def makeContract(self, symbol):
c = Contract()
c.m_symbol = symbol
c.m_secType = "STK"
c.m_currency = "USD"
c.m_exchange = "SMART"
return c
def makeStkContract(symbol, cur = 'USD'):
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = 'STK'
contract.m_exchange = 'SMART'
contract.m_currency = cur
return contract
def addfutur(ticker, exchg, expiry):
c = Contract()
c.m_symbol = ticker
c.m_secType = 'FUT'
c.m_exchange = exchg
c.m_expiry = expiry
addcontract(c, "Fut(" + exchg + ", " + expiry + ")")
def reqMktData(self):
contract = Contract() #
contract.m_symbol = 'AUD'
contract.m_currency = 'USD'
contract.m_secType = 'CASH'
contract.m_exchange = 'IDEALPRO'
self.connection.reqMktData(1, contract, '', False)
def create_option_ticker(self, ticker, currency='USD', exchange='SMART'):
c = Contract()
c.m_secType = 'OPT'
c.m_localSymbol = ticker
c.m_currency = currency
c.m_exchange = exchange
return c
def subscribe_to_market_data(self,
symbol,
sec_type='STK',
exchange='SMART',
currency='USD'):
if symbol in self.symbol_to_ticker_id:
# Already subscribed to market data
return
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = symbol_to_sec_type[symbol]
contract.m_exchange = symbol_to_exchange[symbol]
contract.m_currency = currency
ticker_id = self.next_ticker_id
self.symbol_to_ticker_id[symbol] = ticker_id
self.ticker_id_to_symbol[ticker_id] = symbol
# INDEX tickers cannot be requested with market data. The data can,
# however, be requested with realtimeBars. This change will make
# sure we can request data from INDEX tickers like SPX, VIX, etc.
if contract.m_secType == 'IND':
self.reqRealTimeBars(ticker_id, contract, 60, 'TRADES', True)
else:
tick_list = "233" # RTVolume, return tick_type == 48
self.reqMktData(ticker_id, contract, tick_list, False)
sleep(11)
def inner():
con.reqAccountUpdates(1, '')
qqqq = Contract()
qqqq.m_symbol = 'QQQQ'
qqqq.m_secType = 'STK'
qqqq.m_exchange = 'SMART'
con.reqMktData(1, qqqq, '', False)
def start(self):
"""Start the connection and read the realtime bars for the specified
tickers.
"""
# connection and handler
self.connection = ibConnection(
host=self.host,
port=self.port,
clientId=self.client_id)
# registration
self.connection.register( self.ticker_updated, message.RealtimeBar )
# connect
self.connection.connect()
for inx,stock in enumerate(self.stocks):
print "Requesting:\t%d = %s" % (inx,stock)
# create the contract
contract = Contract()
contract.m_symbol = stock
contract.m_secType = 'STK'
contract.m_exchange = self.exchange
contract.m_currency = 'USD'
self.connection.reqRealTimeBars(inx, contract, 5, 'TRADES', False)
def makeStkContract(contractTuple):
newContract = Contract()
newContract.m_symbol = contractTuple[0]
newContract.m_secType = contractTuple[1]
newContract.m_exchange = contractTuple[2]
newContract.m_currency = contractTuple[3]
return newContract
def addstock(ticker, exchg, cur = None):
c = Contract()
c.m_symbol = ticker
c.m_secType = 'STK'
c.m_exchange = exchg
if cur != None:
c.m_currency = cur
addcontract(c, "Stock(" + exchg + ")")
def createContract(symbol, secType='STK', exchange='SMART', currency='USD'):
""" contract factory function """
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = secType
contract.m_exchange = exchange
contract.m_currency = currency
return contract
def build_qqq_msg(symbol_id):
print i
qqq = Contract()
qqq.m_symbol = i
qqq.m_secType = ibsecType
qqq.m_exchange = ibexchange
qqq.m_currency = cashcurr
return qqq
def createContract(symbol):
''' create contract object '''
c = Contract()
c.m_symbol = symbol
c.m_secType= "STK"
c.m_exchange = "SMART"
c.m_currency = "USD"
return c
def addindex(self, ticker, exchg): c = Contract() c.m_symbol = ticker c.m_secType = 'IND' c.m_exchange = exchg cid = self.registercontract(c) if not self.isActiveContract(cid): self.activateContract(cid) return(cid)
def makeStkContract(contractTuple):
newContract = Contract()
newContract.m_symbol = contractTuple[0]
newContract.m_secType = contractTuple[1]
newContract.m_exchange = contractTuple[2]
newContract.m_currency = contractTuple[3]
print 'Contract Values:%s,%s,%s,%s:' % contractTuple
return newContract
def request_data(self):
for ticker_id, instrument in self.instruments.items():
contract = Contract()
contract.m_symbol = instrument['symbol']
contract.m_currency = instrument['currency']
contract.m_secType = instrument['secType']
contract.m_exchange = instrument['exchange']
self.contracts[instrument['symbol']] = contract
self.connection.reqMktData(ticker_id, contract, '', False)
def createContract(symbol,secType='STK',exchange='SMART',currency='USD'):
''' create contract object '''
c = Contract()
c.m_symbol = symbol
c.m_secType= secType
c.m_exchange = exchange
c.m_currency = currency
return c
def createContract(symbol, secType="STK", exchange="SMART", currency="USD"):
""" contract factory function """
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = secType
contract.m_exchange = exchange
contract.m_currency = currency
return contract
def createContract(self, symbol, secType="STK",
exchange="SMART", currency="USD"):
"""Create and store a contact from the given symbol"""
c = Contract()
c.m_symbol = symbol
c.m_secType = secType
c.m_exchange = exchange
c.m_currency = currency
return c
def addfuture(self, ticker, exchg, expiry): c = Contract() c.m_symbol = ticker c.m_secType = 'FUT' c.m_exchange = exchg c.m_expiry = expiry cid = self.registercontract(c) if not self.isActiveContract(cid): self.activateContract(cid) return(cid)
def contract(self):
symbol = self.symbolName.text()
security = self.secType.currentText()
exchange = self.exchangeName.currentText()
contract = Contract()
contract.m_symbol = str(symbol)
contract.m_secType = str(security)
contract.m_exchange = str(exchange)
contract.m_currency = 'USD'
return contract
def addSymbol(self, symbol, secType="STK", exchange="SMART"):
"""Create and store a contact from the given symbol"""
c = Contract()
c.m_symbol = symbol
c.m_secType = secType
c.m_exchange = exchange
c.m_currency = self.currency
self._contracts[symbol] = self._next_valid_id, c
self._next_valid_id += 1
return self._next_valid_id - 1
def subscribe(self, subscribeReq):
"""订阅行情"""
# 订阅行情
self.tickerId += 1
contract = Contract()
contract.m_symbol = str(subscribeReq.symbol)
contract.m_exchange = exchangeMap.get(subscribeReq.exchange, '')
contract.m_secType = productClassMap.get(subscribeReq.productClass, '')
contract.m_currency = currencyMap.get(subscribeReq.currency, '')
contract.m_expiry = subscribeReq.expiry
contract.m_strike = subscribeReq.strikePrice
contract.m_right = optionTypeMap.get(subscribeReq.optionType, '')
# 考虑设计为针对期货用代码_到期日的方式来代替单纯的代码
if contract.m_secType == 'FUT' and not subscribeReq.expiry:
# 期货 如果没有设置过期时间, 默认设置为下个月
dt_obj = datetime.now()
days = calendar.monthrange(dt_obj.year, dt_obj.month)[1]
nextMonth = dt_obj + timedelta(days=(days - dt_obj.day + 1))
contract.m_expiry = nextMonth.strftime('%Y%m')
self.connection.reqMktData(self.tickerId, contract, '', False)
# 获取合约详细信息
self.connection.reqContractDetails(self.tickerId, contract)
# 创建Tick对象并保存到字典中
tick = VtTickData()
tick.symbol = subscribeReq.symbol
tick.exchange = subscribeReq.exchange
tick.vtSymbol = '.'.join([tick.symbol, tick.exchange])
tick.gatewayName = self.gatewayName
tick.__setattr__('m_secType', productClassMap.get(subscribeReq.productClass, ''))
self.tickDict[self.tickerId] = tick
def addstock(self, ticker, exchg, cur): #print ticker + " " + exchg + " " + cur c = Contract() c.m_symbol = ticker c.m_secType = 'STK' c.m_exchange = exchg c.m_currency = cur cid = self.registercontract(c) if not self.isActiveContract(cid): self.activateContract(cid) return(cid)
def newContract(symbol, secType, optType="", strike=0, expiry=""):
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = secType
contract.m_exchange = "SMART"
contract.m_primaryExchange = "SMART"
contract.m_currency = "USD"
contract.m_expiry = expiry # dateString
contract.m_strike = float(strike)
contract.m_multiplier = 100
contract.m_right = optType
return contract
def download_contracts(self):
contract = Contract()
contract.m_exchange = "SMART"
contract.m_secType = "OPT"
contract.m_currency = "USD"
contract.m_symbol = self._ticker
self._con.reqContractDetails(1, contract)
self._wait = True
i = 0
while self._wait and i < 90:
i += 1 ; print i,
time.sleep(1)
print ''
def __init__(self, name):
c = Contract()
c.m_symbol = name
c.m_secType = "STK"
# ib-tws server connection
con = Pyro.core.getProxyForURI("PYRONAME://serverInterface")
# get the first contract of the list comming from the details
contract = con.reqContractDetails(c)[0].m_summary
IBContract.__init__(self, contract)
def makeContract(self, symbol, **kwds):
contract = Contract()
kwds["symbol"] = symbol
attrs = [k for k in dir(contract) if k.startswith("m_")]
for attr in attrs:
kwd = attr[2:]
if kwd in kwds:
setattr(contract, attr, kwds[kwd])
## set these even if they're already set
contract.m_secType = kwds.get("secType", "STK")
contract.m_exchange = kwds.get("exchange", "SMART")
contract.m_currency = kwds.get("currency", "USD")
return contract
def sendOrder(self, orderReq):
"""发单"""
# 增加报单号1，最后再次进行查询
# 这里双重设计的目的是为了防止某些情况下，连续发单时，nextOrderId的回调推送速度慢导致没有更新
self.orderId += 1
# 创建合约对象
contract = Contract()
contract.m_symbol = str(orderReq.symbol)
contract.m_exchange = exchangeMap.get(orderReq.exchange, '')
contract.m_secType = productClassMap.get(orderReq.productClass, '')
contract.m_currency = currencyMap.get(orderReq.currency, '')
contract.m_expiry = orderReq.expiry
contract.m_strike = orderReq.strikePrice
contract.m_right = optionTypeMap.get(orderReq.optionType, '')
# 创建委托对象
order = Order()
order.m_orderId = self.orderId
order.m_clientId = self.clientId
order.m_action = directionMap.get(orderReq.direction, '')
order.m_lmtPrice = orderReq.price
order.m_totalQuantity = orderReq.volume
order.m_orderType = priceTypeMap.get(orderReq.priceType, '')
# 发送委托
self.connection.placeOrder(self.orderId, contract, order)
# 查询下一个有效编号
self.connection.reqIds(1)
def create_contract(self, symbol, secType, exchange, currency,
right = None, strike = None, expiry = None,
multiplier = None, tradingClass = None):
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = secType
contract.m_exchange = exchange
contract.m_currency = currency
contract.m_right = right
contract.m_strike = strike
contract.m_expiry = expiry
contract.m_multiplier = multiplier
contract.m_tradingClass = tradingClass
return contract
# ------------create contract legs
# for simplicity, I just set each leg to buy 1 share
legs = []
for conId in contractIds:
leg = ComboLeg()
leg.m_conId = conId
leg.m_ratio = 1
leg.m_action = "BUY"
leg.m_exchange = "SMART"
legs.append(leg)
#-------- create a contract with required legs
contract = Contract()
contract.m_symbol = "USD"
contract.m_secType = "BAG"
contract.m_exchange = "SMART"
contract.m_currency = "USD"
contract.m_comboLegs = legs
#----- create and place order
print('Placing order')
order = createOrder(orderId, shares=1) # create order
tws.placeOrder(orderId, contract, order) # place order
sleep(1) # wait before disconnecting
def contract_to_dict(contract):
"""Convert an IBPy Contract object to a dict containing any non-default values."""
default = Contract()
return {field: val for field, val in vars(contract).items() if val != getattr(default, field, None)}
def new_option_contract(symbol,
exchange,
expiry=None,
strike_price=None,
trading_class=None,
multiplier=100,
currency='USD',
is_expired=False):
''' Make a new option contract. Options, like futures, also require an expiration date plus a strike and a multiplier.
The function is implemented according to http://interactivebrokers.github.io/tws-api/basic_contracts.html
Args:
symbol: string of a symbol or local symbol for the contract
exchange: string of exchange name
is_local_symbol: a True/False flag
expiry: string; expiry month, e.g. '201610'
tradingClass: string
Returns:
a new future contract object
Raises:
None
'''
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = 'OPT'
contract.m_exchange = exchange
contract.m_expiry = expiry
contract.m_strike = strike_price
contract.m_right = "C"
contract.m_multiplier = multiplier
contract.m_currency = currency
# It is not unusual to find many option contracts with an
# almost identical description (i.e. underlying symbol, strike, last trading date, multiplier, etc.).
# Adding more details such as the trading class will help:
contract.m_tradingClass = trading_class
if is_expired:
contract.m_includeExpired = True
return contract
from ib.opt import Connection
from ib.ext.Contract import Contract
import time
import csv
Equity = Contract()
Equity.m_secType = 'Stk'
Equity.m_exchange = 'Smart'
Equity.m_currency = 'USD'
EquityList = ['XOM', 'JNJ', 'BRK B', 'JPM','GE','T','WFC','BAC','PG','CVX','VZ','PFE','MRK','HD','C','KO','DIS','V','UNH','PEP','PM','IBM','MO','SLB','ORCL','MMM','MDT','MA','WMT','MCD','ABBV','BMY','BA','HON','CVS','SPY']
PriceList = []
PriceData = csv.writer(open('/home/ori/price.csv','wb'))
def print_message_from_ib(msg):
print(msg)
def savepx(msg):
if msg.field == 4:
PriceList.insert(msg.tickerId,msg.price)
def main():
conn = Connection.create(port=7496,clientId=999)
conn.registerAll(print_message_from_ib)
conn.connect()
count = 0
for ticker in EquityList:
Equity.m_symbol = ticker
conn.register(savepx,'TickPrice')# move this out of loop, just do it once
conn.reqMktData(count,Equity,225,True)#true snapshot
def get_eod_options(
self,
contract_=Contract(),
eod_or_bod=True, # EOD or BOD options?
whatToShow_='MIDPOINT',
endDateTime_=datetime.datetime.now(),
numOfWeeks_=1,
sameContract_=False):
"""
The method returns EOD (3 min before close) and BOD data for options. It uses a different handler
Contract: Specifies the contract we are querying. ib.ext.Contract
eod_or_bod: end of the day or beginning of the day. Boolean
whatToShow: TRADE, MIDPOINT, BID, ASK, BID_ASK. From IB, string.
endDateTime_: The last datetime that you would like to be queried. string in the right format
numOfWeeks_: number of weekes we are iterating over. int
sameContract_: For storage purposes, if it is indeed the same contract then get_conId would return the same id
"""
# First step is to define a dictionary whill will be populated by IB API
con = ibConnection(port=4001, clientId=998)
#con.registerAll(self.watcher)
#con.register(self.my_hist_data_handler, message.historicalData)
#con.register(self.my_hist_option_eod_handler, message.historicalData)
if eod_or_bod:
con.register(self.my_hist_option_eod_handler,
message.historicalData)
else:
con.register(self.my_hist_option_bod_handler,
message.historicalData)
# Setting up the connection
con.connect()
# First we should clean up the temporary dataframe of ours
if not self.hist_data.empty:
self.hist_data.drop(range(self.hist_data.shape[0]), inplace=True)
# Putting the request in
weekEnd = endDateTime_
for i in xrange(numOfWeeks_):
con.reqHistoricalData(
tickerId=i,
contract=contract_,
endDateTime=weekEnd.strftime("%Y%m%d %H:%M:%S %Z"),
durationStr='1 W',
barSizeSetting='3 mins',
whatToShow=whatToShow_,
useRTH=0,
formatDate=1)
sleep(2)
print ' - Iteration %s Completed - ' % i
weekEnd = weekEnd - datetime.timedelta(days=7)
# Sleep
sleep(1)
# Canceling the request
con.cancelHistoricalData(tickerId=1)
# Adding One Thing Before Storing The Contract
self.hist_data['whatToShow'] = whatToShow_
self.hist_data['Ticker'] = contract_.m_symbol
self.hist_data.date = pd.to_datetime(self.hist_data.date)
# Storing The Data
conId = self.get_conId(sameContract=sameContract_)
self.store_historical_data(contract_, conId)
# Disconnecting
print('Disconnected', con.disconnect())
cnx.commit()
Flag = 1
logger.debug('Flag set to %s', Flag)
print(Flag)
return (Flag)
while Flag == 0:
logger.debug('Flag set to %s', Flag)
conn = Connection.create(port=4002, clientId=999)
conn.connect()
logger.debug('Connecting to Server')
time.sleep(1)
conn.register(
reply_handler, 'HistoricalData'
) #By registering "HistoricalData" --the Method name only --we can eliminate all the open order garbage
logger.debug('Registered HistoricalData Reply Handler')
time.sleep(1)
qqq = Contract()
qqq.m_symbol = Table
qqq.m_secType = 'STK'
qqq.m_exchange = 'SMART:ARCA'
qqq.m_currency = 'USD'
logger.debug('Requesting historical data')
conn.reqHistoricalData(1, qqq, '', '1 D', '1 day', 'TRADES', 0, 1)
logger.debug('Returned from Reply Handler')
time.sleep(1) #give IB time to send us messages
logger.debug('Disconnecting from Server')
conn.disconnect()
logger.debug('Finished Daily OHLC %s', Table)
self._reqId += 1
def makeOptContract(sym, exp, strike, right):
""" exp should be in (year/month/day) """
newOptContract = Contract()
newOptContract.m_symbol = sym
newOptContract.m_secType = 'OPT'
newOptContract.m_expiry = exp
newOptContract.m_strike = strike
newOptContract.m_right = right
newOptContract.m_multiplier = 100
newOptContract.m_exchange = 'SMART'
newOptContract.m_primaryExch = 'SMART'
newOptContract.m_currency = 'USD'
return newOptContract
if __name__ == '__main__':
dl = Downloader()
c = Contract()
c.m_symbol = 'SPY'
c.m_secType = 'STK'
c.m_exchange = 'SMART'
c.m_currency = 'USD'
#c = makeOptContract('SPY', '20190219', 270, 'CALL')
dl.requestData(c)
sleep(3)
print('Price - field 4: ', dl.field4price)
def __init__(self):
self.m_summary = Contract()
self.m_minTick = 0
self.m_underConId = 0
conn.register(reply_handler, 'Position')
conn.register(reply_handler_Orders, 'OpenOrder')
conn.register(reply_handler_Status, 'OrderStatus')
conn.register(reply_handler_Status, 'OrderStatus')
conn.register(reply_handler_Data, 'HistoricalData')
#conn.register(reply_handler_contract, 'Contract')
logger.debug('Requesting Positions')
conn.reqPositions() # will find the order if it was filled
logger.debug('Finished Positions')
time.sleep(1)
logger.debug('Requesting Open Orders')
conn.reqAllOpenOrders() # will find the order if it's open
time.sleep(1)
logger.debug('Finished Open Orders')
qqq = Contract()
qqq.m_symbol = CCY1
qqq.m_secType = 'CASH'
qqq.m_exchange = 'IDEALPRO'
qqq.m_currency = CCY2
logger.debug('Requesting historical data')
conn.reqHistoricalData(1, qqq, '', '60 S', '5 mins', 'Midpoint', 1, 1)
logger.debug('Returned from Reply Handler')
#qqq = Contract()
#qqq.m_symbol = 'EUR'
#qqq.m_secType = 'CASH'
#qqq.m_exchange = 'IDEALPRO'
#qqq.m_currency = 'USD'
#conn.reqHistoricalData(1, qqq, '', '60 S', '1 min', 'Midpoint', 1, 2)
##conn.reqContractDetails(1) #TWS returns two messages OrderStatus and Openorder only for submitted orders or partial fills
#time.sleep(1)
cnx.commit()
global Flag
Flag = 1
logger.debug('Flag set to 1')
while Flag == 0:
conn = Connection.create(port=4002, clientId=999)
conn.connect()
logger.debug('Connecting to Server')
time.sleep(1)
conn.register(
reply_handler, 'HistoricalData'
) #By registering "HistoricalData" --the Method name only --we can eliminate all the open order garbage
logger.debug('Registered HistoricalData Reply Handler')
#conn.registerall(reply_handler)
time.sleep(1)
qqq = Contract()
qqq.m_symbol = 'GBP'
qqq.m_secType = 'CASH'
qqq.m_exchange = 'IDEALPRO'
qqq.m_currency = 'NZD'
logger.debug('Requesting historical data')
conn.reqHistoricalData(1, qqq, '', '1 D', '1 day', 'Midpoint', 1, 2)
logger.debug('Returned from Reply Handler')
time.sleep(1) #give IB time to send us messages
logger.debug('Disconnecting from Server')
conn.disconnect()
logger.debug('Finished GBPNZD Daily OHLC')
cnx.commit()
global Flag
Flag = 1
logger.debug('Flag set to 1')
while Flag == 0:
conn = Connection.create(port=4002, clientId=999)
conn.connect()
logger.debug('Connecting to Server')
time.sleep(1)
conn.register(
reply_handler, 'HistoricalData'
) #By registering "HistoricalData" --the Method name only --we can eliminate all the open order garbage
logger.debug('Registered HistoricalData Reply Handler')
#conn.registerall(reply_handler)
time.sleep(1)
qqq = Contract()
qqq.m_symbol = 'USD'
qqq.m_secType = 'CASH'
qqq.m_exchange = 'IDEALPRO'
qqq.m_currency = 'ZAR'
logger.debug('Requesting historical data')
conn.reqHistoricalData(1, qqq, '', '1 D', '1 day', 'Midpoint', 1, 2)
logger.debug('Returned from Reply Handler')
time.sleep(1) #give IB time to send us messages
logger.debug('Disconnecting from Server')
conn.disconnect()
logger.debug('Finished USDZAR Daily OHLC')
def new_futures_contract(symbol,
exchange,
is_local_symbol,
expiry=None,
tradingClass=None,
currency='USD',
is_expired=False,
contract_id=0):
''' Make a new future contract
The function is implemented according to http://interactivebrokers.github.io/tws-api/basic_contracts.html
Args:
symbol: string of a symbol or local symbol for the contract
exchange: string of exchange name
is_local_symbol: a True/False flag
expiry: string; expiry month, e.g. '201610'
tradingClass: string
Returns:
a new future contract object
Raises:
None
'''
if is_local_symbol is False:
if expiry is None:
print('new_futures_contract: get incorrect args.')
return None
contract = Contract()
contract.m_secType = 'FUT'
contract.m_exchange = exchange
contract.m_currency = currency
contract.m_conId = contract_id
if is_local_symbol:
contract.m_localSymbol = symbol # e.g. 'VXV6', 'VXX6', 'VXZ6',
else:
contract.m_symbol = symbol
contract.m_expiry = expiry
if tradingClass is not None:
contract.m_tradingClass = tradingClass
if is_expired:
contract.m_includeExpired = True
return contract
def processMsg(self, msgId):
""" generated source for method processMsg """
if msgId == -1:
return False
if msgId == self.TICK_PRICE:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
price = self.readDouble()
size = 0
if version >= 2:
size = self.readInt()
canAutoExecute = 0
if version >= 3:
canAutoExecute = self.readInt()
self.eWrapper().tickPrice(tickerId, tickType, price,
canAutoExecute)
if version >= 2:
# not a tick
sizeTickType = -1
if tickType == 1:
# BID
sizeTickType = 0
# BID_SIZE
elif tickType == 2:
# ASK
sizeTickType = 3
# ASK_SIZE
elif tickType == 4:
# LAST
sizeTickType = 5
# LAST_SIZE
if sizeTickType != -1:
self.eWrapper().tickSize(tickerId, sizeTickType, size)
elif msgId == self.TICK_SIZE:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
size = self.readInt()
self.eWrapper().tickSize(tickerId, tickType, size)
elif msgId == self.TICK_OPTION_COMPUTATION:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
impliedVol = self.readDouble()
if impliedVol < 0: # -1 is the "not yet computed" indicator
impliedVol = Double.MAX_VALUE
delta = self.readDouble()
if abs(delta) > 1: # -2 is the "not yet computed" indicator
delta = Double.MAX_VALUE
optPrice = Double.MAX_VALUE
pvDividend = Double.MAX_VALUE
gamma = Double.MAX_VALUE
vega = Double.MAX_VALUE
theta = Double.MAX_VALUE
undPrice = Double.MAX_VALUE
if version >= 6 or (tickType == TickType.MODEL_OPTION):
# introduced in version == 5
optPrice = self.readDouble()
if optPrice < 0: # -1 is the "not yet computed" indicator
optPrice = Double.MAX_VALUE
pvDividend = self.readDouble()
if pvDividend < 0: # -1 is the "not yet computed" indicator
pvDividend = Double.MAX_VALUE
if version >= 6:
gamma = self.readDouble()
if abs(gamma) > 1: # -2 is the "not yet computed" indicator
gamma = Double.MAX_VALUE
vega = self.readDouble()
if abs(vega) > 1: # -2 is the "not yet computed" indicator
vega = Double.MAX_VALUE
theta = self.readDouble()
if abs(theta) > 1: # -2 is the "not yet computed" indicator
theta = Double.MAX_VALUE
undPrice = self.readDouble()
if undPrice < 0: # -1 is the "not yet computed" indicator
undPrice = Double.MAX_VALUE
self.eWrapper().tickOptionComputation(tickerId, tickType,
impliedVol, delta, optPrice,
pvDividend, gamma, vega,
theta, undPrice)
elif msgId == self.TICK_GENERIC:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
value = self.readDouble()
self.eWrapper().tickGeneric(tickerId, tickType, value)
elif msgId == self.TICK_STRING:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
value = self.readStr()
self.eWrapper().tickString(tickerId, tickType, value)
elif msgId == self.TICK_EFP:
version = self.readInt()
tickerId = self.readInt()
tickType = self.readInt()
basisPoints = self.readDouble()
formattedBasisPoints = self.readStr()
impliedFuturesPrice = self.readDouble()
holdDays = self.readInt()
futureExpiry = self.readStr()
dividendImpact = self.readDouble()
dividendsToExpiry = self.readDouble()
self.eWrapper().tickEFP(tickerId, tickType, basisPoints,
formattedBasisPoints, impliedFuturesPrice,
holdDays, futureExpiry, dividendImpact,
dividendsToExpiry)
elif msgId == self.ORDER_STATUS:
version = self.readInt()
id = self.readInt()
status = self.readStr()
filled = self.readInt()
remaining = self.readInt()
avgFillPrice = self.readDouble()
permId = 0
if version >= 2:
permId = self.readInt()
parentId = 0
if version >= 3:
parentId = self.readInt()
lastFillPrice = 0
if version >= 4:
lastFillPrice = self.readDouble()
clientId = 0
if version >= 5:
clientId = self.readInt()
whyHeld = None
if version >= 6:
whyHeld = self.readStr()
self.eWrapper().orderStatus(id, status, filled, remaining,
avgFillPrice, permId, parentId,
lastFillPrice, clientId, whyHeld)
elif msgId == self.ACCT_VALUE:
version = self.readInt()
key = self.readStr()
val = self.readStr()
cur = self.readStr()
accountName = None
if version >= 2:
accountName = self.readStr()
self.eWrapper().updateAccountValue(key, val, cur, accountName)
elif msgId == self.PORTFOLIO_VALUE:
version = self.readInt()
contract = Contract()
if version >= 6:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 7:
contract.m_multiplier = self.readStr()
contract.m_primaryExch = self.readStr()
contract.m_currency = self.readStr()
if version >= 2:
contract.m_localSymbol = self.readStr()
position = self.readInt()
marketPrice = self.readDouble()
marketValue = self.readDouble()
averageCost = 0.0
unrealizedPNL = 0.0
realizedPNL = 0.0
if version >= 3:
averageCost = self.readDouble()
unrealizedPNL = self.readDouble()
realizedPNL = self.readDouble()
accountName = None
if version >= 4:
accountName = self.readStr()
if version == 6 and self.m_parent.serverVersion() == 39:
contract.m_primaryExch = self.readStr()
self.eWrapper().updatePortfolio(contract, position, marketPrice,
marketValue, averageCost,
unrealizedPNL, realizedPNL,
accountName)
elif msgId == self.ACCT_UPDATE_TIME:
version = self.readInt()
timeStamp = self.readStr()
self.eWrapper().updateAccountTime(timeStamp)
elif msgId == self.ERR_MSG:
version = self.readInt()
if version < 2:
msg = self.readStr()
self.m_parent.error(msg)
else:
id = self.readInt()
errorCode = self.readInt()
errorMsg = self.readStr()
self.m_parent.error(id, errorCode, errorMsg)
elif msgId == self.OPEN_ORDER:
# read version
version = self.readInt()
# read order id
order = Order()
order.m_orderId = self.readInt()
# read contract fields
contract = Contract()
if version >= 17:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
if version >= 2:
contract.m_localSymbol = self.readStr()
# read order fields
order.m_action = self.readStr()
order.m_totalQuantity = self.readInt()
order.m_orderType = self.readStr()
if version < 29:
order.m_lmtPrice = self.readDouble()
else:
order.m_lmtPrice = self.readDoubleMax()
if version < 30:
order.m_auxPrice = self.readDouble()
else:
order.m_auxPrice = self.readDoubleMax()
order.m_tif = self.readStr()
order.m_ocaGroup = self.readStr()
order.m_account = self.readStr()
order.m_openClose = self.readStr()
order.m_origin = self.readInt()
order.m_orderRef = self.readStr()
if version >= 3:
order.m_clientId = self.readInt()
if version >= 4:
order.m_permId = self.readInt()
if version < 18:
# will never happen
# order.m_ignoreRth =
self.readBoolFromInt()
else:
order.m_outsideRth = self.readBoolFromInt()
order.m_hidden = self.readInt() == 1
order.m_discretionaryAmt = self.readDouble()
if version >= 5:
order.m_goodAfterTime = self.readStr()
if version >= 6:
# skip deprecated sharesAllocation field
self.readStr()
if version >= 7:
order.m_faGroup = self.readStr()
order.m_faMethod = self.readStr()
order.m_faPercentage = self.readStr()
order.m_faProfile = self.readStr()
if version >= 8:
order.m_goodTillDate = self.readStr()
if version >= 9:
order.m_rule80A = self.readStr()
order.m_percentOffset = self.readDoubleMax()
order.m_settlingFirm = self.readStr()
order.m_shortSaleSlot = self.readInt()
order.m_designatedLocation = self.readStr()
if self.m_parent.serverVersion() == 51:
self.readInt() # exemptCode
elif version >= 23:
order.m_exemptCode = self.readInt()
order.m_auctionStrategy = self.readInt()
order.m_startingPrice = self.readDoubleMax()
order.m_stockRefPrice = self.readDoubleMax()
order.m_delta = self.readDoubleMax()
order.m_stockRangeLower = self.readDoubleMax()
order.m_stockRangeUpper = self.readDoubleMax()
order.m_displaySize = self.readInt()
if version < 18:
# will never happen
# order.m_rthOnly =
self.readBoolFromInt()
order.m_blockOrder = self.readBoolFromInt()
order.m_sweepToFill = self.readBoolFromInt()
order.m_allOrNone = self.readBoolFromInt()
order.m_minQty = self.readIntMax()
order.m_ocaType = self.readInt()
order.m_eTradeOnly = self.readBoolFromInt()
order.m_firmQuoteOnly = self.readBoolFromInt()
order.m_nbboPriceCap = self.readDoubleMax()
if version >= 10:
order.m_parentId = self.readInt()
order.m_triggerMethod = self.readInt()
if version >= 11:
order.m_volatility = self.readDoubleMax()
order.m_volatilityType = self.readInt()
if version == 11:
receivedInt = self.readInt()
order.m_deltaNeutralOrderType = ("NONE" if
(receivedInt
== 0) else "MKT")
else:
# version 12 and up
order.m_deltaNeutralOrderType = self.readStr()
order.m_deltaNeutralAuxPrice = self.readDoubleMax()
if version >= 27 and not Util.StringIsEmpty(
order.m_deltaNeutralOrderType):
order.m_deltaNeutralConId = self.readInt()
order.m_deltaNeutralSettlingFirm = self.readStr()
order.m_deltaNeutralClearingAccount = self.readStr()
order.m_deltaNeutralClearingIntent = self.readStr()
order.m_continuousUpdate = self.readInt()
if self.m_parent.serverVersion() == 26:
order.m_stockRangeLower = self.readDouble()
order.m_stockRangeUpper = self.readDouble()
order.m_referencePriceType = self.readInt()
if version >= 13:
order.m_trailStopPrice = self.readDoubleMax()
if version >= 30:
order.m_trailingPercent = self.readDoubleMax()
if version >= 14:
order.m_basisPoints = self.readDoubleMax()
order.m_basisPointsType = self.readIntMax()
contract.m_comboLegsDescrip = self.readStr()
if version >= 29:
comboLegsCount = self.readInt()
if comboLegsCount > 0:
contract.m_comboLegs = []
i = 0
while i < comboLegsCount:
conId = self.readInt()
ratio = self.readInt()
action = self.readStr()
exchange = self.readStr()
openClose = self.readInt()
shortSaleSlot = self.readInt()
designatedLocation = self.readStr()
exemptCode = self.readInt()
comboLeg = ComboLeg(conId, ratio, action, exchange,
openClose, shortSaleSlot,
designatedLocation, exemptCode)
contract.m_comboLegs.append(comboLeg)
i += 1
orderComboLegsCount = self.readInt()
if orderComboLegsCount > 0:
order.m_orderComboLegs = []
i = 0
while i < orderComboLegsCount:
price = self.readDoubleMax()
orderComboLeg = OrderComboLeg(price)
order.m_orderComboLegs.append(orderComboLeg)
i += 1
if version >= 26:
smartComboRoutingParamsCount = self.readInt()
if smartComboRoutingParamsCount > 0:
order.m_smartComboRoutingParams = []
i = 0
while i < smartComboRoutingParamsCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
order.m_smartComboRoutingParams.append(tagValue)
i += 1
if version >= 15:
if version >= 20:
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scaleSubsLevelSize = self.readIntMax()
else:
# int notSuppScaleNumComponents =
self.readIntMax()
order.m_scaleInitLevelSize = self.readIntMax()
order.m_scalePriceIncrement = self.readDoubleMax()
if version >= 28 and order.m_scalePriceIncrement > 0.0 and order.m_scalePriceIncrement != Double.MAX_VALUE:
order.m_scalePriceAdjustValue = self.readDoubleMax()
order.m_scalePriceAdjustInterval = self.readIntMax()
order.m_scaleProfitOffset = self.readDoubleMax()
order.m_scaleAutoReset = self.readBoolFromInt()
order.m_scaleInitPosition = self.readIntMax()
order.m_scaleInitFillQty = self.readIntMax()
order.m_scaleRandomPercent = self.readBoolFromInt()
if version >= 24:
order.m_hedgeType = self.readStr()
if not Util.StringIsEmpty(order.m_hedgeType):
order.m_hedgeParam = self.readStr()
if version >= 25:
order.m_optOutSmartRouting = self.readBoolFromInt()
if version >= 19:
order.m_clearingAccount = self.readStr()
order.m_clearingIntent = self.readStr()
if version >= 22:
order.m_notHeld = self.readBoolFromInt()
if version >= 20:
if self.readBoolFromInt():
underComp = UnderComp()
underComp.m_conId = self.readInt()
underComp.m_delta = self.readDouble()
underComp.m_price = self.readDouble()
contract.m_underComp = underComp
if version >= 21:
order.m_algoStrategy = self.readStr()
if not Util.StringIsEmpty(order.m_algoStrategy):
algoParamsCount = self.readInt()
if algoParamsCount > 0:
order.m_algoParams = []
i = 0
while i < algoParamsCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
order.m_algoParams.append(tagValue)
i += 1
orderState = OrderState()
if version >= 16:
order.m_whatIf = self.readBoolFromInt()
orderState.m_status = self.readStr()
orderState.m_initMargin = self.readStr()
orderState.m_maintMargin = self.readStr()
orderState.m_equityWithLoan = self.readStr()
orderState.m_commission = self.readDoubleMax()
orderState.m_minCommission = self.readDoubleMax()
orderState.m_maxCommission = self.readDoubleMax()
orderState.m_commissionCurrency = self.readStr()
orderState.m_warningText = self.readStr()
self.eWrapper().openOrder(order.m_orderId, contract, order,
orderState)
elif msgId == self.NEXT_VALID_ID:
version = self.readInt()
orderId = self.readInt()
self.eWrapper().nextValidId(orderId)
elif msgId == self.SCANNER_DATA:
contract = ContractDetails()
version = self.readInt()
tickerId = self.readInt()
numberOfElements = self.readInt()
ctr = 0
while ctr < numberOfElements:
rank = self.readInt()
if version >= 3:
contract.m_summary.m_conId = self.readInt()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_summary.m_expiry = self.readStr()
contract.m_summary.m_strike = self.readDouble()
contract.m_summary.m_right = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_summary.m_localSymbol = self.readStr()
contract.m_marketName = self.readStr()
contract.m_tradingClass = self.readStr()
distance = self.readStr()
benchmark = self.readStr()
projection = self.readStr()
legsStr = None
if version >= 2:
legsStr = self.readStr()
self.eWrapper().scannerData(tickerId, rank, contract, distance,
benchmark, projection, legsStr)
ctr += 1
self.eWrapper().scannerDataEnd(tickerId)
elif msgId == self.CONTRACT_DATA:
version = self.readInt()
reqId = -1
if version >= 3:
reqId = self.readInt()
contract = ContractDetails()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_summary.m_expiry = self.readStr()
contract.m_summary.m_strike = self.readDouble()
contract.m_summary.m_right = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_summary.m_localSymbol = self.readStr()
contract.m_marketName = self.readStr()
contract.m_tradingClass = self.readStr()
contract.m_summary.m_conId = self.readInt()
contract.m_minTick = self.readDouble()
contract.m_summary.m_multiplier = self.readStr()
contract.m_orderTypes = self.readStr()
contract.m_validExchanges = self.readStr()
if version >= 2:
contract.m_priceMagnifier = self.readInt()
if version >= 4:
contract.m_underConId = self.readInt()
if version >= 5:
contract.m_longName = self.readStr()
contract.m_summary.m_primaryExch = self.readStr()
if version >= 6:
contract.m_contractMonth = self.readStr()
contract.m_industry = self.readStr()
contract.m_category = self.readStr()
contract.m_subcategory = self.readStr()
contract.m_timeZoneId = self.readStr()
contract.m_tradingHours = self.readStr()
contract.m_liquidHours = self.readStr()
if version >= 8:
contract.m_evRule = self.readStr()
contract.m_evMultiplier = self.readDouble()
if version >= 7:
secIdListCount = self.readInt()
if secIdListCount > 0:
contract.m_secIdList = []
i = 0
while i < secIdListCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
contract.m_secIdList.append(tagValue)
i += 1
self.eWrapper().contractDetails(reqId, contract)
elif msgId == self.BOND_CONTRACT_DATA:
version = self.readInt()
reqId = -1
if version >= 3:
reqId = self.readInt()
contract = ContractDetails()
contract.m_summary.m_symbol = self.readStr()
contract.m_summary.m_secType = self.readStr()
contract.m_cusip = self.readStr()
contract.m_coupon = self.readDouble()
contract.m_maturity = self.readStr()
contract.m_issueDate = self.readStr()
contract.m_ratings = self.readStr()
contract.m_bondType = self.readStr()
contract.m_couponType = self.readStr()
contract.m_convertible = self.readBoolFromInt()
contract.m_callable = self.readBoolFromInt()
contract.m_putable = self.readBoolFromInt()
contract.m_descAppend = self.readStr()
contract.m_summary.m_exchange = self.readStr()
contract.m_summary.m_currency = self.readStr()
contract.m_marketName = self.readStr()
contract.m_tradingClass = self.readStr()
contract.m_summary.m_conId = self.readInt()
contract.m_minTick = self.readDouble()
contract.m_orderTypes = self.readStr()
contract.m_validExchanges = self.readStr()
if version >= 2:
contract.m_nextOptionDate = self.readStr()
contract.m_nextOptionType = self.readStr()
contract.m_nextOptionPartial = self.readBoolFromInt()
contract.m_notes = self.readStr()
if version >= 4:
contract.m_longName = self.readStr()
if version >= 6:
contract.m_evRule = self.readStr()
contract.m_evMultiplier = self.readDouble()
if version >= 5:
secIdListCount = self.readInt()
if secIdListCount > 0:
contract.m_secIdList = []
i = 0
while i < secIdListCount:
tagValue = TagValue()
tagValue.m_tag = self.readStr()
tagValue.m_value = self.readStr()
contract.m_secIdList.append(tagValue)
i += 1
self.eWrapper().bondContractDetails(reqId, contract)
elif msgId == self.EXECUTION_DATA:
version = self.readInt()
reqId = -1
if version >= 7:
reqId = self.readInt()
orderId = self.readInt()
contract = Contract()
# read contract fields
if version >= 5:
contract.m_conId = self.readInt()
contract.m_symbol = self.readStr()
contract.m_secType = self.readStr()
contract.m_expiry = self.readStr()
contract.m_strike = self.readDouble()
contract.m_right = self.readStr()
if version >= 9:
contract.m_multiplier = self.readStr()
contract.m_exchange = self.readStr()
contract.m_currency = self.readStr()
contract.m_localSymbol = self.readStr()
exec_ = Execution()
exec_.m_orderId = orderId
exec_.m_execId = self.readStr()
exec_.m_time = self.readStr()
exec_.m_acctNumber = self.readStr()
exec_.m_exchange = self.readStr()
exec_.m_side = self.readStr()
exec_.m_shares = self.readInt()
exec_.m_price = self.readDouble()
if version >= 2:
exec_.m_permId = self.readInt()
if version >= 3:
exec_.m_clientId = self.readInt()
if version >= 4:
exec_.m_liquidation = self.readInt()
if version >= 6:
exec_.m_cumQty = self.readInt()
exec_.m_avgPrice = self.readDouble()
if version >= 8:
exec_.m_orderRef = self.readStr()
if version >= 9:
exec_.m_evRule = self.readStr()
exec_.m_evMultiplier = self.readDouble()
self.eWrapper().execDetails(reqId, contract, exec_)
elif msgId == self.MARKET_DEPTH:
version = self.readInt()
id = self.readInt()
position = self.readInt()
operation = self.readInt()
side = self.readInt()
price = self.readDouble()
size = self.readInt()
self.eWrapper().updateMktDepth(id, position, operation, side,
price, size)
elif msgId == self.MARKET_DEPTH_L2:
version = self.readInt()
id = self.readInt()
position = self.readInt()
marketMaker = self.readStr()
operation = self.readInt()
side = self.readInt()
price = self.readDouble()
size = self.readInt()
self.eWrapper().updateMktDepthL2(id, position, marketMaker,
operation, side, price, size)
elif msgId == self.NEWS_BULLETINS:
version = self.readInt()
newsMsgId = self.readInt()
newsMsgType = self.readInt()
newsMessage = self.readStr()
originatingExch = self.readStr()
self.eWrapper().updateNewsBulletin(newsMsgId, newsMsgType,
newsMessage, originatingExch)
elif msgId == self.MANAGED_ACCTS:
version = self.readInt()
accountsList = self.readStr()
self.eWrapper().managedAccounts(accountsList)
elif msgId == self.RECEIVE_FA:
version = self.readInt()
faDataType = self.readInt()
xml = self.readStr()
self.eWrapper().receiveFA(faDataType, xml)
elif msgId == self.HISTORICAL_DATA:
version = self.readInt()
reqId = self.readInt()
startDateStr = ""
endDateStr = ""
completedIndicator = "finished"
if version >= 2:
startDateStr = self.readStr()
endDateStr = self.readStr()
completedIndicator += "-" + startDateStr + "-" + endDateStr
itemCount = self.readInt()
ctr = 0
while ctr < itemCount:
date = self.readStr()
open = self.readDouble()
high = self.readDouble()
low = self.readDouble()
close = self.readDouble()
volume = self.readInt()
WAP = self.readDouble()
hasGaps = self.readStr()
barCount = -1
if version >= 3:
barCount = self.readInt()
self.eWrapper().historicalData(
reqId, date, open, high, low, close, volume, barCount, WAP,
Boolean.valueOf(hasGaps).booleanValue())
ctr += 1
# send end of dataset marker
self.eWrapper().historicalData(reqId, completedIndicator, -1, -1,
-1, -1, -1, -1, -1, False)
elif msgId == self.SCANNER_PARAMETERS:
version = self.readInt()
xml = self.readStr()
self.eWrapper().scannerParameters(xml)
elif msgId == self.CURRENT_TIME:
# int version =
self.readInt()
time = self.readLong()
self.eWrapper().currentTime(time)
elif msgId == self.REAL_TIME_BARS:
# int version =
self.readInt()
reqId = self.readInt()
time = self.readLong()
open = self.readDouble()
high = self.readDouble()
low = self.readDouble()
close = self.readDouble()
volume = self.readLong()
wap = self.readDouble()
count = self.readInt()
self.eWrapper().realtimeBar(reqId, time, open, high, low, close,
volume, wap, count)
elif msgId == self.FUNDAMENTAL_DATA:
# int version =
self.readInt()
reqId = self.readInt()
data = self.readStr()
self.eWrapper().fundamentalData(reqId, data)
elif msgId == self.CONTRACT_DATA_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().contractDetailsEnd(reqId)
elif msgId == self.OPEN_ORDER_END:
# int version =
self.readInt()
self.eWrapper().openOrderEnd()
elif msgId == self.ACCT_DOWNLOAD_END:
# int version =
self.readInt()
accountName = self.readStr()
self.eWrapper().accountDownloadEnd(accountName)
elif msgId == self.EXECUTION_DATA_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().execDetailsEnd(reqId)
elif msgId == self.DELTA_NEUTRAL_VALIDATION:
# int version =
self.readInt()
reqId = self.readInt()
underComp = UnderComp()
underComp.m_conId = self.readInt()
underComp.m_delta = self.readDouble()
underComp.m_price = self.readDouble()
self.eWrapper().deltaNeutralValidation(reqId, underComp)
elif msgId == self.TICK_SNAPSHOT_END:
# int version =
self.readInt()
reqId = self.readInt()
self.eWrapper().tickSnapshotEnd(reqId)
elif msgId == self.MARKET_DATA_TYPE:
# int version =
self.readInt()
reqId = self.readInt()
marketDataType = self.readInt()
self.eWrapper().marketDataType(reqId, marketDataType)
elif msgId == self.COMMISSION_REPORT:
# int version =
self.readInt()
commissionReport = CommissionReport()
commissionReport.m_execId = self.readStr()
commissionReport.m_commission = self.readDouble()
commissionReport.m_currency = self.readStr()
commissionReport.m_realizedPNL = self.readDouble()
commissionReport.m_yield = self.readDouble()
commissionReport.m_yieldRedemptionDate = self.readInt()
self.eWrapper().commissionReport(commissionReport)
else:
self.m_parent.error(EClientErrors.NO_VALID_ID,
EClientErrors.UNKNOWN_ID.code(),
EClientErrors.UNKNOWN_ID.msg())
return False
self.eWrapper().end_of_execution = True
# print self.eWrapper().end_of_execution, msgId
return True
def historical_data_handler(msg):
# The response data callback function
# print (msg.reqId, msg.date, msg.open, msg.close, msg.high, msg.low)
print(msg)
if __name__ == '__main__':
# Establish IB connection, make sure you have the correct port, clientId
conn = ibConnection(host='127.0.0.1', port=7497, clientId=999)
# Register the response callback function and type of data to be returned
conn.register(historical_data_handler, message.historicalData)
conn.registerAll(all_message_handler)
conn.connect()
# Establish a Contract object and the params for the request
req = Contract()
req.m_secType = "CFD"
req.m_symbol = "IBDE30"
req.m_currency = "EUR"
req.m_exchange = "SMART"
req.m_primaryExch = "SMART"
endtime = strftime('%Y%m%d %H:%M:%S')
conn.reqHistoricalData(1, req, endtime, "14 D", "1 min", "BID", 1, 1)
# Make sure the connection don't get disconnected prior the response data return
sleep(5)
conn.disconnect()
def makeOptContract(sym, exp, strike, right):
""" exp should be in (year/month/day) """
newOptContract = Contract()
newOptContract.m_symbol = sym
newOptContract.m_secType = 'OPT'
newOptContract.m_expiry = exp
newOptContract.m_strike = strike
newOptContract.m_right = right
newOptContract.m_multiplier = 100
newOptContract.m_exchange = 'SMART'
newOptContract.m_primaryExch = 'SMART'
newOptContract.m_currency = 'USD'
return newOptContract
contract.m_secType = sec_type
contract.m_exchange = exch
contract.m_primaryExch = prim_exch
contract.m_currency = curr
return contract
def create_order(order_type, quantity, action):
order = Order()
order.m_orderType = order_type
order.m_totalQuantity = quantity
order.m_action = action
return order
contract = Contract()
contract.symbol = "FISV"
contract.secType = "OPT"
contract.exchange = "SMART"
contract.currency = "USD"
class TestWrapper(wrapper.EWrapper):
def historicalData(self, reqId: TickerId, date: str, open: float,
high: float, low: float, close: float, volume: int,
barCount: int, WAP: float, hasGaps: int):
super().historicalData(reqId, date, open, high, low, close, volume,
barCount, WAP, hasGaps)
print("HistoricalData. ", reqId, " Date:", date, "Open:", open,
"High:", high, "Low:", low, "Close:", close, "Volume:", volume,
barCount, "WAP:", WAP, "HasGaps:", hasGaps)
cnx.commit()
global Flag
Flag = 1
logger.debug('Flag set to 1')
while Flag == 0:
conn = Connection.create(port=4002, clientId=999)
conn.connect()
logger.debug('Connecting to Server')
time.sleep(1)
conn.register(
reply_handler, 'HistoricalData'
) #By registering "HistoricalData" --the Method name only --we can eliminate all the open order garbage
logger.debug('Registered HistoricalData Reply Handler')
#conn.registerall(reply_handler)
time.sleep(1)
qqq = Contract()
qqq.m_symbol = 'EUR'
qqq.m_secType = 'CASH'
qqq.m_exchange = 'IDEALPRO'
qqq.m_currency = 'AUD'
logger.debug('Requesting historical data')
conn.reqHistoricalData(1, qqq, '', '1 D', '1 day', 'Midpoint', 1, 2)
logger.debug('Returned from Reply Handler')
time.sleep(1) #give IB time to send us messages
logger.debug('Disconnecting from Server')
conn.disconnect()
logger.debug('Finished EURAUD Daily OHLC')
conn.register(reply_handler, 'Position')
conn.register(reply_handler_Orders, 'OpenOrder')
conn.register(reply_handler_Status, 'OrderStatus')
conn.register(reply_handler2, 'HistoricalData')
#conn.register(reply_handler_contract, 'Contract')
logger.debug('Requesting Positions')
conn.reqPositions() # will find the order if it was filled
logger.debug('Finished Positions')
time.sleep(1)
logger.debug('Requesting Open Orders')
conn.reqAllOpenOrders() # will find the order if it's open
time.sleep(1)
logger.debug('Finished Open Orders')
qqq = Contract()
qqq.m_symbol = CCY1 + CCY2
qqq.m_localSymbol = CCY1 + CCY2 + datalink.monthcode + "7"
qqq.m_secType = 'FUT'
qqq.m_exchange = 'GLOBEX'
qqq.m_currency = 'USD'
qqq.m_expiry = datalink.exp_quarter
logger.debug('Requesting historical data')
conn.reqHistoricalData(1, qqq, '', '60 S', '5 mins', 'ASK', 0, 1)
logger.debug('Returned from HISTORICAL DATA')
#qqq = Contract()
#qqq.m_symbol = 'EUR'
#qqq.m_secType = 'CASH'
#qqq.m_exchange = 'IDEALPRO'
#qqq.m_currency = 'USD'
def reqMktData(self):
contract = Contract() #
contract.m_symbol = 'QQQQ'
contract.m_secType = 'STK'
contract.m_exchange = 'SMART'
self.connection.reqMktData(1, contract, '', False)
#csv_f = csv.reader(f)
#for row in csv_f:
# print(row)
data = pd.read_csv('dow.csv')
print(data)
conn = Connection.create(port=4002, clientId=999)
conn.connect()
logger.debug('Connecting to Server')
time.sleep(1)
conn.register(
reply_handler, 'HistoricalData'
) #By registering "HistoricalData" --the Method name only --we can eliminate all the open order garbage
logger.debug('Registered HistoricalData Reply Handler')
#conn.registerall(reply_handler)
time.sleep(1)
qqq = Contract()
qqq.m_symbol = 'SPY'
#qqq.m_localSymbol = 'ES'+ datalink.monthcode + '8'
#qqq.ConId = 279555803
qqq.m_secType = 'STK'
qqq.m_exchange = 'SMART' #NASDAQ defined as ISLAND by IB API
qqq.m_currency = 'USD'
logger.debug('Requesting historical data')
conn.reqHistoricalData(1, qqq, '', '1 D', '1 day', 'ASK', 0, 1)
logger.debug('Returned from Reply Handler')
time.sleep(1) #give IB time to send us messages
logger.debug('Disconnecting from Server')
conn.disconnect()
logger.debug('Finished RSB dataframe')
if i not in s:
s.append(i)
s.insert(0,'Script, DateTime, Open, High, Low, Close, Volume, WAP, Count')
for item in s:
csvfile.write('%s \n' % item)
csvfile.close()
tws = ibConnection()
tws.register(my_callback_handler, message.historicalData)
tws.connect()
symbol_id = 0
for i in new_symbolinput:
print(i)
c = Contract()
c.m_symbol = i
c.m_secType = "IND"
c.m_exchange = "NSE"
c.m_currency = "INR"
number_of_days = 2600
for day in range(0,number_of_days,2):
time = datetime.now() - relativedelta(days=(2600 - day))
endtime = time.strftime('%Y%m%d %H:%M:%S')
#for reference http://www.inside-r.org/packages/cran/IBrokers/docs/reqHistoricalData
#for data limitation https://www.interactivebrokers.com/en/software/api/apiguide/tables/historical_data_limitations.htm
tws.reqHistoricalData(symbol_id,contract=c,endDateTime=endtime,
durationStr='2 D',
barSizeSetting='1 min',
whatToShow='TRADES',
useRTH=1,
def submitOrder(self, order):
if order.isInitial():
ibContract = Contract()
ibOrder = Order()
ibContract.m_symbol = order.getInstrument()
ibContract.m_secType = self.__marketOptions['assetType']
ibContract.m_currency = self.__marketOptions['currency']
ibContract.m_exchange = self.__marketOptions['routing']
ibOrder.m_totalQuantity = order.getInstrumentTraits().roundQuantity(order.getQuantity())
if order.getAction() == (broker.Order.Action.BUY or broker.Order.Action.BUY_TO_COVER):
ibOrder.m_action = 'BUY'
elif order.getAction() == broker.Order.Action.SELL:
ibOrder.m_action = 'SELL'
elif order.getAction() == broker.Order.Action.SELL_SHORT:
ibOrder.m_action = 'SELL'
if order.getType() == broker.Order.Type.MARKET:
if order.getFillOnClose():
ibOrder.m_orderType = 'MOC'
else:
ibOrder.m_orderType = 'MKT'
elif order.getType() == broker.Order.Type.LIMIT:
ibOrder.m_orderType = 'LMT'
ibOrder.m_lmtPrice = order.getInstrumentTraits().roundPrice(order.getLimitPrice())
elif order.getType() == broker.Order.Type.STOP:
ibOrder.m_orderType = 'STP'
ibOrder.m_auxPrice = order.getInstrumentTraits().roundPrice(order.getStopPrice())
elif order.getType() == broker.Order.Type.STOP_LIMIT:
ibOrder.m_orderType = 'STP LMT'
ibOrder.m_lmtPrice = order.getInstrumentTraits().roundPrice(order.getLimitPrice())
ibOrder.m_auxPrice = order.getInstrumentTraits().roundPrice(order.getStopPrice())
if order.getAllOrNone() == True:
ibOrder.m_allOrNone = 1
else:
ibOrder.m_allOrNone = 0
if order.getGoodTillCanceled() == True:
ibOrder.m_tif = 'GTC'
else:
ibOrder.m_tif = 'DAY'
self.__ib.placeOrder(self.__nextOrderId, ibContract, ibOrder)
order.setSubmitted(self.__nextOrderId, datetime.datetime.now())
self.__nextOrderId += 1
self._registerOrder(order)
# Switch from INITIAL -> SUBMITTED
# IMPORTANT: Do not emit an event for this switch because when using the position interface
# the order is not yet mapped to the position and Position.onOrderUpdated will get called.
order.switchState(broker.Order.State.SUBMITTED)
else:
raise Exception("The order was already processed")
from ib.opt import ibConnection
def price_tick_handler(msg):
""" function to handle price ticks """
print(msg)
#--------------main script------------------
import ib
print('ibpy version:', ib.__version__)
tws = ibConnection() # create connection object
tws.enableLogging() # show debugging output from ibpy
tws.register(price_tick_handler, 'tickPrice') # register handler
tws.connect() # connect to API
#-------create contract and subscribe to data
c = Contract()
c.m_symbol = "SPY"
c.m_secType = "STK"
c.m_exchange = "SMART"
c.m_currency = "USD"
tws.reqMktData(1, c, "", False) # request market data
#-------print data for a couple of seconds, then close
sleep(10)
print('All done')
tws.disconnect()
def _create_contract(symbol):
contract = Contract()
contract.m_symbol = symbol
contract.m_secType = 'STK'
return contract
