def _handle_position_data(self, account_id: str, message: IncomingMessage):
instrument = Instrument.get_instance_from(message)
instrument.contract_id = message.read(int)
instrument.symbol = message.read(str)
instrument.security_type = message.read(str)
instrument.last_trade_date = instrument.contract_month = message.read(
datetime.date)
instrument.strike = message.read(float)
instrument.right = message.read(str)
instrument.multiplier = message.read(int)
instrument.exchange = message.read(str)
instrument.currency = message.read(str)
instrument.local_symbol = message.read(str)
if message.message_version >= 2:
instrument.trading_class = message.read(str)
try:
account = self.accounts[account_id]
except KeyError:
account = self.accounts[account_id] = Account(account_id)
size = account.positions[instrument] = message.read(float)
if message.message_version >= 3:
average_cost = account.avg_position_cost[
instrument] = message.read(float)
else:
average_cost = None
self.on_position(PositionEvent(account, instrument, size,
average_cost))
def _handle_contract_data(self, request_id: RequestId,
message: IncomingMessage):
# fast forward to instrument id position, so that we avoid making new contracts when existing ones can be
# reused. This is required for proper event routing elsewhere
instrument = self._pending_instrument_updates.get(request_id)
if not instrument:
message.idx += 10
instrument = Instrument.get_instance_from(message)
self._pending_instrument_updates[request_id] = instrument
message.idx -= 10
instrument.symbol = message.read(str)
instrument.security_type = message.read(SecurityType)
instrument.last_trade_date = message.read(datetime.datetime)
instrument.strike = message.read(float)
instrument.right = message.read(str)
instrument.exchange = message.read(str)
instrument.currency = message.read(str)
instrument.local_symbol = message.read(str)
instrument.market_name = message.read(str)
instrument.trading_class = message.read(str)
instrument.contract_id = message.read(int)
instrument.minimum_tick = message.read(float)
instrument.market_data_size_multiplier = message.read(
str, min_version=ProtocolVersion.MD_SIZE_MULTIPLIER)
instrument.multiplier = message.read(str)
instrument.order_types = message.read(str).split(',')
instrument.valid_exchanges = message.read(str).split(',')
instrument.price_magnifier = message.read(int)
instrument.underlying_contract_id = message.read(int)
instrument.long_name = message.read(str)
instrument.primary_exchange = message.read(str)
instrument.contract_month = message.read(str)
instrument.industry = message.read(str)
instrument.category = message.read(str)
instrument.subcategory = message.read(str)
instrument.time_zone = message.read(str)
instrument.trading_hours = message.read(str)
instrument.liquid_hours = message.read(str)
instrument.ev_rule = message.read(str)
instrument.ev_multiplier = message.read(str)
instrument.security_ids = message.read(
typing.Dict[SecurityIdentifierType, str])
instrument.aggregated_group = message.read(
str, min_version=ProtocolVersion.AGG_GROUP)
instrument.underlying_symbol = message.read(
str, min_version=ProtocolVersion.UNDERLYING_INFO)
instrument.underlying_security_type = message.read(
SecurityType, min_version=ProtocolVersion.UNDERLYING_INFO)
instrument.market_rule_ids = message.read(
str, min_version=ProtocolVersion.MARKET_RULES)
instrument.real_expiration_date = message.read(
datetime.datetime,
min_version=ProtocolVersion.REAL_EXPIRATION_DATE)
self.resolve_future(request_id, instrument)