cancelOrder(ord_id)
else:
logger.error(
"cannot find old order, cl_id = %s, cl_ord_id = %s" % (ord_cancel_req.cl_id, ord_cancel_req.cl_ord_id))
def on_bar(self, bar):
logger.debug("[%s] %s" % (self.__class__.__name__, bar))
self.__bar_dict[bar.inst_id] = bar
self.get_series(bar.series_id()).add(
{"timestamp": bar.timestamp, "open": bar.open, "high": bar.high, "low": bar.low, "close": bar.close,
"vol": bar.vol})
if self._is_realtime_persist():
self.store.save_bar(bar)
def process_row(self, index, row):
logger.debug("[%s] process_row with index %s, symbol %s" % (self.__class__.__name__, index, row['Symbol']))
inst = self.ref_data_mgr.get_inst(symbol=row['Symbol'])
return Bar(inst_id=inst.inst_id,
timestamp=DateUtils.datetime_to_unixtimemillis(index),
open=row['Open'],
high=row['High'],
low=row['Low'],
close=row['Close'],
vol=row['Volume'],
size=row['BarSize'])
def on_update(self, data):
logger.debug("[%s] on_update %s" % (self.__class__.__name__, data))
if data['timestamp'] != self.__curr_timestamp:
self.__curr_timestamp = data['timestamp']
self._flush_and_create()
data_name = data['name']
if data_name in self.input_names:
j = self.input_names_pos[data_name]
self.cache[data_name] = self.inputs[j].get_by_idx(
keys=self.input_keys, idx=slice(-self.length, None, None))
def tickEFP(self, tickerId, tickType, basisPoints, formattedBasisPoints, totalDividends, holdDays, futureExpiry,
dividendImpact, dividendsToExpiry):
"""
EWrapper self, TickerId tickerId, TickType tickType, double basisPoints, IBString const & formattedBasisPoints,
double totalDividends, int holdDays, IBString const & futureExpiry,
double dividendImpact, double dividendsToExpiry
"""
logger.debug(
"tickEFP, tickerId=%s tickType=%s basisPoints=%s formattedBasisPoints=%s totalDividends=%s, holdDays=%s, futureExpiry=%s, dividendImpact=%s, dividendsToExpiry=%s",
tickerId, tickType, basisPoints, formattedBasisPoints, totalDividends, holdDays, futureExpiry,
dividendImpact, dividendsToExpiry)
def on_trade(self, trade):
logger.debug("[%s] %s" % (self.__class__.__name__, trade))
self.__trade_dict[trade.inst_id] = trade
self.get_series(trade.series_id()).add({
"timestamp": trade.timestamp,
"price": trade.price,
"size": trade.size
})
if self._is_realtime_persist():
self.store.save_trade(trade)
def historicalData(self, reqId, date, open, high,
low, close, volume,
barCount, WAP, hasGaps):
"""
TickerId reqId, IBString const & date, double open, double high, double low, double close,
int volume, int barCount, double WAP, int hasGaps)
"""
logger.debug(
"historicalData, reqId=%s date=%s open=%s high=%s low=%s close=%s volume=%s barCount=%s WAP=%s hasGaps=%s",
reqId, date, open, high,
low, close, volume,
barCount, WAP, hasGaps)
def on_update(self, data):
logger.debug("[%s] on_update %s" % (self.__class__.__name__, data))
if data['timestamp'] != self.__curr_timestamp:
self.__curr_timestamp = data['timestamp']
self._flush_and_create()
data_name = data['name']
if data_name in self.input_names:
j = self.input_names_pos[data_name]
self.cache[data_name] = self.inputs[j].get_by_idx(
keys=self.input_keys,
idx=slice(-self.length, None, None))
def process_row(self, index, row):
logger.debug("[%s] process_row with index %s, symbol %s" %
(self.__class__.__name__, index, row['Symbol']))
inst = self.ref_data_mgr.get_inst(symbol=row['Symbol'])
return Bar(inst_id=inst.inst_id,
timestamp=DateUtils.datetime_to_unixtimemillis(index),
open=row['Open'],
high=row['High'],
low=row['Low'],
close=row['Close'],
vol=row['Volume'],
size=row['BarSize'])
def tickEFP(self, tickerId, tickType, basisPoints, formattedBasisPoints,
totalDividends, holdDays, futureExpiry, dividendImpact,
dividendsToExpiry):
"""
EWrapper self, TickerId tickerId, TickType tickType, double basisPoints, IBString const & formattedBasisPoints,
double totalDividends, int holdDays, IBString const & futureExpiry,
double dividendImpact, double dividendsToExpiry
"""
logger.debug(
"tickEFP, tickerId=%s tickType=%s basisPoints=%s formattedBasisPoints=%s totalDividends=%s, holdDays=%s, futureExpiry=%s, dividendImpact=%s, dividendsToExpiry=%s",
tickerId, tickType, basisPoints, formattedBasisPoints,
totalDividends, holdDays, futureExpiry, dividendImpact,
dividendsToExpiry)
def send_order(self, new_ord_req):
logger.debug("[%s] %s" % (self.__class__.__name__, new_ord_req))
if new_ord_req.cl_id in self.ord_reqs and new_ord_req.cl_ord_id in self.ord_reqs[new_ord_req.cl_id]:
raise RuntimeError("ord_reqs[%s][%s] already exist" % (new_ord_req.cl_id, new_ord_req.cl_ord_id))
self._add_order_req(new_ord_req)
order = self.app_context.order_mgr.send_order(new_ord_req)
self._add_order(order)
self.get_position(order.inst_id).add_order(order)
return order
def on_quote(self, quote):
logger.debug("[%s] %s" % (self.__class__.__name__, quote))
self.__quote_dict[quote.inst_id] = quote
self.get_series(quote.series_id()).add({
"timestamp": quote.timestamp,
"bid": quote.bid,
"ask": quote.ask,
"bid_size": quote.bid_size,
"ask_size": quote.ask_size
})
if self._is_realtime_persist():
self.store.save_quote(quote)
def on_exec_report(self, exec_report):
logger.debug("[%s] %s" % (self.__class__.__name__, exec_report))
if exec_report.cl_id not in self.ord_reqs and exec_report.cl_ord_id not in self.ord_reqs[exec_report.cl_id]:
raise Exception("Order not found, ord_reqs[%s][%s]" % (exec_report.cl_id, exec_report.cl_ord_id))
new_ord_req = self.ord_reqs[exec_report.cl_id][exec_report.cl_ord_id]
direction = 1 if new_ord_req.action == OrdAction.BUY else -1
if exec_report.last_qty > 0:
inst = self.app_context.ref_data_mgr.get_inst(exec_report.inst_id)
multiplier = inst.factor if inst.type in [InstType.Future, InstType.Option] else 1
self.cash -= (direction * multiplier* exec_report.last_qty * exec_report.last_price + exec_report.commission)
self.add_position(exec_report.inst_id, exec_report.cl_id, exec_report.cl_ord_id,
direction * exec_report.last_qty)
self.update_position_price(exec_report.timestamp, exec_report.inst_id, multiplier*exec_report.last_price)
def on_bar(self, bar):
logger.debug("[%s] %s" % (self.__class__.__name__, bar))
self.__bar_dict[bar.inst_id] = bar
self.get_series(bar.series_id()).add({
"timestamp": bar.timestamp,
"open": bar.open,
"high": bar.high,
"low": bar.low,
"close": bar.close,
"vol": bar.vol
})
if self._is_realtime_persist():
self.store.save_bar(bar)
def on_ord_replace_req(self, ord_replace_req):
logger.debug("[%s] %s" % (self.__class__.__name__, ord_replace_req))
existing_ord_req = self.ord_req_reg.get_ord_req(cl_id=ord_replace_req.cl_id,
cl_ord_id=ord_replace_req.cl_ord_id)
if existing_ord_req:
ord_id = self.ord_req_reg.get_ord_id(cl_id=ord_replace_req.cl_id, cl_ord_id=ord_replace_req.cl_ord_id)
updated_ord_req = existing_ord_req.update_ord_request(ord_replace_req)
self.ord_req_reg.add_ord_req(ord_id, updated_ord_req)
ib_order = self.model_factory.create_ib_order(updated_ord_req)
contract = self.model_factory.create_ib_contract(updated_ord_req.inst_id)
self.tws.placeOrder(ord_id, contract, ib_order)
else:
logger.error("cannot find old order, cl_ord_id = %s" % ord_replace_req.cl_ord_id)
def contractDetails(self, reqId, contractDetails):
"""
int reqId, ContractDetails contractDetails
"""
cd = contractDetails
sd = contractDetails.summary
logger.debug("contractDetails, reqId=%s, conId=%s, symbol=%s, secType=%s, exchange=%s, " +
"primaryExchange=%s, expiry=%s, strike=%s, right=%s, " +
"multiplier=%s, currency=%s, localSymbol=%s, secIdType=%s, " +
"secId=%s, includeExpired=%s, comboLegsDescrip=%s, comboLegs=%s, " +
"underComp=%s, " +
"marketName=%s, tradingClass=%s, minTick=%s, orderTypes=%s, " +
"validExchanges=%s, priceMagnifier=%s, underConId=%s, longName=%s, " +
"longName=%s, contractMonth=%s, industry=%s, category=%s, " +
"timeZoneId=%s, tradingHours=%s, liquidHours=%s, evRule=%s, " +
"evMultiplier=%s, secIdList=%s, cusip=%s, ratings=%s, " +
"descAppend=%s, bondType=%s, couponType=%s, callable=%s, " +
"putable=%s, coupon=%s, convertible=%s, issueDate=%s, " +
"nextOptionDate=%s, nextOptionType=%s, nextOptionPartial=%s, notes=%s"
, reqId,
sd.conId, sd.symbol, sd.secType, sd.exchange,
sd.primaryExchange, sd.expiry, sd.strike, sd.right,
sd.multiplier, sd.currency, sd.localSymbol, sd.secIdType,
sd.secId, sd.includeExpired, sd.comboLegsDescrip, sd.comboLegs,
sd.underComp,
cd.marketName, cd.tradingClass, cd.minTick, cd.orderTypes,
cd.validExchanges, cd.priceMagnifier, cd.underConId, cd.longName,
cd.longName, cd.contractMonth, cd.industry, cd.category,
cd.timeZoneId, cd.tradingHours, cd.liquidHours, cd.evRule,
cd.evMultiplier, cd.secIdList, cd.cusip, cd.ratings,
cd.descAppend, cd.bondType, cd.couponType, cd.callable,
cd.putable, cd.coupon, cd.convertible, cd.issueDate,
cd.nextOptionDate, cd.nextOptionType, cd.nextOptionPartial, cd.notes)
self.ref_data_mgr.create_inst(name=cd.longName, type=sd.secType, symbol=sd.symbol, exch_id=sd.exchange,
ccy_id=sd.currency,
# alt_symbol = {Broker.IB: sd.symbol},
# alt_exch_id = {Broker.IB: sd.exchange},
sector=cd.industry, industry=cd.category)
logger.info("saved")
def on_new_ord_req(self, new_ord_req):
logger.debug("[%s] %s" % (self.__class__.__name__, new_ord_req))
self.send_order(new_ord_req)
def on_market_depth(self, market_depth):
logger.debug("[%s] %s" % (self.__class__.__name__, market_depth))
def on_trade(self, trade):
logger.debug("[%s] %s" % (self.__class__.__name__, trade))
self.update_time(trade.timestamp)
def on_quote(self, quote):
logger.debug("[%s] %s" % (self.__class__.__name__, quote))
self.update_time(quote.timestamp)
def tickGeneric(self, tickerId, tickType, value):
"""
TickerId tickerId, TickType tickType, double value
"""
logger.debug("tickGeneric, tickerId=%s tickType=%s value=%s", tickerId,
tickType, value)
def on_ord_upd(self, ord_upd):
logger.debug("[%s] %s" % (self.__class__.__name__, ord_upd))
def on_ord_upd(self, ord_upd):
if ord_upd.portf_id == self.portf_id:
logger.debug("[%s] %s" % (self.__class__.__name__, ord_upd))
def replace_order(self, ord_replace_req):
logger.debug("[%s] %s" % (self.__class__.__name__, ord_replace_req))
order = self.app_context.order_mgr.replace_order(ord_replace_req)
return order
def cancel_order(self, ord_cancel_req):
logger.debug("[%s] %s" % (self.__class__.__name__, ord_cancel_req))
order = self.app_context.order_mgr.cancel_order(ord_cancel_req)
return order
def nextValidId(self, orderId):
"""
OrderId orderId
"""
logger.debug("nextValidId, orderId=%s", orderId)
def on_ord_replace_req(self, ord_replace_req):
logger.debug("[%s] %s" % (self.__class__.__name__, ord_replace_req))
self.replace_order(ord_replace_req)
def on_acc_upd(self, acc_upd):
logger.debug("[%s] %s" % (self.__class__.__name__, acc_upd))
def on_ord_cancel_req(self, ord_cancel_req):
logger.debug("[%s] %s" % (self.__class__.__name__, ord_cancel_req))
self.cancel_order(ord_cancel_req)
def tickString(self, tickerId, tickType, value):
"""
TickerId tickerId, TickType tickType, IBString const & value
"""
logger.debug("tickString, tickerId=%s tickType=%s value=%s", tickerId,
tickType, value)
def on_exec_report(self, exec_report):
logger.debug("[%s] %s" % (self.__class__.__name__, exec_report))
def on_bar(self, bar):
logger.debug("[%s] %s" % (self.__class__.__name__, bar))
self.update_time(bar.timestamp)
def on_portf_upd(self, portf_upd):
logger.debug("[%s] %s" % (self.__class__.__name__, portf_upd))
def tickSize(self, tickerId, field, size):
logger.debug("tickSize, tickerId=%s field=%s size=%s", tickerId, field,
size)
def on_bar(self, bar):
reval_date = DateUtils.unixtimemillis_to_datetime(bar.timestamp)
futures_expiry_dict = VIXFuture.future_expirydays_calculator(reval_date, self.instruments)
active_futures = {k: v for k, v in futures_expiry_dict.iteritems()
if v > self.exp_date_lb and v < self.exp_date_ub}
active_futures_sorted = OrderedDict(sorted(active_futures.items(), key=lambda y: y[1]))
if bar.inst_id in active_futures_sorted:
logger.debug("id is in active futures" % bar.inst_id)
roll = VIXFuture.daily_roll(bar.adj_close, self.vix_index.now("value"), active_futures_sorted[bar.inst_id])
logger.debug("roll = %s" % roll)
if not self.portfolio.has_position(self.stg_id, bar.inst_id):
threshold = self.get_stg_config_value("short_entry_threshold", 0.02)
if roll > threshold:
logger.debug("Roll > threshold %s" % threshold)
logger.debug("Now send a short order")
self.market_order(inst_id=bar.inst_id, action=OrdAction.SELL, qty=self.qty)
else:
threshold = self.get_stg_config_value("short_exit_threshold", -0.01)
if roll < threshold:
logger.debug("Roll < threshold %s" % threshold)
logger.debug("Now exit")
self.market_order(inst_id=bar.inst_id, action=OrdAction.BUY, qty=self.qty)
def receiveFA(self, pFaDataType, cxml):
"""
faDataType pFaDataType, IBString const & cxml
"""
logger.debug("receiveFA, pFaDataType=%s, cxml=%s", pFaDataType, cxml)
