import signal
import sys
from ib.client import Client
from ib.contractkeys import Currency, CurrencyLocal, Stock, Option, OptionLocal
from com.ib.client import Contract, ExecutionFilter
import ib.client
import ib.combo_orders as co
ib.client.LOGLEVEL = logging.DEBUG
def cleanup(signal, frame):
c.disconnect()
sys.exit(0)
c = Client()
c.connect()
expiry = '20130201'
cbkeys = [Option('BAC', expiry, 'C', 10),
Option('BAC', expiry, 'C', 11),
Option('BAC', expiry, 'C', 12)]
pbkeys = [Option('BAC', expiry, 'P', 10),
Option('BAC', expiry, 'P', 11),
Option('BAC', expiry, 'P', 12)]
cbinkeys = [Option('BAC', expiry, 'C', 10.5),
Option('BAC', expiry, 'C', 11),
Option('BAC', expiry, 'C', 11.5)]
pbinkeys = [Option('BAC', expiry, 'P', 10.5),
Option('BAC', expiry, 'P', 11),
import signal
import sys
from ib.client import Client
from ib.contractkeys import Stock, Option, OptionLocal, Currency
from com.ib.client import Contract, ExecutionFilter
import ib.client
import ib.combo_orders as co
ib.client.LOGLEVEL = logging.DEBUG
def cleanup(signal, frame):
c.disconnect()
sys.exit(0)
c = Client()
c.connect()
spot_prices = [x*.01 for x in range(800, 1301)]
symbol = 'BAC'
expirys = ('20130201', '20130215')
strikes = range(9, 13)
keys = [Stock(symbol)]
keys += [Option(symbol, x, y, z) for x in expirys for y in ['C', 'P'] for z in strikes]
contracts = [c.request_contract_details(x)[0].m_summary.m_conId for x in keys]
id_to_key = dict(zip(contracts, keys))
pairs = [(x, y) for x in contracts for y in contracts if x != y]
triples = [(x, y, z) for x in contracts for y in contracts for z in contracts
#!/usr/local/bin/jython import logging import signal import sys from ib.client import Client from ib.contractkeys import Currency, CurrencyLocal, Stock, Option, OptionLocal from com.ib.client import Contract, ExecutionFilter import ib.client import ib.combo_orders as co ib.client.LOGLEVEL = logging.DEBUG def cleanup(signal, frame): c.disconnect() sys.exit(0) c = Client() c.connect() symbol = 'EMC' expiry = '20130125' right = 'C' details = c.request_contract_details(Option(symbol, expiry, right, None)) a = [(x.m_summary.m_conId, x.m_summary.m_strike) for x in details] [c.request_historical_data(x.m_summary, end_time='20130123 15:50:00', duration='1 D', bar_size='1 min', show='ASK') for x in details] signal.signal(signal.SIGINT, cleanup)
from collections import namedtuple
import glob
import os
import shutil
import signal
import sys
from ib.client import Client
from ib.contractkeys import ContractId
pattern = './Butterfly*.mkt'
newdirname = '%(symbol)s_%(expiry)s_%(right)s'
newfilename = '%(strike1)06.2f_%(strike2)06.2f_%(strike3)06.2f.mkt'
if __name__ == "__main__":
c = Client(client_id=8)
c.connect()
filenames = glob.glob(pattern)
for filename in filenames:
conIds = filename.split('.mkt')[0].split('_')[1:]
conIds = [int(x) for x in conIds]
strikes = []
for conId in conIds:
contract = c.request_contract_details(ContractId(conId))[0].m_summary
strikes.append(contract.m_strike)
ndname = newdirname % {'symbol': contract.m_symbol,
'expiry': contract.m_expiry,
'right': contract.m_right}
if not os.path.exists(ndname): os.makedirs(ndname)
nfname = newfilename % {'strike1': strikes[0],
'strike2': strikes[1],
def __init__(self, host='', port=7496, client_id=82, paper_trader=False):
self.client = Client(client_id)
self.client.connect(host, port)
self.paper_trader = paper_trader
class Reversal():
action_base = {'m_exchange': 'SMART', 'm_openClose': 0,
'm_shortSaleSlot': 0, 'm_designatedLocation': ''}
option_base = {'m_secType': 'OPT', 'm_exchange': 'SMART',
'm_currency': 'USD'}
stock_base = {'m_secType': 'STK', 'm_exchange': 'SMART',
'm_currency': 'USD'}
combo_base = {'m_symbol': 'USD', 'm_secType': 'BAG', 'm_exchange': 'SMART',
'm_currency': 'USD'}
def __init__(self, host='', port=7496, client_id=82, paper_trader=False):
self.client = Client(client_id)
self.client.connect(host, port)
self.paper_trader = paper_trader
def enter_position(self, ticker, expiry, strike, qty=1, longshort=True):
''' ticker, strike, and expiry are all strings.
expiry should be in the form YYMMDD.
'''
self.request_contract_ids(ticker, expiry, strike)
if self.get_contract_ids():
if self.paper_trader:
self.gen_separate_orders(qty, longshort)
order_ids = self.place_separate_orders()
return order_ids
else:
self.gen_combo_contract()
self.gen_order(qty, longshort=longshort)
order_id = self.client.nextId
self.place_order()
return order_id
else:
errmsg = 'Not all legs exist for ticker %s expiry %s strike %s'
errmsg = errmsg % (ticker, expiry, str(strike))
logger.error('%s %s %s' % ('*'*3, errmsg, '*'*3))
return False
def request_contract_ids(self, ticker, expiry, strike):
if len(expiry) != 6:
msg = 'Expiry format should be YYMMDD, not %s' % str(expiry)
logger.fatal(msg)
raise Exception(msg)
ticker = ticker.upper().strip()
strike = Decimal(str(strike))*1000
call_id = '%-6s%s%s%08i' %(ticker, expiry, 'C', strike)
put_id = '%-6s%s%s%08i' %(ticker, expiry, 'P', strike)
call = dict(self.option_base.items()
+ {'m_localSymbol': call_id}.items())
stock = dict(self.stock_base.items()
+ {'m_symbol': ticker}.items())
put = dict(self.option_base.items()
+ {'m_localSymbol': put_id}.items())
self.c_req = self.client.request_contract(call)
self.s_req = self.client.request_contract(stock)
self.p_req = self.client.request_contract(put)
def get_contract_ids(self):
all_requests = (self.client.req_contracts.keys()
+ self.client.failed_contracts.keys())
count = 0
while (self.c_req not in all_requests
or self.s_req not in all_requests
or self.p_req not in all_requests):
count += 1
if count % 10 == 0:
msg = 'On iteration %i for requests %i, %i, %i'
msgdata = (count, self.c_req, self.s_req, self.p_req)
logger.debug(msg, *msgdata)
sleep(.1)
all_requests = (self.client.req_contracts.keys()
+ self.client.failed_contracts.keys())
msg = 'Took %0.1f seconds to get contract info for requests %i, %i, %i'
msgdata = (count*0.1, self.c_req, self.s_req, self.p_req)
logger.debug(msg, *msgdata)
if (self.c_req
or self.s_req
or self.p_req) in self.client.failed_contracts: return False
self.c_con_id = self.client.req_contracts[self.c_req][0].m_conId
self.s_con_id = self.client.req_contracts[self.s_req][0].m_conId
self.p_con_id = self.client.req_contracts[self.p_req][0].m_conId
return True
def gen_combo_contract(self):
c_action = dict({'m_conId': self.c_con_id, 'm_action': 'BUY',
'm_ratio': 1}.items() + self.action_base.items())
s_action = dict({'m_conId': self.s_con_id, 'm_action': 'SELL',
'm_ratio': 100}.items() + self.action_base.items())
p_action = dict({'m_conId': self.p_con_id, 'm_action': 'SELL',
'm_ratio': 1}.items() + self.action_base.items())
legs = Vector()
legs.add(ComboLeg(**c_action))
legs.add(ComboLeg(**s_action))
legs.add(ComboLeg(**p_action))
combo_params = dict({'m_comboLegs': legs}.items()
+ self.combo_base.items())
self.combo_contract = Contract()
[setattr(self.combo_contract, m, combo_params[m])
for m in dir(self.combo_contract) if m in combo_params]
def gen_separate_orders(self, qty=1, longshort=True):
qty = int(qty)
c_order = {'m_totalQuantity': 1*qty, 'm_orderType': 'MKT'}
s_order = {'m_totalQuantity': 100*qty, 'm_orderType': 'MKT'}
p_order = {'m_totalQuantity': 1*qty, 'm_orderType': 'MKT'}
if longshort:
c_order['m_action'] = 'BUY'
s_order['m_action'] = 'SELL'
p_order['m_action'] = 'SELL'
else:
c_order['m_action'] = 'SELL'
s_order['m_action'] = 'BUY'
p_order['m_action'] = 'BUY'
self.c_order = Order(**c_order)
self.s_order = Order(**s_order)
self.p_order = Order(**p_order)
def gen_order(self, qty, longshort=True):
qty = int(qty)
self.order = Order()
order_params = {'m_totalQuantity': qty, 'm_orderType': 'MKT'}
if longshort: order_params['m_action'] = 'BUY'
else: order_params['m_action'] = 'SELL'
[setattr(self.order, m, order_params[m]) for m in dir(self.order)
if m in order_params]
def place_separate_orders(self):
order_ids = [self.client.nextId]
self.client.m_client.placeOrder(self.client.nextId,
self.client.req_contracts[self.c_req][0],
self.c_order)
self.client.m_client.reqIds(1)
while order_ids[-1] == self.client.nextId:
logger.debug('order %i still processing', order_ids[-1])
sleep(.025)
self.client.m_client.reqIds(1)
order_ids.append(self.client.nextId)
self.client.m_client.placeOrder(self.client.nextId,
self.client.req_contracts[self.s_req][0],
self.s_order)
self.client.m_client.reqIds(1)
while order_ids[-1] == self.client.nextId:
logger.debug('order %i still processing', order_ids[-1])
sleep(.025)
self.client.m_client.reqIds(1)
order_ids.append(self.client.nextId)
self.client.m_client.placeOrder(self.client.nextId,
self.client.req_contracts[self.p_req][0],
self.p_order)
self.client.m_client.reqIds(1)
while order_ids[-1] == self.client.nextId:
sleep(.02)
self.client.m_client.reqIds(1)
return order_ids
def place_order(self):
self.client.m_client.placeOrder(self.client.nextId,
self.combo_contract,
self.order)
self.client.m_client.reqIds(1)
