class ClientManager:
"""
object that connects to the TWS gateway --> use an external program to drive this component
"""
def __init__(self, host="localhost", port=7496, id=1):
self.host = host
self.port = port
self.id = id
self.subscriptions = {}
self.tickerMap = {}
self.funcMap = self._defineFuncMap()
self.subscriptionCounter = 1
self.wrapper = Wrapper()
self.client = EClientSocket(self.wrapper)
self.client.eConnect(host, port, id)
time.sleep(5)
def _defineFuncMap(self):
funcMap = {
"reqMktData": self.reqMktData,
"cancelHistoricalData": self.cancelHistoricalData,
"cancelRealTimeBars": self.cancelRealTimeBars,
"reqHistoricalData": self.reqHistoricalData,
"reqRealTimeBars": self.reqRealTimeBars,
"reqContractDetails": self.reqContractDetails,
"reqMktDepth": self.reqMktDepth,
"cancelMktData": self.cancelMktData,
"cancelMktDepth": self.cancelMktDepth,
"exerciseOptions": self.exerciseOptions,
"placeOrder": self.placeOrder,
"reqAccountUpdates": self.reqAccountUpdates,
"reqExecutions": self.reqExecutions,
"cancelOrder": self.cancelOrder,
"reqOpenOrders": self.reqOpenOrders,
"reqIds": self.reqIds,
"reqNewsBulletins": self.reqNewsBulletins,
"cancelNewsBulletins": self.cancelNewsBulletins,
"setServerLogLevel": self.setServerLogLevel,
"reqAutoOpenOrders": self.reqAutoOpenOrders,
"reqAllOpenOrders": self.reqAllOpenOrders,
"reqManagedAccts": self.reqManagedAccts,
"requestFA": self.requestFA,
"replaceFA": self.replaceFA,
"reqFundamentalData": self.reqFundamentalData,
"cancelFundamentalData": self.cancelFundamentalData,
"calculateImpliedVolatility": self.calculateImpliedVolatility,
"cancelCalculateImpliedVolatility":
self.cancelCalculateImpliedVolatility,
"calculateOptionPrice": self.calculateOptionPrice,
"cancelCalculateOptionPrice": self.cancelCalculateOptionPrice,
"reqGlobalCancel": self.reqGlobalCancel,
"reqMarketDataType": self.reqMarketDataType,
"reqPositions": self.reqPositions,
"cancelPositions": self.cancelPositions,
"reqAccountSummary": self.reqAccountSummary,
"cancelAccountSummary": self.cancelAccountSummary,
"queryDisplayGroups": self.queryDisplayGroups,
"subscribeToGroupEvents": self.subscribeToGroupEvents,
"updateDisplayGroup": self.updateDisplayGroup,
"unsubscribeFromGroupEvents": self.unsubscribeFromGroupEvents,
}
return funcMap
def runCommand(self, **kwargs):
"""
takes in the commands from the run command function and then calls the appropriate command
"""
cmd = kwargs["cmd"]
self.funcMap[cmd](**kwargs)
def subscribeStock(self, **kwargs):
symbol = kwargs["symbol"]
contract = Contract()
contract.m_symbol = symbol
contract.m_exchange = "SMART"
contract.m_currency = "USD"
contract.m_secType = "STK"
self.subscriptions[symbol] = self.subscriptionCounter
self.tickerMap[self.subscriptionCounter] = symbol
self.client.reqMktData(self.subscriptionCounter, contract, "", False,
[])
self.subscriptionCounter += 1
def subscribeFX(self, **kwargs):
"""
base = base of the currency pair
priceCur = currency for pricing
ex. USD, JPY means buy/sell USD with price of JPY
"""
base = kwargs["base"]
priceCur = kwargs["priceCur"]
contract = Contract()
contract.m_symbol = base
contract.m_exchange = "IDEALPRO"
contract.m_currency = priceCur
contract.m_secType = "CASH"
symbol = ".".join([base, priceCur])
self.subscriptions[symbol] = self.subscriptionCounter
self.tickerMap[self.subscriptionCounter] = symbol
self.client.reqMktData(self.subscriptionCounter, contract, "", False,
[])
self.subscriptionCounter += 1
def unsubscribeStock(self, **kwargs):
symbol = kwargs["symbol"]
if symbol in self.subscription:
self.client.cancelMktData(self.subscriptions[symbol])
self.tickerMap.pop(self.subscriptions.pop(symbol))
def unsubscribeFX(self, **kwargs):
base = kwargs["base"]
priceCur = kwargs["priceCur"]
symbol = ".".join([base, priceCur])
if symbol in self.subscription:
self.client.cancelMktData(self.subscriptions[symbol])
self.tickerMap.pop(self.subscriptions.pop(symbol))
###Helper functions
def _createContract(self, **kwargs):
contract = Contract()
if "contract_conId" in kwargs:
contract.m_conId = kwargs["contract_conId"]
if "contract_symbol" in kwargs:
contract.m_symbol = kwargs["contract_symbol"]
if "contract_secType" in kwargs:
contract.m_secType = kwargs["contract_secType"]
if "contract_expiry" in kwargs:
contract.m_expiry = kwargs["contract_expiry"]
if "contract_strike" in kwargs:
contract.m_strike = kwargs["contract_strike"]
if "contract_right" in kwargs:
contract.m_right = kwargs["contract_right"]
if "contract_multiplier" in kwargs:
contract.m_multiplier = kwargs["contract_multiplier"]
if "contract_exchange" in kwargs:
contract.m_exchange = kwargs["contract_exchange"]
if "contract_currency" in kwargs:
contract.m_currency = kwargs["contract_currency"]
if "contract_localSymbol" in kwargs:
contract.m_localSymbol = kwargs["contract_localSymbol"]
if "contract_tradingClass" in kwargs:
contract.m_tradingClass = kwargs["contract_tradingClass"]
if "contract_primaryExch" in kwargs:
contract.m_primaryExch = kwargs[
"contract_primaryExch"] # pick a non-aggregate (ie not the SMART exchange) exchange that the contract trades on. DO NOT SET TO SMART.
if "contract_includeExpired" in kwargs:
contract.m_includeExpired = kwargs[
"contract_includeExpired"] # can not be set to true for contracts.
if "contract_secIdType" in kwargs:
contract.m_secIdType = kwargs[
"contract_secIdType"] # CUSIP;SEDOL;ISIN;RIC
if "contract_secId" in kwargs:
contract.m_secId = kwargs["contract_secId"]
return contract
def _createOrder(self, **kwargs):
order = Order()
# main order fields
if "order_orderId" in kwargs: order.m_orderId = kwargs["order_orderId"]
order.m_clientId = self.id
if "order_permId" in kwargs: order.m_permId = kwargs["order_permId"]
if "order_action" in kwargs:
order.m_action = kwargs[
"order_action"] #values are BUY, SELL, SSHORT
if "order_totalQuantity" in kwargs:
order.m_totalQuantity = kwargs["order_totalQuantity"]
if "order_orderType" in kwargs:
order.m_orderType = kwargs["order_orderType"]
if "order_lmtPrice" in kwargs:
order.m_lmtPrice = kwargs["order_lmtPrice"]
if "order_auxPrice" in kwargs:
order.m_auxPrice = kwargs["order_auxPrice"]
# extended order fields
if "order_tif" in kwargs:
order.m_tif = kwargs[
"order_tif"] # "Time in Force" - DAY, GTC, etc.
if "order_activeStartTime" in kwargs:
order.m_activeStartTime = kwargs[
"order_activeStartTime"] # GTC orders
if "order_activeStopTime" in kwargs:
order.m_activeStopTime = kwargs[
"order_activeStopTime"] # GTC orders YYYYMMDD hh:mm:ss (optional time zone)
if "order_ocaGroup" in kwargs:
order.m_ocaGroup = kwargs[
"order_ocaGroup"] # one cancels all group name
if "order_ocaType" in kwargs:
order.m_ocaType = kwargs[
"order_ocaType"] # 1 = CANCEL_WITH_BLOCK, 2 = REDUCE_WITH_BLOCK, 3 = REDUCE_NON_BLOCK
if "order_orderRef" in kwargs:
order.m_orderRef = kwargs["order_orderRef"]
if "order_transmit" in kwargs:
order.m_transmit = kwargs[
"order_transmit"] # if false, order will be created but not transmited
if "order_parentId" in kwargs:
order.m_parentId = kwargs[
"order_parentId"] # Parent order Id, to associate Auto STP or TRAIL orders with the original order.
if "order_blockOrder" in kwargs:
order.m_blockOrder = kwargs["order_blockOrder"]
if "order_sweepToFill" in kwargs:
order.m_sweepToFill = kwargs["order_sweepToFill"]
if "order_displaySize" in kwargs:
order.m_displaySize = kwargs["order_displaySize"]
if "order_triggerMethod" in kwargs:
order.m_triggerMethod = kwargs[
"order_triggerMethod"] # 0=Default, 1=Double_Bid_Ask, 2=Last, 3=Double_Last, 4=Bid_Ask, 7=Last_or_Bid_Ask, 8=Mid-point
if "order_outsideRth" in kwargs:
order.m_outsideRth = kwargs["order_outsideRth"]
if "order_hidden" in kwargs: order.m_hidden = kwargs["order_hidden"]
if "order_goodAfterTime" in kwargs:
order.m_goodAfterTime = kwargs[
"order_goodAfterTime"] # FORMAT: 20060505 08:00:00 {time zone}
if "order_goodTillDate" in kwargs:
order.m_goodTillDate = kwargs[
"order_goodTillDate"] # FORMAT: 20060505 08:00:00 {time zone} order must be GTD
if "order_overridePercentageConstraints" in kwargs:
order.m_overridePercentageConstraints = kwargs[
"order_overridePercentageConstraints"]
if "order_rule80A" in kwargs:
order.m_rule80A = kwargs[
"order_rule80A"] # Individual = 'I', Agency = 'A', AgentOtherMember = 'W', IndividualPTIA = 'J', AgencyPTIA = 'U', AgentOtherMemberPTIA = 'M', IndividualPT = 'K', AgencyPT = 'Y', AgentOtherMemberPT = 'N'
if "order_allOrNone" in kwargs:
order.m_allOrNone = kwargs["order_allOrNone"]
if "order_minQty" in kwargs: order.m_minQty = kwargs["order_minQty"]
if "order_percentOffset" in kwargs:
order.m_percentOffset = kwargs[
"order_percentOffset"] # REL orders only specify the decimal, e.g. .04 not 4
if "order_trailStopPrice" in kwargs:
order.m_trailStopPrice = kwargs[
"order_trailStopPrice"] # for TRAILLIMIT orders only
if "order_trailingPercent" in kwargs:
order.m_trailingPercent = kwargs[
"order_trailingPercent"] # specify the percentage, e.g. 3, not .03
# Financial advisors only
if "order_faGroup" in kwargs: order.m_faGroup = kwargs["order_faGroup"]
if "order_faProfile" in kwargs:
order.m_faProfile = kwargs["order_faProfile"]
if "order_faMethod" in kwargs:
order.m_faMethod = kwargs["order_faMethod"]
if "order_faPercentage" in kwargs:
order.m_faPercentage = kwargs["order_faPercentage"]
# Institutional orders only
if "order_openClose" in kwargs:
order.m_openClose = kwargs["order_openClose"] # O=Open, C=Close
if "order_origin" in kwargs:
order.m_origin = kwargs["order_origin"] # 0=Customer, 1=Firm
if "order_shortSaleSlot" in kwargs:
order.m_shortSaleSlot = kwargs[
"order_shortSaleSlot"] # 1 if you hold the shares, 2 if they will be delivered from elsewhere. Only for Action="SSHORT
if "order_designatedLocation" in kwargs:
order.m_designatedLocation = kwargs[
"order_designatedLocation"] # set when slot=2 only.
if "order_exemptCode" in kwargs:
order.m_exemptCode = kwargs["order_exemptCode"]
# SMART routing only
if "order_discretionaryAmt" in kwargs:
order.m_discretionaryAmt = kwargs["order_discretionaryAmt"]
if "order_eTradeOnly" in kwargs:
order.m_eTradeOnly = kwargs["order_eTradeOnly"]
if "order_firmQuoteOnly" in kwargs:
order.m_firmQuoteOnly = kwargs["order_firmQuoteOnly"]
if "order_nbboPriceCap" in kwargs:
order.m_nbboPriceCap = kwargs["order_nbboPriceCap"]
if "order_optOutSmartRouting" in kwargs:
order.m_optOutSmartRouting = kwargs["order_optOutSmartRouting"]
# BOX or VOL ORDERS ONLY
if "order_auctionStrategy" in kwargs:
order.m_auctionStrategy = kwargs[
"order_auctionStrategy"] # 1=AUCTION_MATCH, 2=AUCTION_IMPROVEMENT, 3=AUCTION_TRANSPARENT
# BOX ORDERS ONLY
if "order_startingPrice" in kwargs:
order.m_startingPrice = kwargs["order_startingPrice"]
if "order_stockRefPrice" in kwargs:
order.m_stockRefPrice = kwargs["order_stockRefPrice"]
if "order_delta" in kwargs: order.m_delta = kwargs["order_delta"]
# pegged to stock or VOL orders
if "order_stockRangeLower" in kwargs:
order.m_stockRangeLower = kwargs["order_stockRangeLower"]
if "order_stockRangeUpper" in kwargs:
order.m_stockRangeUpper = kwargs["order_stockRangeUpper"]
# VOLATILITY ORDERS ONLY
if "order_volatility" in kwargs:
order.m_volatility = kwargs[
"order_volatility"] # enter percentage not decimal, e.g. 2 not .02
if "order_volatilityType" in kwargs:
order.m_volatilityType = kwargs[
"order_volatilityType"] # 1=daily, 2=annual
if "order_continuousUpdate" in kwargs:
order.m_continuousUpdate = kwargs["order_continuousUpdate"]
if "order_referencePriceType" in kwargs:
order.m_referencePriceType = kwargs[
"order_referencePriceType"] # 1=Bid/Ask midpoint, 2 = BidOrAsk
if "order_deltaNeutralOrderType" in kwargs:
order.m_deltaNeutralOrderType = kwargs[
"order_deltaNeutralOrderType"]
if "order_deltaNeutralAuxPrice" in kwargs:
order.m_deltaNeutralAuxPrice = kwargs["order_deltaNeutralAuxPrice"]
if "order_deltaNeutralConId" in kwargs:
order.m_deltaNeutralConId = kwargs["order_deltaNeutralConId"]
if "order_deltaNeutralSettlingFirm" in kwargs:
order.m_deltaNeutralSettlingFirm = kwargs[
"order_deltaNeutralSettlingFirm"]
if "order_deltaNeutralClearingAccount" in kwargs:
order.m_deltaNeutralClearingAccount = kwargs[
"order_deltaNeutralClearingAccount"]
if "order_deltaNeutralClearingIntent" in kwargs:
order.m_deltaNeutralClearingIntent = kwargs[
"order_deltaNeutralClearingIntent"]
if "order_deltaNeutralOpenClose" in kwargs:
order.m_deltaNeutralOpenClose = kwargs[
"order_deltaNeutralOpenClose"]
if "order_deltaNeutralShortSale" in kwargs:
order.m_deltaNeutralShortSale = kwargs[
"order_deltaNeutralShortSale"]
if "order_deltaNeutralShortSaleSlot" in kwargs:
order.m_deltaNeutralShortSaleSlot = kwargs[
"order_deltaNeutralShortSaleSlot"]
if "order_deltaNeutralDesignatedLocation" in kwargs:
order.m_deltaNeutralDesignatedLocation = kwargs[
"order_deltaNeutralDesignatedLocation"]
# COMBO ORDERS ONLY
if "order_basisPoints" in kwargs:
order.m_basisPoints = kwargs[
"order_basisPoints"] # EFP orders only, download only
if "order_basisPointsType" in kwargs:
order.m_basisPointsType = kwargs[
"order_basisPointsType"] # EFP orders only, download only
# SCALE ORDERS ONLY
if "order_scaleInitLevelSize" in kwargs:
order.m_scaleInitLevelSize = kwargs["order_scaleInitLevelSize"]
if "order_scaleSubsLevelSize" in kwargs:
order.m_scaleSubsLevelSize = kwargs["order_scaleSubsLevelSize"]
if "order_scalePriceIncrement" in kwargs:
order.m_scalePriceIncrement = kwargs["order_scalePriceIncrement"]
if "order_scalePriceAdjustValue" in kwargs:
order.m_scalePriceAdjustValue = kwargs[
"order_scalePriceAdjustValue"]
if "order_scalePriceAdjustInterval" in kwargs:
order.m_scalePriceAdjustInterval = kwargs[
"order_scalePriceAdjustInterval"]
if "order_scaleProfitOffset" in kwargs:
order.m_scaleProfitOffset = kwargs["order_scaleProfitOffset"]
if "order_scaleAutoReset" in kwargs:
order.m_scaleAutoReset = kwargs["order_scaleAutoReset"]
if "order_scaleInitPosition" in kwargs:
order.m_scaleInitPosition = kwargs["order_scaleInitPosition"]
if "order_scaleInitFillQty" in kwargs:
order.m_scaleInitFillQty = kwargs["order_scaleInitFillQty"]
if "order_scaleRandomPercent" in kwargs:
order.m_scaleRandomPercent = kwargs["order_scaleRandomPercent"]
if "order_scaleTable" in kwargs:
order.m_scaleTable = kwargs["order_scaleTable"]
# HEDGE ORDERS ONLY
if "order_hedgeType" in kwargs:
order.m_hedgeType = kwargs[
"order_hedgeType"] # 'D' - delta, 'B' - beta, 'F' - FX, 'P' - pair
if "order_hedgeParam" in kwargs:
order.m_hedgeParam = kwargs[
"order_hedgeParam"] # beta value for beta hedge (in range 0-1), ratio for pair hedge
# Clearing info
if "order_account" in kwargs:
order.m_account = kwargs["order_account"] # IB account
if "order_settlingFirm" in kwargs:
order.m_settlingFirm = kwargs["order_settlingFirm"]
if "order_clearingAccount" in kwargs:
order.m_clearingAccount = kwargs[
"order_clearingAccount"] # True beneficiary of the order
if "order_clearingIntent" in kwargs:
order.m_clearingIntent = kwargs[
"order_clearingIntent"] # "" (Default), "IB", "Away", "PTA" (PostTrade)
# ALGO ORDERS ONLY
if "order_algoStrategy" in kwargs:
order.m_algoStrategy = kwargs["order_algoStrategy"]
if "order_algoParams" in kwargs:
order.m_algoParams = kwargs["order_algoParams"]
# What-if
if "order_whatIf" in kwargs: order.m_whatIf = kwargs["order_whatIf"]
# Not Held
if "order_notHeld" in kwargs: order.m_notHeld = kwargs["order_notHeld"]
# Smart combo routing params
if "order_smartComboRoutingParams" in kwargs:
order.m_smartComboRoutingParams = kwargs[
"order_smartComboRoutingParams"]
# order combo legs
#if "order_orderComboLegs" in kwargs: order.m_orderComboLegs = kwargs["order_orderComboLegs"] = new Vector<OrderComboLeg>()
# order misc options
if "order_orderMiscOptions" in kwargs:
order.m_orderMiscOptions = kwargs["order_orderMiscOptions"]
return order
def connected(self, **kwargs):
return self.client.connected
def reqCurrentTime(self, **kwargs):
return self.client.reqCurrentTime()
def faMsgTypeName(self, **kwargs):
return self.client.faMsgTypeName(int)
def serverVersion(self, **kwargs):
return self.client.serverVersion()
def TwsConnectionTime(self, **kwargs):
return self.client.TwsConnectionTime()
def wrapper(self, **kwargs):
return self.client.wrapper()
def reader(self, **kwargs):
return self.client.reader()
def isConnected(self, **kwargs):
return self.client.isConnected()
def eConnect(self, **kwargs):
host = kwargs["host"]
port = kwargs["port"]
id = kwargs["id"]
self.client.eConnect(host, port, id)
# def EClientSocket(self, **kwargs):
# self.client.EClientSocket(AnyWrapper)
#
#
# def eConnect(self, **kwargs):
# self.client.eConnect(String, int, int, boolean)
#
# def createReader(self, **kwargs):
# self.client.createReader(EClientSocket, DataInputStream)
#
# def eConnect(self, **kwargs):
# self.client.eConnect(Socket, int)
#
# def eConnect(self, **kwargs):
# self.client.eConnect(Socket)
#
def eDisconnect(self, **kwargs):
self.client.eDisconnect()
###client functions for call backs
#Not using scanners at the moment
# def cancelScannerSubscription(self, **kwargs):
# subscriptionId = kwargs["id"]
# self.client.cancelScannerSubscription(int)
#
# def reqScannerParameters(self, **kwargs):
# self.client.reqScannerParameters()
#
# def reqScannerSubscription(self, **kwargs):
# self.client.reqScannerSubscription(int, ScannerSubscription, Vector<TagValue>)
def reqMktData(self, **kwargs):
"""
function to request market data
"""
#contract information:
requestId = kwargs["tickerId"]
contract = self._createContract(**kwargs)
tickList = kwargs.get("tickList", "")
snapshot = kwargs.get("snapshot", False)
self.client.reqMktData(requestId, contract, tickList, snapshot, [])
def cancelHistoricalData(self, **kwargs):
requestId = kwargs["tickerId"]
self.client.cancelHistoricalData(requestId)
def cancelRealTimeBars(self, **kwargs):
requestId = kwargs["tickerId"]
self.client.cancelRealTimeBars(requestId)
def reqHistoricalData(self, **kwargs):
requestId = kwargs["tickerId"]
contract = self._createContratct()
endDateTime = kwargs["endDateTime"] #format of yyyymmdd HH:mm:ss ttt
durationStr = kwargs[
"durationStr"] #can look like 1000 S (int [S D W])
barSizeSetting = kwargs[
"barSizeSetting"] #valid values are: 1 sec|5 secs|15 secs|30 secs|1 min|2 mins|3 mins|5 mins|15 mins|30 mins|1 hour|1 day
whatToShow = kwargs[
"whatToShow"] #valid values are: TRADES|MIDPOINT|BID|ASK|BID_ASK|HISTORICAL_VOLATILITY|OPTION_IMPLIED_VOLATILITY
useRTH = bool(
kwargs["useRTH"]) #0 for all data, 1 for market hours only
formatDate = kwargs[
"formatDate"] #1 for yyyymmdd{space}{space}hh:mm:dd, 2 for timestamp value
self.client.reqHistoricalData(requestId, contract, endDateTime,
durationStr, barSizeSetting, whatToShow,
useRTH, formatDate, [])
def reqRealTimeBars(self, **kwargs):
requestId = kwargs["tickerId"]
contract = self._createContratct()
barSize = 5
whatToShow = kwargs[
"whatToShow"] #valid values are: TRADES|MIDPOINT|BID|ASK|BID_ASK|HISTORICAL_VOLATILITY|OPTION_IMPLIED_VOLATILITY
useRTH = bool(
kwargs["useRTH"]) #0 for all data, 1 for market hours only
self.client.reqRealTimeBars(requestId, contract, barSize, whatToShow,
useRTH, [])
def reqContractDetails(self, **kwargs):
requestId = kwargs["reqId"]
contract = self._createContract(**kwargs)
self.client.reqContractDetails(requestId, contract)
def reqMktDepth(self, **kwargs):
requestId = kwargs["tickerId"]
contract = self._createContract(**kwargs)
depthRows = kwargs.get("depthRows", 1)
self.client.reqMktDepth(requestId, contract, depthRows, [])
def cancelMktData(self, **kwargs):
"""
cancels the market data request
"""
requestId = kwargs["tickerId"]
self.client.cancelMktData(requestId)
def cancelMktDepth(self, **kwargs):
requestId = kwargs["tickerId"]
self.client.cancelMktDepth(requestId)
def exerciseOptions(self, **kwargs):
requestId = kwargs["tickerId"]
contract = self._createContract(**kwargs)
exerciseAction = kwargs["exercise_action"]
exerciseQty = kwargs["exercise_qty"]
account = ""
override = 0
#wonder what exchange this should be though
if contract.m_exchange == "SMART":
raise ("Exchange cannot be smart")
self.client.exerciseOptions(requestId, contract, exerciseAction,
exerciseQty, account, override)
def placeOrder(self, **kwargs):
requestId = kwargs["id"]
contract = self._createContract(**kwargs)
order = self._createOrder(**kwargs)
self.client.placeOrder(requestId, contract, order)
def reqAccountUpdates(self, **kwargs):
subscribe = bool(kwargs["subscribe"])
acctCode = kwargs["acctCode"]
self.client.reqAccountUpdates(subscribe, acctCode)
def reqExecutions(self, **kwargs):
requestId = kwargs["reqId"]
executionFilter = ExecutionFilter()
self.client.reqExecutions(requestId, executionFilter)
def cancelOrder(self, **kwargs):
requestId = kwargs["reqId"]
self.client.cancelOrder(requestId)
def reqOpenOrders(self, **kwargs):
self.client.reqOpenOrders()
def reqIds(self, **kwargs):
numIds = kwargs["numIds"]
self.client.reqIds(numIds)
def reqNewsBulletins(self, **kwargs):
news = kwargs["news"]
self.client.reqNewsBulletins(news)
def cancelNewsBulletins(self, **kwargs):
self.client.cancelNewsBulletins()
def setServerLogLevel(self, **kwargs):
# 1 = SYSTEM
# 2 = ERROR
# 3 = WARNING
# 4 = INFORMATION
# 5 = DETAIL
logLevel = kwargs["logLevel"]
self.client.setServerLogLevel(logLevel)
def reqAutoOpenOrders(self, **kwargs):
#If set to TRUE, newly created TWS orders will be implicitly associated with the client. If set to FALSE, no association will be made.
bAutoBind = kwargs["bAutoBind"]
self.client.reqAutoOpenOrders(bAutoBind)
def reqAllOpenOrders(self, **kwargs):
self.client.reqAllOpenOrders()
def reqManagedAccts(self, **kwargs):
self.client.reqManagedAccts()
def requestFA(self, **kwargs):
# 1 = GROUPS
# 2 = PROFILE
# 3 = ACCOUNT ALIASES
faDataType = kwargs["faDataType"]
self.client.requestFA(faDataType)
def replaceFA(self, **kwargs):
#Call this function to modify FA configuration information from the API. Note that this can also be done manually in TWS itself.
faDataType = kwargs["faDataType"]
cxml = kwargs["cxml"]
self.client.replaceFA(faDataType, cxml)
def reqFundamentalData(self, **kwargs):
# report types
# ReportSnapshot (company overview)
# ReportsFinSummary (financial summary)
# ReportRatios (financial ratios)
# ReportsFinStatements (financial statements)
# RESC (analyst estimates)
# CalendarReport (company calendar)
requestId = kwargs["reqId"]
contract = self._createContract(**kwargs)
reportType = kwargs["reportType"]
self.client.reqFundamentalData(requestId, contract, reportType)
def cancelFundamentalData(self, **kwargs):
requestId = kwargs["reqId"]
self.client.cancelFundamentalData(requestId)
def calculateImpliedVolatility(self, **kwargs):
requestId = kwargs["reqId"]
contract = self._createContract(**kwargs)
optionPrice = kwargs["optionPrice"]
underPrice = kwargs["underPrice"]
self.client.calculateImpliedVolatility(requestId, contract,
optionPrice, underPrice)
def cancelCalculateImpliedVolatility(self, **kwargs):
requestId = kwargs["reqId"]
self.client.cancelCalculateImpliedVolatility(requestId)
def calculateOptionPrice(self, **kwargs):
requestId = kwargs["requestId"]
contract = self._createContract(**kwargs)
volatility = kwargs["volatility"]
underPrice = kwargs["underPrice"]
self.client.calculateOptionPrice(requestId, contract, volatility,
underPrice)
def cancelCalculateOptionPrice(self, **kwargs):
requestId = kwargs["reqId"]
self.client.cancelCalculateOptionPrice(requestId)
def reqGlobalCancel(self, **kwargs):
self.client.reqGlobalCancel()
def reqMarketDataType(self, **kwargs):
#1 for real-time streaming market data or 2 for frozen market data.
marketDataType = kwargs["marketDataType"]
self.client.reqMarketDataType(marketDataType)
def reqPositions(self, **kwargs):
self.client.reqPositions()
def cancelPositions(self, **kwargs):
self.client.cancelPositions()
def reqAccountSummary(self, **kwargs):
#This request can only be made when connected to a Financial Advisor (FA) account.
requestId = kwargs["reqId"]
group = kwargs["group"]
tags = kwargs["tags"]
self.client.reqAccountSummary(requestId, group, tags)
def cancelAccountSummary(self, **kwargs):
requestId = kwargs["reqId"]
self.client.cancelAccountSummary(requestId)
# def verifyRequest(self, **kwargs):
# self.client.verifyRequest(String, String)
#
# def verifyMessage(self, **kwargs):
# self.client.verifyMessage(String)
def queryDisplayGroups(self, **kwargs):
requestId = kwargs["reqId"]
self.client.queryDisplayGroups(requestId)
def subscribeToGroupEvents(self, **kwargs):
#groupId = The ID of the group, currently it is a number from 1 to 7. This is the display group subscription request sent by the API to TWS.
requestId = kwargs["reqId"]
groupId = kwargs["groupId"]
self.client.subscribeToGroupEvents(requestId, groupId)
def updateDisplayGroup(self, **kwargs):
# contractInfo:
# none = empty selection
# contractID@exchange – any non-combination contract. Examples: 8314@SMART for IBM SMART; 8314@ARCA for IBM @ARCA.
# combo = if any combo is selected.
requestId = kwargs["reqId"]
contractInfo = kwargs["contractInfo"]
self.client.updateDisplayGroup(requestId, contractInfo)
def unsubscribeFromGroupEvents(self, **kwargs):
requestId = kwargs["reqId"]
self.client.unsubscribeFromGroupEvents(requestId)
def getData(self):
"""
called to get information out of the queue in the wrapper for information passing
"""
data = self.wrapper.queue.get()
#this is specialized code to deal with mapping of ids to symbol information
#work to create something more natural that is layer or at a different level?
data["tickerId"] = self.tickerMap[data["tickerId"]]
return data
class ClientManager:
"""
object that connects to the TWS gateway --> use an external program to drive this component
"""
def __init__(self, host="localhost", port=7496, id=1):
self.host=host
self.port=port
self.id=id
self.subscriptions = {}
self.tickerMap = {}
self.funcMap = self._defineFuncMap()
self.subscriptionCounter = 1
self.wrapper = Wrapper()
self.client=EClientSocket(self.wrapper)
self.client.eConnect(host, port, id)
time.sleep(5)
def _defineFuncMap(self):
funcMap = {
"reqMktData": self.reqMktData,
"cancelHistoricalData": self.cancelHistoricalData,
"cancelRealTimeBars": self.cancelRealTimeBars,
"reqHistoricalData": self.reqHistoricalData,
"reqRealTimeBars": self.reqRealTimeBars,
"reqContractDetails": self.reqContractDetails,
"reqMktDepth": self.reqMktDepth,
"cancelMktData": self.cancelMktData,
"cancelMktDepth": self.cancelMktDepth,
"exerciseOptions": self.exerciseOptions,
"placeOrder": self.placeOrder,
"reqAccountUpdates": self.reqAccountUpdates,
"reqExecutions": self.reqExecutions,
"cancelOrder": self.cancelOrder,
"reqOpenOrders": self.reqOpenOrders,
"reqIds": self.reqIds,
"reqNewsBulletins": self.reqNewsBulletins,
"cancelNewsBulletins": self.cancelNewsBulletins,
"setServerLogLevel": self.setServerLogLevel,
"reqAutoOpenOrders": self.reqAutoOpenOrders,
"reqAllOpenOrders": self.reqAllOpenOrders,
"reqManagedAccts": self.reqManagedAccts,
"requestFA": self.requestFA,
"replaceFA": self.replaceFA,
"reqFundamentalData": self.reqFundamentalData,
"cancelFundamentalData": self.cancelFundamentalData,
"calculateImpliedVolatility": self.calculateImpliedVolatility,
"cancelCalculateImpliedVolatility": self.cancelCalculateImpliedVolatility,
"calculateOptionPrice": self.calculateOptionPrice,
"cancelCalculateOptionPrice": self.cancelCalculateOptionPrice,
"reqGlobalCancel": self.reqGlobalCancel,
"reqMarketDataType": self.reqMarketDataType,
"reqPositions": self.reqPositions,
"cancelPositions": self.cancelPositions,
"reqAccountSummary": self.reqAccountSummary,
"cancelAccountSummary": self.cancelAccountSummary,
"queryDisplayGroups": self.queryDisplayGroups,
"subscribeToGroupEvents": self.subscribeToGroupEvents,
"updateDisplayGroup": self.updateDisplayGroup,
"unsubscribeFromGroupEvents": self.unsubscribeFromGroupEvents,
}
return funcMap
def runCommand(self, **kwargs):
"""
takes in the commands from the run command function and then calls the appropriate command
"""
cmd = kwargs["cmd"]
self.funcMap[cmd](**kwargs)
def subscribeStock(self, **kwargs):
symbol = kwargs["symbol"]
contract = Contract()
contract.m_symbol = symbol
contract.m_exchange = "SMART"
contract.m_currency = "USD"
contract.m_secType = "STK"
self.subscriptions[symbol] = self.subscriptionCounter
self.tickerMap[self.subscriptionCounter] = symbol
self.client.reqMktData(self.subscriptionCounter, contract, "", False, [])
self.subscriptionCounter+=1
def subscribeFX(self, **kwargs):
"""
base = base of the currency pair
priceCur = currency for pricing
ex. USD, JPY means buy/sell USD with price of JPY
"""
base = kwargs["base"]
priceCur = kwargs["priceCur"]
contract = Contract()
contract.m_symbol = base
contract.m_exchange = "IDEALPRO"
contract.m_currency = priceCur
contract.m_secType = "CASH"
symbol = ".".join([base, priceCur])
self.subscriptions[symbol] = self.subscriptionCounter
self.tickerMap[self.subscriptionCounter] = symbol
self.client.reqMktData(self.subscriptionCounter, contract, "", False, [])
self.subscriptionCounter+=1
def unsubscribeStock(self, **kwargs):
symbol = kwargs["symbol"]
if symbol in self.subscription:
self.client.cancelMktData(self.subscriptions[symbol])
self.tickerMap.pop(self.subscriptions.pop(symbol))
def unsubscribeFX(self, **kwargs):
base = kwargs["base"]
priceCur = kwargs["priceCur"]
symbol = ".".join([base, priceCur])
if symbol in self.subscription:
self.client.cancelMktData(self.subscriptions[symbol])
self.tickerMap.pop(self.subscriptions.pop(symbol))
###Helper functions
def _createContract(self, **kwargs):
contract = Contract()
if "contract_conId" in kwargs: contract.m_conId = kwargs["contract_conId"]
if "contract_symbol" in kwargs: contract.m_symbol = kwargs["contract_symbol"]
if "contract_secType" in kwargs: contract.m_secType = kwargs["contract_secType"]
if "contract_expiry" in kwargs: contract.m_expiry = kwargs["contract_expiry"]
if "contract_strike" in kwargs: contract.m_strike = kwargs["contract_strike"]
if "contract_right" in kwargs: contract.m_right = kwargs["contract_right"]
if "contract_multiplier" in kwargs: contract.m_multiplier = kwargs["contract_multiplier"]
if "contract_exchange" in kwargs: contract.m_exchange = kwargs["contract_exchange"]
if "contract_currency" in kwargs: contract.m_currency = kwargs["contract_currency"]
if "contract_localSymbol" in kwargs: contract.m_localSymbol = kwargs["contract_localSymbol"]
if "contract_tradingClass" in kwargs: contract.m_tradingClass = kwargs["contract_tradingClass"]
if "contract_primaryExch" in kwargs: contract.m_primaryExch = kwargs["contract_primaryExch"] # pick a non-aggregate (ie not the SMART exchange) exchange that the contract trades on. DO NOT SET TO SMART.
if "contract_includeExpired" in kwargs: contract.m_includeExpired = kwargs["contract_includeExpired"] # can not be set to true for contracts.
if "contract_secIdType" in kwargs: contract.m_secIdType = kwargs["contract_secIdType"] # CUSIP;SEDOL;ISIN;RIC
if "contract_secId" in kwargs: contract.m_secId = kwargs["contract_secId"]
return contract
def _createOrder(self, **kwargs):
order = Order()
# main order fields
if "order_orderId" in kwargs: order.m_orderId = kwargs["order_orderId"]
order.m_clientId = self.id
if "order_permId" in kwargs: order.m_permId = kwargs["order_permId"]
if "order_action" in kwargs: order.m_action = kwargs["order_action"] #values are BUY, SELL, SSHORT
if "order_totalQuantity" in kwargs: order.m_totalQuantity = kwargs["order_totalQuantity"]
if "order_orderType" in kwargs: order.m_orderType = kwargs["order_orderType"]
if "order_lmtPrice" in kwargs: order.m_lmtPrice = kwargs["order_lmtPrice"]
if "order_auxPrice" in kwargs: order.m_auxPrice = kwargs["order_auxPrice"]
# extended order fields
if "order_tif" in kwargs: order.m_tif = kwargs["order_tif"] # "Time in Force" - DAY, GTC, etc.
if "order_activeStartTime" in kwargs: order.m_activeStartTime = kwargs["order_activeStartTime"] # GTC orders
if "order_activeStopTime" in kwargs: order.m_activeStopTime = kwargs["order_activeStopTime"] # GTC orders YYYYMMDD hh:mm:ss (optional time zone)
if "order_ocaGroup" in kwargs: order.m_ocaGroup = kwargs["order_ocaGroup"] # one cancels all group name
if "order_ocaType" in kwargs: order.m_ocaType = kwargs["order_ocaType"] # 1 = CANCEL_WITH_BLOCK, 2 = REDUCE_WITH_BLOCK, 3 = REDUCE_NON_BLOCK
if "order_orderRef" in kwargs: order.m_orderRef = kwargs["order_orderRef"]
if "order_transmit" in kwargs: order.m_transmit = kwargs["order_transmit"] # if false, order will be created but not transmited
if "order_parentId" in kwargs: order.m_parentId = kwargs["order_parentId"] # Parent order Id, to associate Auto STP or TRAIL orders with the original order.
if "order_blockOrder" in kwargs: order.m_blockOrder = kwargs["order_blockOrder"]
if "order_sweepToFill" in kwargs: order.m_sweepToFill = kwargs["order_sweepToFill"]
if "order_displaySize" in kwargs: order.m_displaySize = kwargs["order_displaySize"]
if "order_triggerMethod" in kwargs: order.m_triggerMethod = kwargs["order_triggerMethod"] # 0=Default, 1=Double_Bid_Ask, 2=Last, 3=Double_Last, 4=Bid_Ask, 7=Last_or_Bid_Ask, 8=Mid-point
if "order_outsideRth" in kwargs: order.m_outsideRth = kwargs["order_outsideRth"]
if "order_hidden" in kwargs: order.m_hidden = kwargs["order_hidden"]
if "order_goodAfterTime" in kwargs: order.m_goodAfterTime = kwargs["order_goodAfterTime"] # FORMAT: 20060505 08:00:00 {time zone}
if "order_goodTillDate" in kwargs: order.m_goodTillDate = kwargs["order_goodTillDate"] # FORMAT: 20060505 08:00:00 {time zone} order must be GTD
if "order_overridePercentageConstraints" in kwargs: order.m_overridePercentageConstraints = kwargs["order_overridePercentageConstraints"]
if "order_rule80A" in kwargs: order.m_rule80A = kwargs["order_rule80A"] # Individual = 'I', Agency = 'A', AgentOtherMember = 'W', IndividualPTIA = 'J', AgencyPTIA = 'U', AgentOtherMemberPTIA = 'M', IndividualPT = 'K', AgencyPT = 'Y', AgentOtherMemberPT = 'N'
if "order_allOrNone" in kwargs: order.m_allOrNone = kwargs["order_allOrNone"]
if "order_minQty" in kwargs: order.m_minQty = kwargs["order_minQty"]
if "order_percentOffset" in kwargs: order.m_percentOffset = kwargs["order_percentOffset"] # REL orders only specify the decimal, e.g. .04 not 4
if "order_trailStopPrice" in kwargs: order.m_trailStopPrice = kwargs["order_trailStopPrice"] # for TRAILLIMIT orders only
if "order_trailingPercent" in kwargs: order.m_trailingPercent = kwargs["order_trailingPercent"] # specify the percentage, e.g. 3, not .03
# Financial advisors only
if "order_faGroup" in kwargs: order.m_faGroup = kwargs["order_faGroup"]
if "order_faProfile" in kwargs: order.m_faProfile = kwargs["order_faProfile"]
if "order_faMethod" in kwargs: order.m_faMethod = kwargs["order_faMethod"]
if "order_faPercentage" in kwargs: order.m_faPercentage = kwargs["order_faPercentage"]
# Institutional orders only
if "order_openClose" in kwargs: order.m_openClose = kwargs["order_openClose"] # O=Open, C=Close
if "order_origin" in kwargs: order.m_origin = kwargs["order_origin"] # 0=Customer, 1=Firm
if "order_shortSaleSlot" in kwargs: order.m_shortSaleSlot = kwargs["order_shortSaleSlot"] # 1 if you hold the shares, 2 if they will be delivered from elsewhere. Only for Action="SSHORT
if "order_designatedLocation" in kwargs: order.m_designatedLocation = kwargs["order_designatedLocation"] # set when slot=2 only.
if "order_exemptCode" in kwargs: order.m_exemptCode = kwargs["order_exemptCode"]
# SMART routing only
if "order_discretionaryAmt" in kwargs: order.m_discretionaryAmt = kwargs["order_discretionaryAmt"]
if "order_eTradeOnly" in kwargs: order.m_eTradeOnly = kwargs["order_eTradeOnly"]
if "order_firmQuoteOnly" in kwargs: order.m_firmQuoteOnly = kwargs["order_firmQuoteOnly"]
if "order_nbboPriceCap" in kwargs: order.m_nbboPriceCap = kwargs["order_nbboPriceCap"]
if "order_optOutSmartRouting" in kwargs: order.m_optOutSmartRouting = kwargs["order_optOutSmartRouting"]
# BOX or VOL ORDERS ONLY
if "order_auctionStrategy" in kwargs: order.m_auctionStrategy = kwargs["order_auctionStrategy"] # 1=AUCTION_MATCH, 2=AUCTION_IMPROVEMENT, 3=AUCTION_TRANSPARENT
# BOX ORDERS ONLY
if "order_startingPrice" in kwargs: order.m_startingPrice = kwargs["order_startingPrice"]
if "order_stockRefPrice" in kwargs: order.m_stockRefPrice = kwargs["order_stockRefPrice"]
if "order_delta" in kwargs: order.m_delta = kwargs["order_delta"]
# pegged to stock or VOL orders
if "order_stockRangeLower" in kwargs: order.m_stockRangeLower = kwargs["order_stockRangeLower"]
if "order_stockRangeUpper" in kwargs: order.m_stockRangeUpper = kwargs["order_stockRangeUpper"]
# VOLATILITY ORDERS ONLY
if "order_volatility" in kwargs: order.m_volatility = kwargs["order_volatility"] # enter percentage not decimal, e.g. 2 not .02
if "order_volatilityType" in kwargs: order.m_volatilityType = kwargs["order_volatilityType"] # 1=daily, 2=annual
if "order_continuousUpdate" in kwargs: order.m_continuousUpdate = kwargs["order_continuousUpdate"]
if "order_referencePriceType" in kwargs: order.m_referencePriceType = kwargs["order_referencePriceType"] # 1=Bid/Ask midpoint, 2 = BidOrAsk
if "order_deltaNeutralOrderType" in kwargs: order.m_deltaNeutralOrderType = kwargs["order_deltaNeutralOrderType"]
if "order_deltaNeutralAuxPrice" in kwargs: order.m_deltaNeutralAuxPrice = kwargs["order_deltaNeutralAuxPrice"]
if "order_deltaNeutralConId" in kwargs: order.m_deltaNeutralConId = kwargs["order_deltaNeutralConId"]
if "order_deltaNeutralSettlingFirm" in kwargs: order.m_deltaNeutralSettlingFirm = kwargs["order_deltaNeutralSettlingFirm"]
if "order_deltaNeutralClearingAccount" in kwargs: order.m_deltaNeutralClearingAccount = kwargs["order_deltaNeutralClearingAccount"]
if "order_deltaNeutralClearingIntent" in kwargs: order.m_deltaNeutralClearingIntent = kwargs["order_deltaNeutralClearingIntent"]
if "order_deltaNeutralOpenClose" in kwargs: order.m_deltaNeutralOpenClose = kwargs["order_deltaNeutralOpenClose"]
if "order_deltaNeutralShortSale" in kwargs: order.m_deltaNeutralShortSale = kwargs["order_deltaNeutralShortSale"]
if "order_deltaNeutralShortSaleSlot" in kwargs: order.m_deltaNeutralShortSaleSlot = kwargs["order_deltaNeutralShortSaleSlot"]
if "order_deltaNeutralDesignatedLocation" in kwargs: order.m_deltaNeutralDesignatedLocation = kwargs["order_deltaNeutralDesignatedLocation"]
# COMBO ORDERS ONLY
if "order_basisPoints" in kwargs: order.m_basisPoints = kwargs["order_basisPoints"] # EFP orders only, download only
if "order_basisPointsType" in kwargs: order.m_basisPointsType = kwargs["order_basisPointsType"] # EFP orders only, download only
# SCALE ORDERS ONLY
if "order_scaleInitLevelSize" in kwargs: order.m_scaleInitLevelSize = kwargs["order_scaleInitLevelSize"]
if "order_scaleSubsLevelSize" in kwargs: order.m_scaleSubsLevelSize = kwargs["order_scaleSubsLevelSize"]
if "order_scalePriceIncrement" in kwargs: order.m_scalePriceIncrement = kwargs["order_scalePriceIncrement"]
if "order_scalePriceAdjustValue" in kwargs: order.m_scalePriceAdjustValue = kwargs["order_scalePriceAdjustValue"]
if "order_scalePriceAdjustInterval" in kwargs: order.m_scalePriceAdjustInterval = kwargs["order_scalePriceAdjustInterval"]
if "order_scaleProfitOffset" in kwargs: order.m_scaleProfitOffset = kwargs["order_scaleProfitOffset"]
if "order_scaleAutoReset" in kwargs: order.m_scaleAutoReset = kwargs["order_scaleAutoReset"]
if "order_scaleInitPosition" in kwargs: order.m_scaleInitPosition = kwargs["order_scaleInitPosition"]
if "order_scaleInitFillQty" in kwargs: order.m_scaleInitFillQty = kwargs["order_scaleInitFillQty"]
if "order_scaleRandomPercent" in kwargs: order.m_scaleRandomPercent = kwargs["order_scaleRandomPercent"]
if "order_scaleTable" in kwargs: order.m_scaleTable = kwargs["order_scaleTable"]
# HEDGE ORDERS ONLY
if "order_hedgeType" in kwargs: order.m_hedgeType = kwargs["order_hedgeType"] # 'D' - delta, 'B' - beta, 'F' - FX, 'P' - pair
if "order_hedgeParam" in kwargs: order.m_hedgeParam = kwargs["order_hedgeParam"] # beta value for beta hedge (in range 0-1), ratio for pair hedge
# Clearing info
if "order_account" in kwargs: order.m_account = kwargs["order_account"] # IB account
if "order_settlingFirm" in kwargs: order.m_settlingFirm = kwargs["order_settlingFirm"]
if "order_clearingAccount" in kwargs: order.m_clearingAccount = kwargs["order_clearingAccount"] # True beneficiary of the order
if "order_clearingIntent" in kwargs: order.m_clearingIntent = kwargs["order_clearingIntent"] # "" (Default), "IB", "Away", "PTA" (PostTrade)
# ALGO ORDERS ONLY
if "order_algoStrategy" in kwargs: order.m_algoStrategy = kwargs["order_algoStrategy"]
if "order_algoParams" in kwargs: order.m_algoParams = kwargs["order_algoParams"]
# What-if
if "order_whatIf" in kwargs: order.m_whatIf = kwargs["order_whatIf"]
# Not Held
if "order_notHeld" in kwargs: order.m_notHeld = kwargs["order_notHeld"]
# Smart combo routing params
if "order_smartComboRoutingParams" in kwargs: order.m_smartComboRoutingParams = kwargs["order_smartComboRoutingParams"]
# order combo legs
#if "order_orderComboLegs" in kwargs: order.m_orderComboLegs = kwargs["order_orderComboLegs"] = new Vector<OrderComboLeg>()
# order misc options
if "order_orderMiscOptions" in kwargs: order.m_orderMiscOptions = kwargs["order_orderMiscOptions"]
return order
def connected(self, **kwargs):
return self.client.connected
def reqCurrentTime(self, **kwargs):
return self.client.reqCurrentTime()
def faMsgTypeName(self, **kwargs):
return self.client.faMsgTypeName(int)
def serverVersion(self, **kwargs):
return self.client.serverVersion()
def TwsConnectionTime(self, **kwargs):
return self.client.TwsConnectionTime()
def wrapper(self, **kwargs):
return self.client.wrapper()
def reader(self, **kwargs):
return self.client.reader()
def isConnected(self, **kwargs):
return self.client.isConnected()
def eConnect(self, **kwargs):
host = kwargs["host"]
port = kwargs["port"]
id = kwargs["id"]
self.client.eConnect(host, port, id)
# def EClientSocket(self, **kwargs):
# self.client.EClientSocket(AnyWrapper)
#
#
# def eConnect(self, **kwargs):
# self.client.eConnect(String, int, int, boolean)
#
# def createReader(self, **kwargs):
# self.client.createReader(EClientSocket, DataInputStream)
#
# def eConnect(self, **kwargs):
# self.client.eConnect(Socket, int)
#
# def eConnect(self, **kwargs):
# self.client.eConnect(Socket)
#
def eDisconnect(self, **kwargs):
self.client.eDisconnect()
###client functions for call backs
#Not using scanners at the moment
# def cancelScannerSubscription(self, **kwargs):
# subscriptionId = kwargs["id"]
# self.client.cancelScannerSubscription(int)
#
# def reqScannerParameters(self, **kwargs):
# self.client.reqScannerParameters()
#
# def reqScannerSubscription(self, **kwargs):
# self.client.reqScannerSubscription(int, ScannerSubscription, Vector<TagValue>)
def reqMktData(self, **kwargs):
"""
function to request market data
"""
#contract information:
requestId = kwargs["tickerId"]
contract = self._createContract(**kwargs)
tickList = kwargs.get("tickList", "")
snapshot = kwargs.get("snapshot", False)
self.client.reqMktData(requestId, contract, tickList, snapshot, [])
def cancelHistoricalData(self, **kwargs):
requestId = kwargs["tickerId"]
self.client.cancelHistoricalData(requestId)
def cancelRealTimeBars(self, **kwargs):
requestId = kwargs["tickerId"]
self.client.cancelRealTimeBars(requestId)
def reqHistoricalData(self, **kwargs):
requestId = kwargs["tickerId"]
contract = self._createContratct()
endDateTime = kwargs["endDateTime"] #format of yyyymmdd HH:mm:ss ttt
durationStr = kwargs["durationStr"] #can look like 1000 S (int [S D W])
barSizeSetting = kwargs["barSizeSetting"] #valid values are: 1 sec|5 secs|15 secs|30 secs|1 min|2 mins|3 mins|5 mins|15 mins|30 mins|1 hour|1 day
whatToShow = kwargs["whatToShow"] #valid values are: TRADES|MIDPOINT|BID|ASK|BID_ASK|HISTORICAL_VOLATILITY|OPTION_IMPLIED_VOLATILITY
useRTH = bool(kwargs["useRTH"]) #0 for all data, 1 for market hours only
formatDate = kwargs["formatDate"] #1 for yyyymmdd{space}{space}hh:mm:dd, 2 for timestamp value
self.client.reqHistoricalData(requestId, contract, endDateTime, durationStr, barSizeSetting, whatToShow, useRTH, formatDate, [])
def reqRealTimeBars(self, **kwargs):
requestId = kwargs["tickerId"]
contract = self._createContratct()
barSize = 5
whatToShow = kwargs["whatToShow"] #valid values are: TRADES|MIDPOINT|BID|ASK|BID_ASK|HISTORICAL_VOLATILITY|OPTION_IMPLIED_VOLATILITY
useRTH = bool(kwargs["useRTH"]) #0 for all data, 1 for market hours only
self.client.reqRealTimeBars(requestId, contract, barSize, whatToShow, useRTH, [])
def reqContractDetails(self, **kwargs):
requestId = kwargs["reqId"]
contract = self._createContract(**kwargs)
self.client.reqContractDetails(requestId, contract)
def reqMktDepth(self, **kwargs):
requestId = kwargs["tickerId"]
contract = self._createContract(**kwargs)
depthRows = kwargs.get("depthRows", 1)
self.client.reqMktDepth(requestId, contract, depthRows, [])
def cancelMktData(self, **kwargs):
"""
cancels the market data request
"""
requestId = kwargs["tickerId"]
self.client.cancelMktData(requestId)
def cancelMktDepth(self, **kwargs):
requestId = kwargs["tickerId"]
self.client.cancelMktDepth(requestId)
def exerciseOptions(self, **kwargs):
requestId = kwargs["tickerId"]
contract = self._createContract(**kwargs)
exerciseAction = kwargs["exercise_action"]
exerciseQty = kwargs["exercise_qty"]
account = ""
override = 0
#wonder what exchange this should be though
if contract.m_exchange == "SMART":
raise("Exchange cannot be smart")
self.client.exerciseOptions(requestId, contract, exerciseAction, exerciseQty, account, override)
def placeOrder(self, **kwargs):
requestId = kwargs["id"]
contract = self._createContract(**kwargs)
order = self._createOrder(**kwargs)
self.client.placeOrder(requestId, contract, order)
def reqAccountUpdates(self, **kwargs):
subscribe = bool(kwargs["subscribe"])
acctCode = kwargs["acctCode"]
self.client.reqAccountUpdates(subscribe, acctCode)
def reqExecutions(self, **kwargs):
requestId = kwargs["reqId"]
executionFilter = ExecutionFilter()
self.client.reqExecutions(requestId, executionFilter)
def cancelOrder(self, **kwargs):
requestId = kwargs["reqId"]
self.client.cancelOrder(requestId)
def reqOpenOrders(self, **kwargs):
self.client.reqOpenOrders()
def reqIds(self, **kwargs):
numIds = kwargs["numIds"]
self.client.reqIds(numIds)
def reqNewsBulletins(self, **kwargs):
news = kwargs["news"]
self.client.reqNewsBulletins(news)
def cancelNewsBulletins(self, **kwargs):
self.client.cancelNewsBulletins()
def setServerLogLevel(self, **kwargs):
# 1 = SYSTEM
# 2 = ERROR
# 3 = WARNING
# 4 = INFORMATION
# 5 = DETAIL
logLevel = kwargs["logLevel"]
self.client.setServerLogLevel(logLevel)
def reqAutoOpenOrders(self, **kwargs):
#If set to TRUE, newly created TWS orders will be implicitly associated with the client. If set to FALSE, no association will be made.
bAutoBind = kwargs["bAutoBind"]
self.client.reqAutoOpenOrders(bAutoBind)
def reqAllOpenOrders(self, **kwargs):
self.client.reqAllOpenOrders()
def reqManagedAccts(self, **kwargs):
self.client.reqManagedAccts()
def requestFA(self, **kwargs):
# 1 = GROUPS
# 2 = PROFILE
# 3 = ACCOUNT ALIASES
faDataType = kwargs["faDataType"]
self.client.requestFA(faDataType)
def replaceFA(self, **kwargs):
#Call this function to modify FA configuration information from the API. Note that this can also be done manually in TWS itself.
faDataType = kwargs["faDataType"]
cxml = kwargs["cxml"]
self.client.replaceFA(faDataType, cxml)
def reqFundamentalData(self, **kwargs):
# report types
# ReportSnapshot (company overview)
# ReportsFinSummary (financial summary)
# ReportRatios (financial ratios)
# ReportsFinStatements (financial statements)
# RESC (analyst estimates)
# CalendarReport (company calendar)
requestId = kwargs["reqId"]
contract = self._createContract(**kwargs)
reportType =kwargs["reportType"]
self.client.reqFundamentalData(requestId, contract, reportType)
def cancelFundamentalData(self, **kwargs):
requestId = kwargs["reqId"]
self.client.cancelFundamentalData(requestId)
def calculateImpliedVolatility(self, **kwargs):
requestId = kwargs["reqId"]
contract = self._createContract(**kwargs)
optionPrice = kwargs["optionPrice"]
underPrice = kwargs["underPrice"]
self.client.calculateImpliedVolatility(requestId, contract, optionPrice, underPrice)
def cancelCalculateImpliedVolatility(self, **kwargs):
requestId = kwargs["reqId"]
self.client.cancelCalculateImpliedVolatility(requestId)
def calculateOptionPrice(self, **kwargs):
requestId = kwargs["requestId"]
contract = self._createContract(**kwargs)
volatility = kwargs["volatility"]
underPrice = kwargs["underPrice"]
self.client.calculateOptionPrice(requestId, contract, volatility, underPrice)
def cancelCalculateOptionPrice(self, **kwargs):
requestId = kwargs["reqId"]
self.client.cancelCalculateOptionPrice(requestId)
def reqGlobalCancel(self, **kwargs):
self.client.reqGlobalCancel()
def reqMarketDataType(self, **kwargs):
#1 for real-time streaming market data or 2 for frozen market data.
marketDataType = kwargs["marketDataType"]
self.client.reqMarketDataType(marketDataType)
def reqPositions(self, **kwargs):
self.client.reqPositions()
def cancelPositions(self, **kwargs):
self.client.cancelPositions()
def reqAccountSummary(self, **kwargs):
#This request can only be made when connected to a Financial Advisor (FA) account.
requestId = kwargs["reqId"]
group = kwargs["group"]
tags = kwargs["tags"]
self.client.reqAccountSummary(requestId, group, tags)
def cancelAccountSummary(self, **kwargs):
requestId = kwargs["reqId"]
self.client.cancelAccountSummary(requestId)
# def verifyRequest(self, **kwargs):
# self.client.verifyRequest(String, String)
#
# def verifyMessage(self, **kwargs):
# self.client.verifyMessage(String)
def queryDisplayGroups(self, **kwargs):
requestId = kwargs["reqId"]
self.client.queryDisplayGroups(requestId)
def subscribeToGroupEvents(self, **kwargs):
#groupId = The ID of the group, currently it is a number from 1 to 7. This is the display group subscription request sent by the API to TWS.
requestId = kwargs["reqId"]
groupId = kwargs["groupId"]
self.client.subscribeToGroupEvents(requestId, groupId)
def updateDisplayGroup(self, **kwargs):
# contractInfo:
# none = empty selection
# contractID@exchange – any non-combination contract. Examples: 8314@SMART for IBM SMART; 8314@ARCA for IBM @ARCA.
# combo = if any combo is selected.
requestId = kwargs["reqId"]
contractInfo = kwargs["contractInfo"]
self.client.updateDisplayGroup(requestId, contractInfo)
def unsubscribeFromGroupEvents(self, **kwargs):
requestId = kwargs["reqId"]
self.client.unsubscribeFromGroupEvents(requestId)
def getData(self):
"""
called to get information out of the queue in the wrapper for information passing
"""
data = self.wrapper.queue.get()
#this is specialized code to deal with mapping of ids to symbol information
#work to create something more natural that is layer or at a different level?
data["tickerId"] = self.tickerMap[data["tickerId"]]
return data